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Beschreibung
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.
Details
| Verlag | Springer Fachmedien Wiesbaden GmbH |
| Ersterscheinung | 11. Dezember 2015 |
| Maße | 21 cm x 14.8 cm |
| Gewicht | 2255 Gramm |
| Format | Softcover |
| ISBN-13 | 9783658119072 |
| Auflage | 1st ed. 2016 |
| Seiten | 145 |
Schlagwörter
Economic Theory/Quantitative Economics/Mathematical Methods, Finance - general, Financial Economics, Finanzenwesen und Finanzindustrie, Macroeconomics and Monetary Economics, Macroeconomics/Monetary Economics//Financial Economics, Makroökonomie, Quantitative Economics, Wirtschaftstheorie und -philosophie
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