Backtesting Value at Risk and Expected Shortfall - BestMasters - Simona Roccioletti - Books - Springer - 9783658119072 - December 11, 2015
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Simona Roccioletti
Backtesting Value at Risk and Expected Shortfall - BestMasters 1st ed. 2016 edition

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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

Media Books     Paperback Book   (Book with soft cover and glued back)
Released December 11, 2015
ISBN13 9783658119072
Publishers Springer
Pages 145
Dimensions 248 × 154 × 12 mm   ·   226 g
Language German  

Mere med samme udgiver

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