Backtesting value at risk and expect...
Roccioletti, Simona.

 

  • Backtesting value at risk and expected shortfall[electronic resource] /
  • 紀錄類型: 書目-語言資料,印刷品 : Monograph/item
    杜威分類號: 658.155
    書名/作者: Backtesting value at risk and expected shortfall/ by Simona Roccioletti.
    作者: Roccioletti, Simona.
    出版者: Wiesbaden : : Springer Fachmedien Wiesbaden :, 2016.
    面頁冊數: xix, 145 p. : : ill., digital ;; 24 cm.
    Contained By: Springer eBooks
    標題: Financial futures.
    標題: Risk management.
    標題: Economics.
    標題: Macroeconomics/Monetary Economics//Financial Economics.
    標題: Finance, general.
    標題: Economic Theory/Quantitative Economics/Mathematical Methods.
    ISBN: 9783658119089
    ISBN: 9783658119072
    內容註: Risk measures and their properties -- Elicitability -- Backtesting (VaR and ES) -- Empirical Analysis -- MATLAB code.
    摘要、提要註: 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 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.
    電子資源: http://dx.doi.org/10.1007/978-3-658-11908-9
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