Backtesting Value at Risk and Expected Shortfall (BestMasters) - Softcover
Buch 15 von 91: BestMasters
Inhaltsangabe
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.
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Über die Autorin bzw. den Autor
Simona Roccioletti obtained her Master of Arts degree in Quantitative Asset and Risk Management at the University of Applied Sciences (bfi) Vienna, Austria.
Von der hinteren Coverseite
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
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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Backtesting Value at Risk and Expected Shortfall
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Taschenbuch. Zustand: Neu. Neuware -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.Springer Gabler in Springer Science + Business Media, Tiergartenstr. 15-17, 69121 Heidelberg 168 pp. Englisch. Artikel-Nr. 9783658119072
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Backtesting Value at Risk and Expected Shortfall
Verlag:
Springer Fachmedien Wiesbaden, 2015
ISBN 10: 3658119071
ISBN 13: 9783658119072
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Taschenbuch. Zustand: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Artikel-Nr. 9783658119072
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Taschenbuch. Zustand: Neu. Backtesting Value at Risk and Expected Shortfall | Simona Roccioletti | Taschenbuch | xix | Englisch | 2015 | Springer Spektrum | EAN 9783658119072 | Verantwortliche Person für die EU: Springer Gabler in Springer Science + Business Media, Tiergartenstr. 15-17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu. Artikel-Nr. 104166224
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