On the properties of the Lambda value at risk: robustness, elicitability and consistency
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Cited by:
- Silvana M. Pesenti & Steven Vanduffel, 2023. "Optimal Transport Divergences induced by Scoring Functions," Papers 2311.12183, arXiv.org, revised Apr 2024.
- Tim J. Boonen & Yuyu Chen & Xia Han & Qiuqi Wang, 2024. "Optimal insurance design with Lambda-Value-at-Risk," Papers 2408.09799, arXiv.org.
- Matthias Fischer & Thorsten Moser & Marius Pfeuffer, 2018. "A Discussion on Recent Risk Measures with Application to Credit Risk: Calculating Risk Contributions and Identifying Risk Concentrations," Risks, MDPI, vol. 6(4), pages 1-28, December.
- Javier Ojea-Ferreiro, 2021.
"Deconstructing Systemic Risk: A Reverse Stress Testing Approach,"
Springer Books, in: Marco Corazza & Manfred Gilli & Cira Perna & Claudio Pizzi & Marilena Sibillo (ed.), Mathematical and Statistical Methods for Actuarial Sciences and Finance, pages 369-375,
Springer.
- Javier Ojea-Ferreiro, 2021. "Deconstructing systemic risk: A reverse stress testing approach," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Fabio Bellini & Ilaria Peri, 2021. "An axiomatization of $\Lambda$-quantiles," Papers 2109.02360, arXiv.org, revised Jan 2022.
- Christopher P. Chambers & Alan D. Miller, 2023. "Multiple Adjusted Quantiles," Papers 2305.06354, arXiv.org.
- Owusu Junior, Peterson & Alagidede, Imhotep, 2020. "Risks in emerging markets equities: Time-varying versus spatial risk analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 542(C).
- Xia Han & Peng Liu, 2024. "Robust Lambda-quantiles and extreme probabilities," Papers 2406.13539, arXiv.org.
- Valeria Bignozzi & Matteo Burzoni & Cosimo Munari, 2020. "Risk Measures Based on Benchmark Loss Distributions," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(2), pages 437-475, June.
- Akif Ince & Ilaria Peri & Silvana Pesenti, 2021. "Risk contributions of lambda quantiles," Papers 2106.14824, arXiv.org, revised Nov 2022.
- Asmerilda Hitaj & Cesario Mateus & Ilaria Peri, 2018. "Lambda Value at Risk and Regulatory Capital: A Dynamic Approach to Tail Risk," Risks, MDPI, vol. 6(1), pages 1-18, March.
- Peng Liu & Andreas Tsanakas & Yunran Wei, 2024. "Risk sharing with Lambda value at risk under heterogeneous beliefs," Papers 2408.03147, arXiv.org, revised Sep 2024.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-RMG-2016-04-09 (Risk Management)
- NEP-RMG-2016-04-23 (Risk Management)
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