Backtesting Value at Risk and Expected Shortfall

• Κύριος συγγραφέας: Roccioletti, Simona (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2016.
• Σειρά: BestMasters
• Θέματα: Finance.; Economic theory.; Macroeconomics.; Economics.; Macroeconomics/Monetary Economics//Financial Economics.; Finance, general.; Economic Theory/Quantitative Economics/Mathematical Methods.

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...

Πίνακας περιεχομένων:

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