英文标题：
《On the properties of the Lambda value at risk: robustness, elicitability
  and consistency》
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作者：
Matteo Burzoni, Ilaria Peri, Chiara Maria Ruffo
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最新提交年份：
2017
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英文摘要：
  Recently, financial industry and regulators have enhanced the debate on the good properties of a risk measure. A fundamental issue is the evaluation of the quality of a risk estimation. On the one hand, a backtesting procedure is desirable for assessing the accuracy of such an estimation and this can be naturally achieved by elicitable risk measures. For the same objective, an alternative approach has been introduced by Davis (2016) through the so-called consistency property. On the other hand, a risk estimation should be less sensitive with respect to small changes in the available data set and exhibit qualitative robustness. A new risk measure, the Lambda value at risk (Lambda VaR), has been recently 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 article, we show that Lambda VaR also satisfies the properties of robustness, elicitability and consistency under some conditions.
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中文摘要：
最近，金融业和监管机构加强了关于风险度量的良好性质的辩论。一个基本问题是评估风险评估的质量。一方面，需要一种回溯测试程序来评估这种估计的准确性，这可以通过可引出的风险度量自然实现。出于同样的目的，Davis（2016）通过所谓的一致性属性引入了另一种方法。另一方面，对于可用数据集中的微小变化，风险估计应该不那么敏感，并表现出定性稳健性。Frittelli等人（2014）最近提出了一种新的风险度量，即Lambda风险值（Lambda VaR），作为VaR的推广，能够区分不同尾部行为的损益分布中的风险。在本文中，我们证明了Lambda-VaR在某些条件下也满足鲁棒性、可导性和一致性的性质。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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