Backtesting Value at Risk and Expected Shortfall (1st ed. 2016) (BestMasters)
By:
Sign Up Now!
Already a Member? Log In
You must be logged into UK education collection to access this title.
Learn about membership options,
or view our freely available titles.
- Synopsis
- 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.
- Copyright:
- 2016
Book Details
- Book Quality:
- Publisher Quality
- ISBN-13:
- 9783658119089
- Related ISBNs:
- 9783658119072
- Publisher:
- Springer Fachmedien Wiesbaden
- Date of Addition:
- 10/06/19
- Copyrighted By:
- N/A
- Adult content:
- No
- Language:
- English
- Has Image Descriptions:
- No
- Categories:
- Nonfiction, Business and Finance
- Submitted By:
- Bookshare Staff
- Usage Restrictions:
- This is a copyrighted book.