On the properties of the Lambda value at risk: robustness, elicitability and consistency
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Author / Producer
Date
2017
Publication Type
Journal Article
ETH Bibliography
yes
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Publication status
published
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Book title
Journal / series
Volume
17 (11)
Pages / Article No.
1735 - 1743
Publisher
Routledge
Event
Edition / version
Methods
Software
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Date collected
Date created
Subject
Consistency; Elicitability; Lambda value at risk; Law invariant risk measures; Risk measures; robustness
Organisational unit
03658 - Schweizer, Martin / Schweizer, Martin
Notes
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