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- Author: Simona Roccioletti
- Publisher: Springer Gabler
- Year: 2015
- Pages: 145
- ISBN-10: 3658119071
- ISBN-13: 9783658119072
- Format: 14.8 x 21 x 1 cm, minkšti viršeliai
- Language: English
- SAVE -10% with code: EXTRA
Backtesting Value at Risk and Expected Shortfall (e-book) (used book) | bookbook.eu
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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.
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- Author: Simona Roccioletti
- Publisher: Springer Gabler
- Year: 2015
- Pages: 145
- ISBN-10: 3658119071
- ISBN-13: 9783658119072
- Format: 14.8 x 21 x 1 cm, minkšti viršeliai
- Language: English English
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.
Reviews