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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KIN

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.

Thyroxine

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