Skip to main content
  • Book
  • © 2016

Backtesting Value at Risk and Expected Shortfall

  • Study in the field of economics
  • Studies about risk measures and their properties
  • Investigation of the issue related to the backtesting of Expected Shortfall
  • Includes supplementary material: sn.pub/extras

Part of the book series: BestMasters (BEST)

Buy it now

Buying options

eBook USD 54.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 69.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access

This is a preview of subscription content, log in via an institution to check for access.

Table of contents (5 chapters)

  1. Front Matter

    Pages i-xix
  2. Introduction

    • Simona Roccioletti
    Pages 1-4
  3. Risk Measures and their Properties

    • Simona Roccioletti
    Pages 5-25
  4. Elicitability

    • Simona Roccioletti
    Pages 27-41
  5. Backtesting

    • Simona Roccioletti
    Pages 43-69
  6. Empirical Analysis

    • Simona Roccioletti
    Pages 71-97
  7. Back Matter

    Pages 99-145

About this book

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.

Authors and Affiliations

  • Guilianova, Italy

    Simona Roccioletti

About the author

Simona Roccioletti obtained her Master of Arts degree in Quantitative Asset and Risk Management at the University of Applied Sciences (bfi) Vienna, Austria.

Bibliographic Information

Buy it now

Buying options

eBook USD 54.99
Price excludes VAT (USA)
  • Available as PDF
  • Read on any device
  • Instant download
  • Own it forever
Softcover Book USD 69.99
Price excludes VAT (USA)
  • Compact, lightweight edition
  • Dispatched in 3 to 5 business days
  • Free shipping worldwide - see info

Tax calculation will be finalised at checkout

Other ways to access