Backtesting Value at Risk and Expected Shortfall

✍ Scribed by Simona Roccioletti (auth.)

Publisher: Gabler Verlag
Year: 2016
Tongue: English
Leaves: 155
Series: BestMasters
Edition: 1
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

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.

✦ Table of Contents

Front Matter....Pages i-xix
Introduction....Pages 1-4
Risk Measures and their Properties....Pages 5-25
Elicitability....Pages 27-41
Backtesting....Pages 43-69
Empirical Analysis....Pages 71-97
Back Matter....Pages 99-145

✦ Subjects

Macroeconomics/Monetary Economics//Financial Economics; Finance, general; Economic Theory/Quantitative Economics/Mathematical Methods

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