 On the properties of the Lambda value at risk: robustness, elicitability and consistencyM. Burzoni, I. Peri and C. M. Ruffo Quantitative Finance, 2017, vol. 17, issue 11, 1735-1743 Abstract: Recently, the financial industry and regulators have enhanced the debate on the good properties of a risk measure. A fundamental issue is the evaluation of the quality of a risk estimation. On the one hand, a backtesting procedure is desirable for assessing the accuracy of such an estimation and this can be naturally achieved by elicitable risk measures. For the same objective, an alternative approach has been introduced by Davis [Stat. Risk Model. Appl. Finance Insurance, 2016, 33, 67–93] through the so-called consistency property. On the other hand, a risk estimation should be less sensitive with respect to small changes in the available data-set and exhibit qualitative robustness. A new risk measure, the Lambda value at risk (ΛVaR$ \Lambda VaR $), has been recently proposed by Frittelli et al. [Math. Finance, 2014, 24, 442–463], as a generalization of VaR with the ability to discriminate the risk among P&L distributions with different tail behaviour. In this article, we show that ΛVaR$ \Lambda VaR $ also satisfies the properties of robustness, elicitability and consistency under some conditions. Date: 2017 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:quantf:v:17:y:2017:i:11:p:1735-1743 Ordering information: This journal article can be ordered from DOI: 10.1080/14697688.2017.1297535 Access Statistics for this article Quantitative Finance is currently edited by Michael Dempster and Jim Gatheral More articles in Quantitative Finance from Taylor & Francis Journals |
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