Cass Business School | Groups
Faculty of Actuarial Science and Insurance Seminar with Dr Ilaria Peri, Birkbeck University.

Wednesday, October 18
4:00pm – 5:00pm 
Cass Business School, 106 Bunhill Row
106 Bunhill Row, London EC1Y 8TZ, Great Britain (UK)
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Event Details
Lambda VaR: theoretical properties and financial applications.

Abstract:
A new risk measure, the Lambda value at risk (ΛVaR), has been 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 talk, we propose an overview of the results in Frittelli et al. (2014), Burzoni et al. (2017) and more recent works in progress. We present the theoretical aspects behind the Lambda VaR as a risk measure and generalized quantile. We also show that it satisfies under some conditions desirable properties for the financial applications, such as robustness, elicitability and consistency.
 
 
Where & When

106 Bunhill Row, London EC1Y 8TZ, Great Britain (UK)

Wednesday, October 18, 4:00pm – 5:00pm

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Ilaria Peri
Birkbeck, University of London
Dr