Backtesting Value at Risk and Expected Shortfall (Paperback) (ISBN-13: 9783658119072)

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.

Author: Simona Roccioletti
ISBN-10: 3658119071
ISBN-13: 9783658119072
Publisher: Springer Gabler
Language: English
Published: 12/11/2015
Pages: 145
Format: Paperback
Weight: 0.50lbs
Size: 8.27h x 5.83w x 0.39d