Description

Book Synopsis
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.

Table of Contents
Risk measures and their properties.- Elicitability.- Backtesting (VaR and ES).- Empirical Analysis.- MATLAB code.

Backtesting Value at Risk and Expected Shortfall

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    A Paperback / softback by Simona Roccioletti

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      Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
      Publication Date: 11/12/2015
      ISBN13: 9783658119072, 978-3658119072
      ISBN10: 3658119071
      Also in:
      Economic theory and philosophy Finance and the finance industry Macroeconomics

      Description

      Book Synopsis
      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.

      Table of Contents
      Risk measures and their properties.- Elicitability.- Backtesting (VaR and ES).- Empirical Analysis.- MATLAB code.

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