Backtesting Value at Risk and Expected Shortfall
| Autor Principal: | |
|---|---|
| Autor Corporativo: | |
| Summary: | XIX, 145 p. 45 illus. text |
| Idioma: | inglés |
| Publicado: |
Wiesbaden :
Springer Fachmedien Wiesbaden : Imprint: Springer Gabler,
2016.
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| Edición: | 1st ed. 2016. |
| Series: | BestMasters,
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| Subjects: | |
| Acceso en liña: | https://doi.org/10.1007/978-3-658-11908-9 |
| Formato: | Electrónico Libro |
Table of Contents:
- Risk measures and their properties
- Elicitability
- Backtesting (VaR and ES)
- Empirical Analysis
- MATLAB code.