Backtesting Value at Risk and Expected Shortfall
ISBN:
978-3-658-11907-2
Auflage:
1st ed. 2016
Verlag:
Springer Fachmedien Wiesbaden GmbH
Land des Verlags:
Deutschland
Erscheinungsdatum:
11.12.2015
Reihe:
BestMasters
Format:
Softcover
Seitenanzahl:
145
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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.
Schlagwörter
Biografische Anmerkung
Simona Roccioletti obtained her Master of Arts degree in Quantitative Asset and Risk Management at the University of Applied Sciences (bfi) Vienna, Austria.
