8 citations · 14 across the 8 of their papers we have counts for
10 papers
Numerical methods for lambda quantiles: robust evaluation and portfolio optimisation
Ilaria Peri, Linus Wunderlich
Lambda quantiles, originally introduced as lambda value at risk, generalise the classical value at risk by allowing for a variable confidence level. This work presents efficient al…
Ranking Metrics: Extending Acceptability and Performance Indexes
Asmerilda Hitaj, Elisa Mastrogiacomo, Ilaria Peri +1
This paper develops an axiomatic framework for ranking metrics, a general class of functionals for evaluating and ordering financial or insurance positions. Unlike traditional risk…
Constructing elicitable risk measures
Akif Ince, Marlon Moresco, Ilaria Peri +1
We provide a constructive way of defining new elicitable risk measures that are characterised by a multiplicative scoring function. We show that depending on the choice of the scor…
A Hybrid Model for Forecasting Short-Term Electricity Demand
Maria Eleni Athanasopoulou, Justina Deveikyte, Alan Mosca +2
Currently the UK Electric market is guided by load (demand) forecasts published every thirty minutes by the regulator. A key factor in predicting demand is weather conditions, with…
An axiomatization of -quantiles
Fabio Bellini, Ilaria Peri
We give an axiomatic foundation to -quantiles, a family of generalized quantiles introduced by Frittelli et al. (2014) under the name of Lambda Value at Risk. Under mild assumpt…
Risk contributions of lambda quantiles
Akif Ince, Ilaria Peri, Silvana Pesenti
Risk contributions of portfolios form an indispensable part of risk adjusted performance measurement. The risk contribution of a portfolio, e.g., in the Euler or Aumann-Shapley fra…
On the properties of the Lambda value at risk: robustness, elicitability and consistency
Matteo Burzoni, Ilaria Peri, Chiara Maria Ruffo
Recently, 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 estima…
Backtesting Lambda Value at Risk
Jacopo Corbetta, Ilaria Peri
A new risk measure, the lambda value at risk (Lambda VaR), has been recently proposed from a theoretical point of view as a generalization of the value at risk (VaR). The Lambda Va…
From Risk Measures to Research Measures
Marco Frittelli, Ilaria Peri
In order to evaluate the quality of the scientific research, we introduce a new family of scientific performance measures, called Scientific Research Measures (SRM). Our proposal o…
Risk Measures on and Value At Risk with Probability/Loss function
Marco Frittelli, Marco Maggis, Ilaria Peri
We propose a generalization of the classical notion of the that takes into account not only the probability of the losses, but the balance between such probability and the…