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

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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