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Backtesting Value at Risk and Expected Shortfall
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...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Wiesbaden :
Springer Fachmedien Wiesbaden : Imprint: Springer Gabler,
2016.
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| Edición: | 1st ed. 2016. |
| Colección: | BestMasters,
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| Temas: | |
| Acceso en línea: | Texto Completo |