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Backtesting Value at Risk and Expected Shortfall

Backtesting Value at Risk and Expected Shortfall

Paperback

Series: Bestmasters

EconomicsInvesting & Finance

ISBN10: 3658119071
ISBN13: 9783658119072
Publisher: Springer Nature
Published: Dec 11 2015
Pages: 145
Weight: 0.50
Height: 0.39 Width: 5.83 Depth: 8.27
Language: English
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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Economics