Click Here to Download: https://ouo.io/ksIZ3W Backtesting Value at Risk and Expected Shortfall By: Simona Roccioletti Publisher: Springer Gabler Print ISBN: 9783658119072, 3658119071 eText ISBN: 9783658119089, 365811908X Copyright year: 2016 Format: PDF Available from $ 79.99 USD SKU 9783658119089 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.
