Backtesting Value at Risk and Expected Shortfall

ISBN-13: 9783658119072 / Angielski / Miękka / 2015 / 145 str.

Simona Roccioletti

Opis

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.

Spis treści

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

O autorze

Simona Roccioletti obtained her Master of Arts degree in Quantitative Asset and Risk Management at the University of Applied Sciences (bfi) Vienna, Austria.

Blurb

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.