Backtesting Value at Risk and Expected Shortfall
Author:   Simona Roccioletti
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Edition:   1st ed. 2016
ISBN:  

9783658119072


Pages:   145
Publication Date:   11 December 2015
Format:   Paperback
Availability:   Manufactured on demand   Availability explained
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Backtesting Value at Risk and Expected Shortfall


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Overview

"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."

Full Product Details

Author:   Simona Roccioletti
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Springer Gabler
Edition:   1st ed. 2016
Dimensions:   Width: 14.80cm , Height: 1.00cm , Length: 21.00cm
Weight:   2.255kg
ISBN:  

9783658119072


ISBN 10:   3658119071
Pages:   145
Publication Date:   11 December 2015
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

Table of Contents

Risk measures and their properties.- Elicitability.- Backtesting (VaR and ES).- Empirical Analysis.- MATLAB code.

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Author Information

Simona Roccioletti obtained her Master of Arts degree in Quantitative Asset and Risk Management at the University of Applied Sciences (bfi) Vienna, Austria.

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