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...
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| Language: | English |
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Wiesbaden :
Springer Fachmedien Wiesbaden : Imprint: Springer Gabler,
2016.
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| Edition: | 1st ed. 2016. |
| Series: | BestMasters,
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| Online Access: | https://doi.org/10.1007/978-3-658-11908-9 |
Table of Contents:
- Risk measures and their properties
- Elicitability
- Backtesting (VaR and ES)
- Empirical Analysis
- MATLAB code.