EAN: 9783658119072

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.

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16.03.2025 um 14:39 Uhr

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