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Backtesting Value at Risk and Expected Shortfall

  • Simona┬áRoccioletti

Part of the BestMasters book series (BEST)

Table of contents

  1. Front Matter
    Pages i-xix
  2. Simona Roccioletti
    Pages 1-4
  3. Simona Roccioletti
    Pages 5-25
  4. Simona Roccioletti
    Pages 27-41
  5. Simona Roccioletti
    Pages 43-69
  6. Simona Roccioletti
    Pages 71-97
  7. Back Matter
    Pages 99-145

About this book

Introduction

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.

Keywords

Risk Measures Value at Risk Expected Shortfall Backtesting Elicitability

Authors and affiliations

  • Simona┬áRoccioletti
    • 1
  1. 1.GuilianovaItaly

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-658-11908-9
  • Copyright Information Springer Fachmedien Wiesbaden 2016
  • Publisher Name Springer Gabler, Wiesbaden
  • eBook Packages Economics and Finance
  • Print ISBN 978-3-658-11907-2
  • Online ISBN 978-3-658-11908-9
  • Buy this book on publisher's site
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