{"product_id":"backtesting-value-at-risk-and-expected-shortfall-paperback","title":"Backtesting Value at Risk and Expected Shortfall - Paperback","description":"\u003cp\u003eby \u003cb\u003eSimona Roccioletti\u003c\/b\u003e (Author)\u003c\/p\u003e\u003cp\u003eIn 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.\u003c\/p\u003e\u003ch3\u003eBack Jacket\u003c\/h3\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eIn 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.\u003c\/p\u003e\u003cp\u003e\u003cb\u003eContents\u003c\/b\u003e\u003cbr\u003e\u003c\/p\u003e \u003cp\u003e\u003c\/p\u003e\u003cul\u003e\n\u003cli\u003eRisk measures and their properties\u003cbr\u003e\n\u003c\/li\u003e\n\u003cli\u003eElicitability\u003cbr\u003e\n\u003c\/li\u003e\n\u003cli\u003eBacktesting (VaR and ES)\u003cbr\u003e\n\u003c\/li\u003e\n\u003cli\u003eEmpirical Analysis\u003cbr\u003e\n\u003c\/li\u003e\n\u003cli\u003eMATLAB code\u003cbr\u003e\n\u003c\/li\u003e\n\u003c\/ul\u003e \u003cp\u003e\u003cb\u003eTarget Groups\u003c\/b\u003e\u003c\/p\u003e\u003cp\u003e\u003c\/p\u003e\u003cul\u003e\n\u003cli\u003eResearchers and Students in Economics and Finance\u003cbr\u003e\n\u003c\/li\u003e\n\u003cli\u003ePractitioners in Risk Management\u003cbr\u003e\n\u003c\/li\u003e\n\u003c\/ul\u003e \u003cp\u003e\u003c\/p\u003e\u003cb\u003eThe Author\u003c\/b\u003e \u003cp\u003eSimona Roccioletti obtained her Master of Arts degree in Quantitative Asset and Risk Management at the University of Applied Sciences (bfi) Vienna, Austria.\u003c\/p\u003e\u003ch3\u003eAuthor Biography\u003c\/h3\u003e\u003cp\u003e\u003c\/p\u003e\u003cp\u003eSimona Roccioletti obtained her Master of Arts degree in Quantitative Asset and Risk Management at the University of Applied Sciences (bfi) Vienna, Austria.\u003c\/p\u003e\u003cdiv\u003e\n\u003cstrong\u003eNumber of Pages:\u003c\/strong\u003e 145\u003c\/div\u003e\u003cdiv\u003e\n\u003cstrong\u003eDimensions:\u003c\/strong\u003e 0.39 x 8.27 x 5.83 IN\u003c\/div\u003e\u003cdiv\u003e\n\u003cstrong\u003eIllustrated:\u003c\/strong\u003e Yes\u003c\/div\u003e\u003cdiv\u003e\n\u003cstrong\u003ePublication Date:\u003c\/strong\u003e December 11, 2015\u003c\/div\u003e","brand":"Books by splitShops","offers":[{"title":"Default Title","offer_id":42711326261311,"sku":"9783658119072","price":113.38,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0105\/8226\/1823\/files\/2cfae35f3035a563ff8d7adbfaf478f1.webp?v=1765058107","url":"https:\/\/dhl-adrianne.myshopify.com\/products\/backtesting-value-at-risk-and-expected-shortfall-paperback","provider":"BBB","version":"1.0","type":"link"}