Holdings: Backtesting value at risk and expected shortfall

Backtesting value at risk and expected shortfall:

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Bibliographic Details
Main Author:	Roccioletti, Simona (Author)
Format:	Thesis Electronic eBook
Language:	English
Published:	Wiesbaden Springer Gabler [2016]
Series:	BestMasters
Subjects:	Finance Economic theory Macroeconomics Economics Macroeconomics/Monetary Economics//Financial Economics Finance, general Economic Theory/Quantitative Economics/Mathematical Methods Wirtschaft Finanzwissenschaft Risikoanalyse Makroökonomie Hochschulschrift
Online Access:	BTU01 FAB01 FHA01 FHI01 FHM01 FHN01 FHR01 FKE01 FNU01 FRO01 FWS01 FWS02 HTW01 HWR01 UBG01 UBT01 UBY01 UEI01 UER01 UPA01 Volltext Inhaltsverzeichnis Abstract
Physical Description:	1 Online Ressource (xix, 145 Seiten)
ISBN:	9783658119089
DOI:	10.1007/978-3-658-11908-9

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Record in the Search Index

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adam_text	BACKTESTING VALUE AT RISK AND EXPECTED SHORTFALL / ROCCIOLETTI, SIMONA : 2016 TABLE OF CONTENTS / INHALTSVERZEICHNIS RISK MEASURES AND THEIR PROPERTIES ELICITABILITY BACKTESTING (VAR AND ES) EMPIRICAL ANALYSIS MATLAB CODE DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT. BACKTESTING VALUE AT RISK AND EXPECTED SHORTFALL / ROCCIOLETTI, SIMONA : 2016 ABSTRACT / INHALTSTEXT 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. CONTENTS RISK MEASURES AND THEIR PROPERTIES ELICITABILITY BACKTESTING (VAR AND ES) EMPIRICAL ANALYSIS MATLAB CODE TARGET GROUPS RESEARCHERS AND STUDENTS IN ECONOMICS AND FINANCE PRACTITIONERS IN RISK MANAGEMENT THE AUTHOR SIMONA ROCCIOLETTI OBTAINED HER MASTER OF ARTS DEGREE IN QUANTITATIVE ASSET AND RISK MANAGEMENT AT THE UNIVERSITY OF APPLIED SCIENCES (BFI) VIENNA, AUSTRIA DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
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indexdate	2025-02-20T06:52:38Z
institution	BVB
isbn	9783658119089
language	English
oai_aleph_id	oai:aleph.bib-bvb.de:BVB01-028634909
oclc_num	944063307
open_access_boolean
owner	DE-523 DE-2070s DE-1043 DE-Aug4 DE-573 DE-1049 DE-859 DE-703 DE-473 DE-BY-UBG DE-29 DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-92 DE-824 DE-739 DE-83 DE-634 DE-898 DE-BY-UBR DE-M347 DE-861 DE-706
owner_facet	DE-523 DE-2070s DE-1043 DE-Aug4 DE-573 DE-1049 DE-859 DE-703 DE-473 DE-BY-UBG DE-29 DE-863 DE-BY-FWS DE-862 DE-BY-FWS DE-92 DE-824 DE-739 DE-83 DE-634 DE-898 DE-BY-UBR DE-M347 DE-861 DE-706
physical	1 Online Ressource (xix, 145 Seiten)
psigel	ZDB-2-ECF ZDB-2-ECF_2016
publishDate	2016
publishDateSearch	2016
publishDateSort	2016
publisher	Springer Gabler
record_format	marc
series2	BestMasters
spellingShingle	Roccioletti, Simona Backtesting value at risk and expected shortfall Finance Economic theory Macroeconomics Economics Macroeconomics/Monetary Economics//Financial Economics Finance, general Economic Theory/Quantitative Economics/Mathematical Methods Wirtschaft Finanzwissenschaft (DE-588)4121273-3 gnd Risikoanalyse (DE-588)4137042-9 gnd Makroökonomie (DE-588)4037174-8 gnd
subject_GND	(DE-588)4121273-3 (DE-588)4137042-9 (DE-588)4037174-8 (DE-588)4113937-9
title	Backtesting value at risk and expected shortfall
title_auth	Backtesting value at risk and expected shortfall
title_exact_search	Backtesting value at risk and expected shortfall
title_full	Backtesting value at risk and expected shortfall Simona Roccioletti
title_fullStr	Backtesting value at risk and expected shortfall Simona Roccioletti
title_full_unstemmed	Backtesting value at risk and expected shortfall Simona Roccioletti
title_short	Backtesting value at risk and expected shortfall
title_sort	backtesting value at risk and expected shortfall
topic	Finance Economic theory Macroeconomics Economics Macroeconomics/Monetary Economics//Financial Economics Finance, general Economic Theory/Quantitative Economics/Mathematical Methods Wirtschaft Finanzwissenschaft (DE-588)4121273-3 gnd Risikoanalyse (DE-588)4137042-9 gnd Makroökonomie (DE-588)4037174-8 gnd
topic_facet	Finance Economic theory Macroeconomics Economics Macroeconomics/Monetary Economics//Financial Economics Finance, general Economic Theory/Quantitative Economics/Mathematical Methods Wirtschaft Finanzwissenschaft Risikoanalyse Makroökonomie Hochschulschrift
url	https://doi.org/10.1007/978-3-658-11908-9 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028634909&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028634909&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA
work_keys_str_mv	AT rocciolettisimona backtestingvalueatriskandexpectedshortfall

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