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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    View other formats and editions of Backtesting Value at Risk and Expected Shortfall by Simona Roccioletti

    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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