Backtesting Value at Risk and Expected Shortfall

Backtesting Value at Risk and Expected Shortfall
Author :
Publisher : Springer
Total Pages : 155
Release :
ISBN-10 : 9783658119089
ISBN-13 : 365811908X
Rating : 4/5 (89 Downloads)

Book Synopsis Backtesting Value at Risk and Expected Shortfall by : Simona Roccioletti

Download or read book Backtesting Value at Risk and Expected Shortfall written by Simona Roccioletti and published by Springer. This book was released on 2015-12-04 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.


Backtesting Value at Risk and Expected Shortfall Related Books

Backtesting Value at Risk and Expected Shortfall
Language: en
Pages: 155
Authors: Simona Roccioletti
Categories: Business & Economics
Type: BOOK - Published: 2015-12-04 - Publisher: Springer

DOWNLOAD EBOOK

In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; in particular she studies the new (and heavily discus
Elements of Financial Risk Management
Language: en
Pages: 346
Authors: Peter Christoffersen
Categories: Business & Economics
Type: BOOK - Published: 2011-11-22 - Publisher: Academic Press

DOWNLOAD EBOOK

The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new da
Financial Risk Forecasting
Language: en
Pages: 307
Authors: Jon Danielsson
Categories: Business & Economics
Type: BOOK - Published: 2011-04-20 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

Financial Risk Forecasting is a complete introduction to practical quantitative risk management, with a focus on market risk. Derived from the authors teaching
Systemic Risk Tomography
Language: en
Pages: 302
Authors: Monica Billio
Categories: Business & Economics
Type: BOOK - Published: 2016-11-25 - Publisher: Elsevier

DOWNLOAD EBOOK

In April 2010 Europe was shocked by the Greek financial turmoil. At that time, the global financial crisis, which started in the summer of 2007 and reached syst
Measuring Market Risk
Language: en
Pages: 395
Authors: Kevin Dowd
Categories: Business & Economics
Type: BOOK - Published: 2003-02-28 - Publisher: John Wiley & Sons

DOWNLOAD EBOOK

The most up-to-date resource on market risk methodologies Financial professionals in both the front and back office require an understanding of market risk and