Backtesting Value at Risk and Expected Shortfall

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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.