Backtesting Value at Risk and Expected Shortfall (BestMasters) - Softcover
Book 15 of 91: BestMasters
Synopsis
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.
"synopsis" may belong to another edition of this title.
About 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.
From the Back Cover
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
Simona Roccioletti obtained her Master of Arts degree in Quantitative Asset and Risk Management at the University of Applied Sciences (bfi) Vienna, Austria.
"About this title" may belong to another edition of this title.
Search results for Backtesting Value at Risk and Expected Shortfall (BestMaster...
Stock Image
Backtesting Value at Risk and Expected Shortfall (BestMasters)
Seller: Zubal-Books, Since 1961, Cleveland, OH, U.S.A.
Seller rating 5 out of 5 stars
Condition: Fine. *Price HAS BEEN REDUCED by 10% until Monday, Mar 9 (SALE item)* 164 pp., paperback, rear cover slightly creased, else fine, THIS IS THE 2016 PRINTING. - If you are reading this, this item is actually (physically) in our stock and ready for shipment once ordered. We are not bookjackers. Buyer is responsible for any additional duties, taxes, or fees required by recipient's country. Seller Inventory # ZB1316479
Stock Image
Backtesting Value at Risk and Expected Shortfall
Print on DemandSeller: Revaluation Books, Exeter, United Kingdom
Seller rating 5 out of 5 stars
Paperback. Condition: Brand New. 168 pages. 8.26x5.82x0.73 inches. In Stock. This item is printed on demand. Seller Inventory # __3658119071
Buy New
£ 54.99
£ 10 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: 1 available
Stock Image
Backtesting Value at Risk and Expected Shortfall (BestMasters)
Seller: Ria Christie Collections, Uxbridge, United Kingdom
Seller rating 5 out of 5 stars
Condition: New. In. Seller Inventory # ria9783658119072_new
Buy New
£ 58.18
£ 11.98 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: Over 20 available
Stock Image
Backtesting Value at Risk and Expected Shortfall
Seller: Chiron Media, Wallingford, United Kingdom
Seller rating 5 out of 5 stars
PF. Condition: New. Seller Inventory # 6666-IUK-9783658119072
Buy New
£ 57.93
£ 15.49 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: 10 available
Stock Image
Backtesting Value at Risk and Expected Shortfall (Paperback)
Published by
Springer Fachmedien Wiesbaden, Dordrecht, 2015
ISBN 10: 3658119071
ISBN 13: 9783658119072
New
Paperback
First Edition
Seller: Grand Eagle Retail, Bensenville, IL, U.S.A.
Seller rating 5 out of 5 stars
Paperback. Condition: new. Paperback. 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. In this book Simona Roccioletti reviews several valuable studies about risk measures and their properties; 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. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9783658119072
Seller Image
Backtesting Value at Risk and Expected Shortfall
Published by
Springer Fachmedien Wiesbaden Dez 2015, 2015
ISBN 10: 3658119071
ISBN 13: 9783658119072
New
Taschenbuch
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -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. 168 pp. Englisch. Seller Inventory # 9783658119072
Stock Image
Backtesting Value at Risk and Expected Shortfall
Seller: Revaluation Books, Exeter, United Kingdom
Seller rating 5 out of 5 stars
Paperback. Condition: Brand New. 168 pages. 8.26x5.82x0.73 inches. In Stock. Seller Inventory # x-3658119071
Buy New
£ 81.66
£ 10 shipping
Ships from United Kingdom to U.S.A.
Ships from United Kingdom to U.S.A.
Quantity: 2 available
Seller Image
Backtesting Value at Risk and Expected Shortfall
Published by
Springer Fachmedien Wiesbaden, 2015
ISBN 10: 3658119071
ISBN 13: 9783658119072
New
Softcover
Seller: moluna, Greven, Germany
Seller rating 4 out of 5 stars
Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Study in the field of economicsStudies about risk measures and their propertiesInvestigation of the issue related to the backtesting of Expected ShortfallRisk measures and their properties.- Elicitability.- Backtesting (VaR an. Seller Inventory # 83785406
Buy New
£ 54.95
£ 42.46 shipping
Ships from Germany to U.S.A.
Ships from Germany to U.S.A.
Quantity: Over 20 available
Seller Image
Backtesting Value at Risk and Expected Shortfall
Published by
Springer Fachmedien Wiesbaden, Springer Fachmedien Wiesbaden Dez 2015, 2015
ISBN 10: 3658119071
ISBN 13: 9783658119072
New
Taschenbuch
Seller: buchversandmimpf2000, Emtmannsberg, BAYE, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. Neuware -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.Springer Gabler in Springer Science + Business Media, Tiergartenstr. 15-17, 69121 Heidelberg 168 pp. Englisch. Seller Inventory # 9783658119072
Seller Image
Backtesting Value at Risk and Expected Shortfall
Published by
Springer Fachmedien Wiesbaden, 2015
ISBN 10: 3658119071
ISBN 13: 9783658119072
New
Taschenbuch
Seller: AHA-BUCH GmbH, Einbeck, Germany
Seller rating 5 out of 5 stars
Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. Seller Inventory # 9783658119072