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Backtesting Value at Risk and Expected Shortfall
Simona Roccioletti
€ 95.48
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Description for Backtesting Value at Risk and Expected Shortfall
Paperback. Series: BestMasters. Num Pages: 145 pages, 45 black & white illustrations, 27 black & white tables, biography. BIC Classification: KCB; KFF; PBUD. Category: (P) Professional & Vocational. Dimension: 210 x 148. .
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.
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.
Product Details
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
145
Format
Paperback
Publication date
2015
Series
BestMasters
Condition
New
Weight
225g
Number of Pages
145
Place of Publication
, Germany
ISBN
9783658119072
SKU
V9783658119072
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Simona Roccioletti
Simona Roccioletti obtained her Master of Arts degree in Quantitative Asset and Risk Management at the University of Applied Sciences (bfi) Vienna, Austria.
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