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Backtesting Value at Risk and Expected Shortfall

Roccioletti, Simona - 2016 - 1st ed. 2016

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...