Empirical Analysis

  • Simona Roccioletti
Part of the BestMasters book series (BEST)


In this chapter we present some concrete backtesting results for both Value at Risk and Expected Shortfall.

The major scope of this work is to apply the new ES backtesting methodologies (described in Chapter 4) to real financial time series.


Empirical Analysis Risk Measure Loss Distribution Kernel Density Estimator Expect Shortfall 
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Copyright information

© Springer Fachmedien Wiesbaden 2016

Authors and Affiliations

  1. 1.GuilianovaItaly

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