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Backtesting Value at Risk and Expected Shortfall - BestMasters Simona Roccioletti 1st ed. 2016 edition
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Backtesting Value at Risk and Expected Shortfall - BestMasters
Simona Roccioletti
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.
145 pages, 45 black & white illustrations, 27 black & white tables, biography
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