Backtesting Value at Risk and Expected Shortfall [electronic resource] / by Simona Roccioletti.

By:

Roccioletti, Simona [author.]

Contributor(s):

SpringerLink (Online service)

Series: BestMastersPublisher: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2016Edition: 1st ed. 2016Description: XIX, 145 p. 45 illus. online resourceContent type:

text

Media type:

computer

Carrier type:

online resource

ISBN:

9783658119089

Subject(s):

Genre/Form:

Electronic books.

Additional physical formats: Printed edition:: No titleDDC classification:

339 23

LOC classification:

HB172.5

Online resources:

Click here to access online

Contents:

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

In: Springer eBooksSummary: 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. Contents Risk measures and their properties Elicitability Backtesting (VaR and ES) Empirical Analysis MATLAB code Target Groups Researchers and Students in Economics and Finance Practitioners in Risk Management 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.

Item type:

eBooks

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

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. Contents Risk measures and their properties Elicitability Backtesting (VaR and ES) Empirical Analysis MATLAB code Target Groups Researchers and Students in Economics and Finance Practitioners in Risk Management 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.