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On the properties of the Lambda value at risk: robustness,elicitability and consistency |
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| Authors: | M Burzoni C M Ruffo |
| Institution: | 1. Department of Mathematics, ETH Zürich, R?mistrasse 101, 8092Zürich, Switzerland.;2. Department of Statistics and Quantitative Methods, University of Milano Bicocca, Via Bicocca degli Arcimboldi 8, 20126Milan, Italy. |
| Abstract: | |
| Keywords: | Consistency Elicitability Lambda value at risk Law invariant risk measures Risk measures robustness |