Backtesting Value at Risk and Expected Shortfall
| Prif Awdur: | |
|---|---|
| Awdur Corfforaethol: | |
| Crynodeb: | XIX, 145 p. 45 illus. text |
| Iaith: | Saesneg |
| Cyhoeddwyd: |
Wiesbaden :
Springer Fachmedien Wiesbaden : Imprint: Springer Gabler,
2016.
|
| Rhifyn: | 1st ed. 2016. |
| Cyfres: | BestMasters,
|
| Pynciau: | |
| Mynediad Ar-lein: | https://doi.org/10.1007/978-3-658-11908-9 |
| Fformat: | Electronig Llyfr |
Tabl Cynhwysion:
- Risk measures and their properties
- Elicitability
- Backtesting (VaR and ES)
- Empirical Analysis
- MATLAB code.