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 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.

List of contents

Risk measures and their properties.- Elicitability.- Backtesting (VaR and ES).- Empirical Analysis.- MATLAB code.

About 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.

Summary

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.

Product details

• Authors: Simona Roccioletti
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 01.01.2015
• EAN: 9783658119072
• ISBN: 978-3-658-11907-2
• No. of pages: 145
• Dimensions: 149 mm x 11 mm x 211 mm
• Weight: 228 g
• Illustrations: XIX, 145 p. 45 illus.
• Series: Springer Gabler; BestMasters; BestMasters
• Subjects: Social sciences, law, business > Business > Economics; B, Finance, macroeconomics, Economic theory & philosophy, Finance, general, Economics and Finance, Economic Theory, Macroeconomics and Monetary Economics, Macroeconomics/Monetary Economics//Financial Economics, Monetary Economics, Management science, Quantitative Economics, Economic Theory/Quantitative Economics/Mathematical Methods