Titlebook: Backtesting Value at Risk and Expected Shortfall; Simona Roccioletti Book 2016 Springer Fachmedien Wiesbaden 2016 Risk Measures.Value at R

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Simona RocciolettiStudy 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:

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Backtesting Value at Risk and Expected Shortfall978-3-658-11908-9Series ISSN 2625-3577 Series E-ISSN 2625-3615

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TSH582

Precursor

Handbook of Social Support and the FamilyAs we have seen before, a risk measure has to be estimated from historical data. In order to reach the best possible point estimate, we have to make several choices concerning models, methods and parameters.

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Inge Bretherton,Reghan Walsh,Molly LependorfRegulators experience the crucial but onerous task of establishing capital requirements for financial intermediaries.