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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Richard M. Ryan,Jessica A. SolkyIn this chapter we present some concrete backtesting results for both Value at Risk and Expected Shortfall..The major scope of this work is to apply the new ES backtesting methodologies (described in Chapter 4) to real financial time series.

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Elicitability,As 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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Empirical Analysis,In this chapter we present some concrete backtesting results for both Value at Risk and Expected Shortfall..The major scope of this work is to apply the new ES backtesting methodologies (described in Chapter 4) to real financial time series.

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