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Backtesting Value at Risk and Expected Shortfall

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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.
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Detail Information

Series Title

-

Call Number

332

Publisher

: ., 2017

Collation

XIX, 145

Language

English

ISBN/ISSN

978-3-658-11908-9

Classification

332

Content Type

text

Media Type

computer

Carrier Type

online resource

Edition

-

Subject(s)

Financial Economics

Specific Detail Info

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Statement of Responsibility

Simona Roccioletti

Other Information

Cataloger

ratna

Source

https://link.springer.com/10.1007/978-3-658-11908-9

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