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Backtesting Value at Risk and Expected Shortfall

Simona Roccioletti (Autor)

Buch | Softcover

XIX, 145 Seiten

2015 | 1st ed. 2016
Springer Fachmedien Wiesbaden GmbH (Verlag)
978-3-658-11907-2 (ISBN)

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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.

Simona Roccioletti obtained her Master of Arts degree in Quantitative Asset and Risk Management at the University of Applied Sciences (bfi) Vienna, Austria.

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

Erscheinungsdatum	23.06.2016
Reihe/Serie	BestMasters
Zusatzinfo	XIX, 145 p. 45 illus.
Verlagsort	Wiesbaden
Sprache	englisch
Maße	148 x 210 mm
Gewicht	228 g
Themenwelt	Wirtschaft ► Betriebswirtschaft / Management ► Finanzierung
	Wirtschaft ► Volkswirtschaftslehre ► Finanzwissenschaft
	Wirtschaft ► Volkswirtschaftslehre ► Makroökonomie
Schlagworte	Backtesting • Economics and finance • Elicitability • Expected Shortfall • Finance/Investment/Banking • Game Theory/Mathematical Methods • Macroeconomics/Monetary Economics//Financial Econo • risk measures • Value at risk
ISBN-10	3-658-11907-1 / 3658119071
ISBN-13	978-3-658-11907-2 / 9783658119072
Zustand	Neuware