Backtesting value at risk and expected shortfall [electronic resource] / Simona Roccioletti.
2016
HG6024.3
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Details
Title
Backtesting value at risk and expected shortfall [electronic resource] / Simona Roccioletti.
Author
ISBN
9783658119089 (electronic book)
365811908X (electronic book)
9783658119072
365811908X (electronic book)
9783658119072
Published
Wiesbaden : Springer Gabler, 2016.
Language
English
Description
1 online resource : illustrations.
Call Number
HG6024.3
Dewey Decimal Classification
658.15/5
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. 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.
Bibliography, etc. Note
Includes bibliographical references.
Access Note
Access limited to authorized users.
Source of Description
Online resource; title from PDF title page (viewed December 22, 2015)
Series
BestMasters.
Available in Other Form
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Table of Contents
Risk measures and their properties
Elicitability
Backtesting (VaR and ES)
Empirical Analysis
MATLAB code.
Elicitability
Backtesting (VaR and ES)
Empirical Analysis
MATLAB code.