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Backtesting Value at Risk and Expected Shortfall by Simona Roccioletti
Backtesting Value at Risk and Expected Shortfall by Simona Roccioletti
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Backtesting Value at Risk and Expected Shortfall

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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.

Author Biography:

Simona Roccioletti obtained her Master of Arts degree in Quantitative Asset and Risk Management at the University of Applied Sciences (bfi) Vienna, Austria.
Release date Australia
December 11th, 2015
Audience
  • Professional & Vocational
Edition
1st ed. 2016
Illustrations
45 Illustrations, black and white; XIX, 145 p. 45 illus.
Pages
145
Dimensions
148x210x10
ISBN-13
9783658119072
Product ID
24125689

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