EAN: 9783658119072

9783658119072 - BestMasters   Backtesting Value at Risk and Expected Shortfall - Simona Roccioletti Kartoniert (TB)
Bilder-Quelle: discount24.de - Sport-Freizeit
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.
Produktinformationen zuletzt aktualisiert am
16.03.2025 um 14:39 Uhr


Hersteller
-
EAN
9783658119072
MPN
-
ASIN
3658119071
Produktgruppe
-

Produktzustand:

Verfügbarkeit:

Versandkosten:

Sonderpreis:

Loading