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Backtesting Value at Risk and Expected Shortfall 1 Backtesting Value at Risk and Expected Shortfall 1
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Backtesting Value at Risk and Expected Shortfall

Описание

(BestMasters) 1st ed. 2016 Edition 

by Simona Roccioletti (Author) 

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.

Детали

Year:
2017
Pages:
155
Language:
English
Format:
PDF
Size:
3 MB
ISBN-10:
3658119071
ISBN-13:
978-3658119072
ASIN:
978-3658119072
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