Overview
- 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
Part of the book series: BestMasters (BEST)
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About this book
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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Table of contents (5 chapters)
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Front Matter
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Back Matter
Authors and Affiliations
About 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.
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Bibliographic Information
Book Title: Backtesting Value at Risk and Expected Shortfall
Authors: Simona Roccioletti
Series Title: BestMasters
DOI: https://doi.org/10.1007/978-3-658-11908-9
Publisher: Springer Gabler Wiesbaden
eBook Packages: Economics and Finance, Economics and Finance (R0)
Copyright Information: Springer Fachmedien Wiesbaden 2016
Softcover ISBN: 978-3-658-11907-2Published: 11 December 2015
eBook ISBN: 978-3-658-11908-9Published: 04 December 2015
Series ISSN: 2625-3577
Series E-ISSN: 2625-3615
Edition Number: 1
Number of Pages: XIX, 145
Number of Illustrations: 45 b/w illustrations
Topics: Macroeconomics/Monetary Economics//Financial Economics, Finance, general, Economic Theory/Quantitative Economics/Mathematical Methods