Backtesting Value at Risk and Expected Shortfall
Simona Roccioletti (auth.)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.
年:
2016
出版:
1
出版社:
Gabler Verlag
语言:
english
页:
155
ISBN 10:
365811908X
ISBN 13:
9783658119089
系列:
BestMasters
文件:
PDF, 2.97 MB
IPFS:
,
english, 2016