Backtesting Value at Risk and Expected Shortfall is popular PDF and ePub book, written by Simona Roccioletti in 2015-12-04, it is a fantastic choice for those who relish reading online the Business & Economics genre. Let's immerse ourselves in this engaging Business & Economics book by exploring the summary and details provided below. Remember, Backtesting Value at Risk and Expected Shortfall can be Read Online from any device for your convenience.
Backtesting Value at Risk and Expected Shortfall Book PDF Summary
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.
Detail Book of Backtesting Value at Risk and Expected Shortfall PDF
- Author : Simona Roccioletti
- Release : 04 December 2015
- Publisher : Springer
- ISBN : 9783658119089
- Genre : Business & Economics
- Total Page : 145 pages
- Language : English
- PDF File Size : 19,9 Mb
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