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Empirical Analysis

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

Abstract

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.

Keywords

Empirical Analysis Risk Measure Loss Distribution Kernel Density Estimator Expect Shortfall 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Fachmedien Wiesbaden 2016

Authors and Affiliations

  1. 1.GuilianovaItaly

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