Backtesting Value at Risk and Expected Shortfall
Simona Roccioletti (auth.)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.
Catégories:
Année:
2016
Edition:
1
Editeur::
Gabler Verlag
Langue:
english
Pages:
155
ISBN 10:
365811908X
ISBN 13:
9783658119089
Collection:
BestMasters
Fichier:
PDF, 2.97 MB
IPFS:
,
english, 2016