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

DOI10.1080/14697688.2017.1297535zbMath1402.91906arXiv1603.09491OpenAlexW2320630964MaRDI QIDQ4555176

C. M. Ruffo, Ilaria Peri, Matteo Burzoni

Publication date: 19 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1603.09491

zbMATH Keywords

robustnessconsistencyrisk measureselicitabilitylaw invariant risk measureslambda value at risk

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

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