Cargando…
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.
|
| Edición: | 1st ed. 2016. |
| Colección: | BestMasters,
|
| Temas: | |
| Acceso en línea: | Texto Completo |
Tabla de Contenidos:
- Risk measures and their properties
- Elicitability
- Backtesting (VaR and ES)
- Empirical Analysis
- MATLAB code.