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Faculty of Actuarial Science and Insurance Seminar with Dr Ilaria Peri, Birkbeck University.

by Faculty Events

Presentation

Wed, 18 Oct 2017

4:00 PM – 5:00 PM

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Cass Business School, 106 Bunhill Row

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

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Description

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.
 
 



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Where

Cass Business School, 106 Bunhill Row

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

Speakers

Ilaria Peri

Dr

Birkbeck, University of London

Hosted By

Faculty Events

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