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Found 1 from your keywords: author="ROCCIOLETTI, Simona"
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Backtesting Value at Risk and Expected Shortfall
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ROCCIOLETTI, Simona

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 A…

Edition
-
ISBN/ISSN
978-3-658-11908-9
Collation
XIX, 145
Series Title
-
Call Number
332