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Backtesting value at risk and expected shortfall

Roccioletti, Simona - 2016 - 1st ed. 2016

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Forecasting value at risk and expected shortfall using a semiparametric approach based on the asymmetric laplace distribution

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Unbiased estimation of risk

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Forecasting expected shortfall : should we use a multivariate model for stock market factors?

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Backtesting Value at Risk and Expected Shortfall

Roccioletti, Simona - 2016 - 1st ed. 2016

Risk measures and their properties -- Elicitability -- Backtesting (VaR and ES) -- Empirical Analysis -- MATLAB code. … particular she studies the new (and heavily discussed) property of "Elicitability" of a risk measure. More important, she …. Contents Risk measures and their properties Elicitability Backtesting (VaR and ES) Empirical Analysis MATLAB code Target Groups …