Backtesting Value at Risk and Expected Shortfall

• Main Author: Roccioletti, Simona (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2016.
• Series: BestMasters
• Subjects: 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...

Table of Contents:

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