Backtesting Value at Risk and Expected Shortfall

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ISBN: 3658119071
ISBN 13: 9783658119072
Autor: Roccioletti, Simona
Verlag: Springer Gabler
Umfang: xix, 145 S., 45 s/w Illustr., 145 p. 45 illus.
Erscheinungsdatum: 11.12.2015
Auflage: 1/2016
Produktform: Kartoniert
Einband: KT

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.Contents Risk measures and their properties Elicitability Backtesting (VaR and ES) Empirical Analysis MATLAB code Target Groups – Researchers and Students in Economics and Finance Practitioners in Risk Management The Author Simona Roccioletti obtained her Master of Arts degree in Quantitative Asset and Risk Management at the University of Applied Sciences (bfi) Vienna, Austria.

Artikelnummer: 8697718 Kategorie:

Beschreibung

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.

Autorenporträt

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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