Empirical Analysis

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

Volatility 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer Fachmedien Wiesbaden 2016

Authors and Affiliations

  1. 1.GuilianovaItaly

Personalised recommendations