Backtesting Value at Risk and Expected Shortfall
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Beschreibung
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 propertiesElicitabilityBacktesting (VaR and ES)Empirical AnalysisMATLAB code Target GroupsResearchers and Students in Economics and FinancePractitioners 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.
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.
Study in the field of economics Studies about risk measures and their properties Investigation of the issue related to the backtesting of Expected Shortfall Includes supplementary material: sn.pub/extras
Autor*in
Simona Roccioletti
Themen in »Backtesting Value at Risk and Expected Shortfall«
Risk Measures Value at Risk Expected Shortfall Backtesting Elicitability