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Backtesting Value at Risk and Expected Shortfall

Backtesting Value at Risk and Expected Shortfall

Simona Roccioletti

85,43 €
IVA incluido
Disponible
Editorial:
Springer Nature B.V.
Año de edición:
2015
Materia
Finanzas
ISBN:
9783658119072
85,43 €
IVA incluido
Disponible

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Sobre IBD

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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