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Backtesting value at risk and expect...

Roccioletti, Simona.

Backtesting value at risk and expected shortfall

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Backtesting value at risk and expected shortfallby Simona Roccioletti.
作者:	Roccioletti, Simona.
出版者:	Wiesbaden :Springer Fachmedien Wiesbaden :2016.
面頁冊數:	xix, 145 p. :ill., digital ;24 cm.
Contained By:	Springer eBooks
標題:	Financial futures.
電子資源:	http://dx.doi.org/10.1007/978-3-658-11908-9
ISBN:	9783658119089$q(electronic bk.)

Backtesting value at risk and expected shortfall
Roccioletti, Simona.

Backtesting value at risk and expected shortfall[electronic resource] /by Simona Roccioletti. - Wiesbaden :Springer Fachmedien Wiesbaden :2016. - xix, 145 p. :ill., digital ;24 cm. - BestMasters. - BestMasters..

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

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.

ISBN: 9783658119089$q(electronic bk.)

Standard No.: 10.1007/978-3-658-11908-9doiSubjects--Topical Terms:

183776
Financial futures.

LC Class. No.: HG6024.3

Dewey Class. No.: 658.155

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