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.
카테고리:
년:
2016
판:
1
출판사:
Gabler Verlag
언어:
english
페이지:
155
ISBN 10:
365811908X
ISBN 13:
9783658119089
시리즈:
BestMasters
파일:
PDF, 2.97 MB
IPFS:
,
english, 2016