8 citations · 14 across the 8 of their papers we have counts for
6 papers · 1 filter
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…
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…