Backtesting Value at Risk and Expected Shortfall

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.

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

Autorentext

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

Inhalt
Risk measures and their properties.- Elicitability.- Backtesting (VaR and ES).- Empirical Analysis.- MATLAB code.