Backtesting Value at Risk and Expected Shortfall
| Hovedforfatter: | |
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| Institution som forfatter: | |
| Summary: | XIX, 145 p. 45 illus. text |
| Sprog: | engelsk |
| Udgivet: |
Wiesbaden :
Springer Fachmedien Wiesbaden : Imprint: Springer Gabler,
2016.
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| Udgivelse: | 1st ed. 2016. |
| Serier: | BestMasters,
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| Fag: | |
| Online adgang: | https://doi.org/10.1007/978-3-658-11908-9 |
| Format: | Electronisk Bog |
Indholdsfortegnelse:
- Risk measures and their properties
- Elicitability
- Backtesting (VaR and ES)
- Empirical Analysis
- MATLAB code.