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 |
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Taylor and Francis
2017
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| _version_ | 1826280809263267840 |
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| author | Burzoni, M Peri, I Ruffo, C |
| author_facet | Burzoni, M Peri, I Ruffo, C |
| author_sort | Burzoni, M |
| collection | OXFORD |
| description | © 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 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 (Λ V a R), 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 Λ V a R also satisfies the properties of robustness, elicitability and consistency under some conditions. |
| first_indexed | 2024-03-07T00:19:18Z |
| format | Journal article |
| id | oxford-uuid:7bf6be46-199b-49d6-a32f-ff9b1e5188fa |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-07T00:19:18Z |
| publishDate | 2017 |
| publisher | Taylor and Francis |
| record_format | dspace |
| spelling | oxford-uuid:7bf6be46-199b-49d6-a32f-ff9b1e5188fa2022-03-26T20:54:03ZOn the properties of the Lambda value at risk: robustness, elicitability and consistencyJournal articlehttp://purl.org/coar/resource_type/c_dcae04bcuuid:7bf6be46-199b-49d6-a32f-ff9b1e5188faEnglishSymplectic Elements at OxfordTaylor and Francis2017Burzoni, MPeri, IRuffo, C© 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 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 (Λ V a R), 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 Λ V a R also satisfies the properties of robustness, elicitability and consistency under some conditions. |
| spellingShingle | Burzoni, M Peri, I Ruffo, C On the properties of the Lambda value at risk: robustness, elicitability and consistency |
| title | On the properties of the Lambda value at risk: robustness, elicitability and consistency |
| title_full | On the properties of the Lambda value at risk: robustness, elicitability and consistency |
| title_fullStr | On the properties of the Lambda value at risk: robustness, elicitability and consistency |
| title_full_unstemmed | On the properties of the Lambda value at risk: robustness, elicitability and consistency |
| title_short | On the properties of the Lambda value at risk: robustness, elicitability and consistency |
| title_sort | on the properties of the lambda value at risk robustness elicitability and consistency |
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