8 citations · 14 across the 8 of their papers we have counts for
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q-fin.RM2016
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…
q-fin.RM2016
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…