Backtesting Value at Risk and Expected Shortfall (eBook, PDF)
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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.ContentsRisk measures and their properties Elicitability Backtesting (VaR and ES) Empirical Analysis MATLAB code Target Gro...
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
Target Groups
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.
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.
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