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

DOI10.1080/14697688.2017.1297535MaRDI QIDQ4555176zbMATH OpenOpenAlexFDO

Authors Matteo Burzoni, Ilaria Peri, C. M. Ruffo

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, https://eprints.bbk.ac.uk/id/eprint/19829/1/19829.pdf

zbMATH Keywords

consistencyelicitabilitylambda value at risklaw invariant risk measuresrisk measuresrobustness

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Abstract: 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 estimation. On the one hand, a backtesting procedure is desirable for assessing the accuracy of such an estimation and this can be naturally achieved by elicitable risk measures. For the same objective, an alternative approach has been introduced by Davis (2016) through the so-called consistency property. On the other hand, a risk estimation should be less sensitive with respect to small changes in the available data set and exhibit qualitative robustness. A new risk measure, the Lambda value at risk (Lambda VaR), has been recently proposed by Frittelli et al. (2014), as a generalization of VaR with the ability to discriminate the risk among P&L distributions with different tail behaviour. In this article, we show that Lambda VaR also satisfies the properties of robustness, elicitability and consistency under some conditions.

Recommendations

• Comparative and qualitative robustness for law-invariant risk measures
• Robustness in the optimization of risk measures
• Qualitative robustness of set-valued value-at-risk
• Loss-based risk measures
• Robustness regions for measures of risk aggregation

Cites work

• A note on generalized inverses
• Coherence and elicitability
• Coherent measures of risk
• Comparative and qualitative robustness for law-invariant risk measures
• Higher order elicitability and Osband's principle
• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• Making and evaluating point forecasts
• On elicitable risk measures
• Probability with Martingales
• Qualitative and infinitesimal robustness of tail-dependent statistical functionals
• Risk measures on \(\mathcal{P}(\mathbb R)\) and value at risk with probability/loss function
• Risk preferences and their robust representation
• Robust Statistics
• Robustness and sensitivity analysis of risk measurement procedures
• Verification of internal risk measure estimates

Cited in

(11)

• Disentangling price, risk and model risk: V\&R measures
• Risks in emerging markets equities: time-varying versus spatial risk analysis
• Risk contributions of lambda quantiles
• Short communication: An axiomatization of \(\Lambda\)-quantiles
• Robust -quantiles and extremal distributions
• Optimal insurance design with lambda-value-at-risk
• Optimal transport divergences induced by scoring functions
• Optimal risk sharing for lambda value-at-risk
• Deconstructing systemic risk: a reverse stress testing approach
• Risk sharing with lambda value-at-risk under heterogeneous beliefs
• Numerical methods for lambda quantiles: robust evaluation and portfolio optimization

This page was built for publication: On the properties of the lambda value at risk: robustness, elicitability and consistency

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4555176)