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

    Burzoni, M. and Peri, Ilaria and Ruffo, C.M. (2017) On the properties of the Lambda value at risk: robustness, elicitability and consistency. Quantitative Finance 17 (11), pp. 1735-1743. ISSN 1469-7688.

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    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 (), 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 also satisfies the properties of robustness, elicitability and consistency under some conditions.

    Metadata

    Item Type: Article
    Keyword(s) / Subject(s): Consistency, Elicitability, Lambda value at risk, Law invariant risk measures, Risk measures, robustness
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 26 Sep 2017 10:00
    Last Modified: 04 Oct 2018 00:10
    URI: http://eprints.bbk.ac.uk/id/eprint/19829

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