Backtesting Value at Risk and Expected Shortfall
| Author | : Simona Roccioletti |
| Publisher | : Springer |
| Total Pages | : 155 |
| Release | : 2015-12-04 |
| ISBN-10 | : 9783658119089 |
| ISBN-13 | : 365811908X |
| Rating | : 4/5 (89 Downloads) |
Book Synopsis Backtesting Value at Risk and Expected Shortfall by : Simona Roccioletti
Download or read book Backtesting Value at Risk and Expected Shortfall written by Simona Roccioletti and published by Springer. This book was released on 2015-12-04 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
