communication: Backtesting Lambda Value at Risk
speaker: Jacopo Corbettaspeaker: Ilaria Peri
abstract: A new risk measure, the lambda value at risk (ΛVaR), has been recently proposed from a theoretical point of view as an immediate generalization of the value at risk (VaR). The ΛVaR appears to be attractive for its potential ability to solve several problems of the V aR. In this paper we propose three nonparametric backtesting methodologies for the ΛVaR which exploit different features. Two of these tests directly assess the correctness of the level of coverage predicted by the model. One of these tests is bilateral and provides an asymptotic result. A third test assess the accuracy of the ΛVaR that depends on the choice of the P&L distribution. However, this test requires the storage of more information. Finally, we perform a backtesting exercise and we compare our results with the ones from Hitaj and Peri (2015).
timetable:
Fri 29 Jan, 11:00 - 13:00, Sala Stemmi
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