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On the properties of the Lambda value at risk: robustness, elicitability and consistency
- Publication Year :
- 2019
- Publisher :
- Taylor and Francis, 2019.
-
Abstract
- © 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.
- Subjects :
- Deviation risk measure
050208 finance
Risk measure
05 social sciences
ems
Entropic value at risk
01 natural sciences
FOS: Economics and business
Dynamic risk measure
010104 statistics & probability
Spectral risk measure
Time consistency
Risk Management (q-fin.RM)
0502 economics and business
Coherent risk measure
Econometrics
0101 mathematics
General Economics, Econometrics and Finance
Finance
Value at risk
Quantitative Finance - Risk Management
Mathematics
Subjects
Details
- Language :
- English
- ISSN :
- 14697688
- Database :
- OpenAIRE
- Accession number :
- edsair.doi.dedup.....3c64f533ed71c6ad3dd86b0a802c89ab