{"product_id":"backtesting-value-at-risk-and-simona-roccioletti-9783658119072","title":"Backtesting Value at Risk and Expected Shortfall","description":"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.\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Simona Roccioletti\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 3658119071\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9783658119072\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Springer Gabler\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 12\/11\/2015\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 145\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.50lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 8.27h x 5.83w x 0.39d","brand":"Simona Roccioletti","offers":[{"title":"Paperback","offer_id":44126017028351,"sku":"9783658119072","price":69.99,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/files\/img_cb9a5dba-eb92-42ec-a5b5-0eb154a154c8.jpg?v=1687445825","url":"https:\/\/www.whiterainbookhouse.com\/products\/backtesting-value-at-risk-and-simona-roccioletti-9783658119072","provider":"WR Book House","version":"1.0","type":"link"}