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Article

Bellini, F. and Peri, Ilaria (2022) Short communication: An axiomatization of $\Lambda$-Quantiles. SIAM Journal on Financial Mathematics 13 (1), SC26-SC38. ISSN 1945-497X.

Ince, Akif and Peri, Ilaria and Pesenti, S. (2022) Risk contributions of lambda quantiles. Quantitative Finance 22 (10), pp. 1871-1891. ISSN 1469-7688.

Hitaj, A. and Mateus, C. and Peri, Ilaria (2018) Lambda value at risk and regulatory capital: a dynamic approach to tail risk. Risks 6 (1), p. 17. ISSN 2227-9091.

Corbetta, J. and Peri, Ilaria (2018) Backtesting lambda value at risk. The European Journal of Finance 24 (13), pp. 1075-1087. ISSN 1351-847X.

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.

Frittelli, M. and Mancini, L. and Peri, Ilaria (2016) Scientific research measures. Journal of the Association for Information Science and Technology 67 (12), pp. 3051-3063. ISSN 2330-1643.

Frittelli, M. and Maggis, M. and Peri, Ilaria (2014) Risk measures on P(R) and value at risk with probability/loss function. Mathematical Finance 24 (3), pp. 442-463. ISSN 0960-1627.

Conference or Workshop Item

Athanasopoulou, Maria Eleni and Deveikyte, Justina and Mosca, Alan and Peri, Ilaria and Provetti, Alessandro (2021) A hybrid model for forecasting short-term electricity demand. In: 2nd ACM International Conference on AI in Finance, 03-05 Nov 2021, London, UK. (In Press)