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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 |
|---|---|
| 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 |
MARC
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| 001 | 978-3-658-11908-9 | ||
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| 005 | 20220117102448.0 | ||
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| 020 | |a 9783658119089 |9 978-3-658-11908-9 | ||
| 024 | 7 | |a 10.1007/978-3-658-11908-9 |2 doi | |
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| 100 | 1 | |a Roccioletti, Simona. |e author. |4 aut |4 http://id.loc.gov/vocabulary/relators/aut | |
| 245 | 1 | 0 | |a Backtesting Value at Risk and Expected Shortfall |h [electronic resource] / |c by Simona Roccioletti. |
| 250 | |a 1st ed. 2016. | ||
| 264 | 1 | |a Wiesbaden : |b Springer Fachmedien Wiesbaden : |b Imprint: Springer Gabler, |c 2016. | |
| 300 | |a XIX, 145 p. 45 illus. |b online resource. | ||
| 336 | |a text |b txt |2 rdacontent | ||
| 337 | |a computer |b c |2 rdamedia | ||
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| 347 | |a text file |b PDF |2 rda | ||
| 490 | 1 | |a BestMasters, |x 2625-3615 | |
| 505 | 0 | |a Risk measures and their properties -- Elicitability -- Backtesting (VaR and ES) -- Empirical Analysis -- MATLAB code. | |
| 520 | |a 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. Contents Risk measures and their properties Elicitability Backtesting (VaR and ES) Empirical Analysis MATLAB code Target Groups Researchers and Students in Economics and Finance Practitioners in Risk Management The Author Simona Roccioletti obtained her Master of Arts degree in Quantitative Asset and Risk Management at the University of Applied Sciences (bfi) Vienna, Austria. | ||
| 650 | 0 | |a Macroeconomics. | |
| 650 | 0 | |a Finance. | |
| 650 | 0 | |a Econometrics. | |
| 650 | 1 | 4 | |a Macroeconomics and Monetary Economics. |
| 650 | 2 | 4 | |a Financial Economics. |
| 650 | 2 | 4 | |a Quantitative Economics. |
| 710 | 2 | |a SpringerLink (Online service) | |
| 773 | 0 | |t Springer Nature eBook | |
| 776 | 0 | 8 | |i Printed edition: |z 9783658119072 |
| 830 | 0 | |a BestMasters, |x 2625-3615 | |
| 856 | 4 | 0 | |u https://doi.uam.elogim.com/10.1007/978-3-658-11908-9 |z Texto Completo |
| 912 | |a ZDB-2-ECF | ||
| 912 | |a ZDB-2-SXEF | ||
| 950 | |a Economics and Finance (SpringerNature-41170) | ||
| 950 | |a Economics and Finance (R0) (SpringerNature-43720) | ||