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Name: Backtesting Value at Risk and Expected Shortfall.
Author: Roccioletti, Simona
ISBN: 978-3-658-11907-2

Backtesting Value at Risk and Expected Shortfall. バリュー・アット・リスクと期待ショートフォールのバックテスト

・ISBN 978-3-658-11907-2 paper

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著者・編者	Roccioletti, Simona,
シリーズ	BestMasters
出版社	(Springer Gabler, GW)
出版年月	2016
ページ数	145 pp.
言語	ENG
ニュース番号	＜630-388 630-L431＞

解説

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.