| Backtesting Value at Risk and Expected Shortfall 2016 Edition Contributor(s): Roccioletti, Simona (Author) |
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ISBN: 3658119071 ISBN-13: 9783658119072 Publisher: Springer Gabler OUR PRICE: $66.49 Product Type: Paperback Published: December 2015 |
| Additional Information |
| BISAC Categories: - Business & Economics | Economics - Macroeconomics - Business & Economics | Finance - General - Business & Economics | Economics - Theory |
| Dewey: 330 |
| Series: Bestmasters |
| Physical Information: 0.39" H x 5.83" W x 8.27" (0.50 lbs) 145 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: 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. |