8 citations · 8 across the 1 of their papers we have counts for
2 papers
q-fin.MF2025
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…
q-fin.RM2021★ 8 cited
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…