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Backtesting Value at Risk and Expect...
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Backtesting Value at Risk and Expected Shortfall
紀錄類型:
書目-語言資料,印刷品 : Monograph/item
正題名/作者:
Backtesting Value at Risk and Expected Shortfall/ by Simona Roccioletti.
作者:
Roccioletti, Simona.
面頁冊數:
XIX, 145 p. 45 illus.online resource. :
Contained By:
Springer Nature eBook
標題:
Macroeconomics. -
電子資源:
https://doi.org/10.1007/978-3-658-11908-9
ISBN:
9783658119089
Backtesting Value at Risk and Expected Shortfall
Roccioletti, Simona.
Backtesting Value at Risk and Expected Shortfall
[electronic resource] /by Simona Roccioletti. - 1st ed. 2016. - XIX, 145 p. 45 illus.online resource. - BestMasters,2625-3577. - BestMasters,.
Risk measures and their properties -- Elicitability -- Backtesting (VaR and ES) -- Empirical Analysis -- MATLAB code.
In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she investigates the issue related to the backtesting of Expected Shortfall. The main contribution of the work is the application of "Test 1" and "Test 2" developed by Acerbi and Szekely (2014) on different models and for five global market indexes. Contents Risk measures and their properties Elicitability Backtesting (VaR and ES) Empirical Analysis MATLAB code Target Groups Researchers and Students in Economics and Finance Practitioners in Risk Management The Author Simona Roccioletti obtained her Master of Arts degree in Quantitative Asset and Risk Management at the University of Applied Sciences (bfi) Vienna, Austria.
ISBN: 9783658119089
Standard No.: 10.1007/978-3-658-11908-9doiSubjects--Topical Terms:
554837
Macroeconomics.
LC Class. No.: HB172.5
Dewey Class. No.: 339
Backtesting Value at Risk and Expected Shortfall
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