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{
"item_title" : "Backtesting Value at Risk and Expected Shortfall",
"item_author" : [" Simona Roccioletti "],
"item_description" : "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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Backtesting Value at Risk and Expected Shortfall
Overview
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.
This item is Non-Returnable
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Details
- ISBN-13: 9783658119072
- ISBN-10: 3658119071
- Publisher: Springer Gabler
- Publish Date: December 2015
- Dimensions: 8.27 x 5.83 x 0.39 inches
- Shipping Weight: 0.5 pounds
- Page Count: 145
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