On the properties of the Lambda value at risk: robustness, elicitability and consistency

Matteo Burzoni, Ilaria Peri and Chiara Maria Ruffo

Papers from arXiv.org

Abstract: Recently, 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 (2016) 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 (Lambda VaR), has been recently proposed by Frittelli et al. (2014), 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 Lambda VaR also satisfies the properties of robustness, elicitability and consistency under some conditions.

Date: 2016-03, Revised 2017-02
New Economics Papers: this item is included in nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

Downloads: (external link)
http://arxiv.org/pdf/1603.09491 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1603.09491

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().