Backtesting Value at Risk and Expected Shortfall
Backtesting Value at Risk and Expected Shortfall
Springer | Business & Management | January 5, 2016 | ISBN-10: 3658119071 | 145 pages | pdf | 3 mb
Springer | Business & Management | January 5, 2016 | ISBN-10: 3658119071 | 145 pages | pdf | 3 mb
by Simona Roccioletti (Author)
Study in the field of economics
Studies about risk measures and their properties
Investigation of the issue related to the backtesting of Expected Shortfall
From the Back Cover
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.
Number of Illustrations and Tables
45 illus.
Topics
Macroeconomics/Monetary Economics//Financial Economics
Finance, general
Economic Theory/Quantitative Economics/Mathematical Methods
More info and Hardcover at Springer
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