On the properties of the Lambda value at risk: robustness, elicitability and consistency
© 2017 Informa UK Limited, trading as Taylor & Francis Group. 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 procedu...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Taylor and Francis
2017
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