Backtesting Value at Risk and Expected Shortfall - Simona Roccioletti
-40% koodiga BOOKS
Saadetis 12-18 tööpäeva jooksul
30-päevane tagastamisõigus
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 Sze ... Täielik kirjeldus
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Kirjeldus
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.
Lisateave
| Autor | Simona Roccioletti |
|---|---|
| Kirjastaja | Springer Fachmedien Wiesbaden |
| Series | BestMasters |
| Väljalaskeaasta | 2015 |
| Kaanetüüp | Pehme kaanega |
| EAN | 9783658119072 |