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Backtesting Value at Risk and Expected Shortfall de Simona Roccioletti

Backtesting Value at Risk and Expected Shortfall

Autor Simona Roccioletti
en Limba Engleză Paperback – 11 dec 2015
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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Specificații

ISBN-13: 9783658119072
ISBN-10: 3658119071
Pagini: 168
Ilustrații: XIX, 145 p. 45 illus.
Dimensiuni: 148 x 210 x 10 mm
Greutate: 0.23 kg
Ediția:1st edition 2016
Editura: Springer Fachmedien Wiesbaden
Locul publicării:Wiesbaden, Germany

Public țintă

Research

Cuprins

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

Textul de pe ultima copertă

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.

Caracteristici

Study in the field of economics Studies about risk measures and their properties Investigation of the issue related to the backtesting of Expected Shortfall Includes supplementary material: sn.pub/extras