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Backtesting Value at Risk and Expected Shortfall

Jezik EngleskiEngleski
Knjiga Meki uvez
Knjiga Backtesting Value at Risk and Expected Shortfall Simona Roccioletti
Libristo kod: 09931640
Nakladnici Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, prosinac 2015
In this book Simona Roccioletti reviews several valuable studies about risk measures and their prope... Cijeli opis
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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.

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Informacije o knjizi

Puni naziv Backtesting Value at Risk and Expected Shortfall
Autor Simona Roccioletti
Jezik Engleski
Uvez Knjiga - Meki uvez
Datum izdanja 2015
Broj stranica 145
EAN 9783658119072
ISBN 3658119071
Libristo kod 09931640
Nakladnici Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Težina 226
Dimenzije 248 x 154 x 12

Kategorija

Economics, Finance, Business & Management > Economics > Macroeconomics > Monetary economics
Mathematics & Science > Mathematics > Optimization > Game theory
Economics, Finance, Business & Management > Economics > Economic theory & philosophy
Economics, Finance, Business & Management > Finance & accounting > Finance
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