On the properties of the Lambda value at risk: robustness, elicitability and consistency - Research Collection

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Author

Burzoni, Matteo

Ruffo, Chiara M.

Date

2017

Type

Journal Article

Citations

Cited 10 times in Scopus

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1080/14697688.2017.1297535

Journal / series

Quantitative Finance

Volume

17(11)

Pages / Article No.

1735 - 1743

Publisher

Routledge

Subject

Consistency; Elicitability; Lambda value at risk; Law invariant risk measures; Risk measures; robustness

Organisational unit

03658 - Schweizer, Martin / Schweizer, Martin

Related publications and datasets

Is variant form of: http://hdl.handle.net/20.500.11850/126554

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Citations

Cited 10 times in Scopus

ETH Bibliography

yes

Altmetrics