Backtesting Value at Risk and Expected Shortfall
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 Expec...
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| Format: | Electronic eBook |
| Language: | English |
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Wiesbaden :
Springer Fachmedien Wiesbaden : Imprint: Springer Gabler,
2016.
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| Series: | BestMasters
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| Online Access: | Full Text via HEAL-Link |
