Il giorno Giovedì 12 Febbraio 2015, alle ore 14:30 presso la sede di Prometeia (sala grande, primo piano) via G.Marconi 43, Bologna
Ilaria PERI (ESC Rennes School of Business)
terrà un seminario dal titolo
"Lambda value at risk: a new backtestable alternative to VaR"
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 VaR. This paper presents the first empirical application of the ΛVaR to equity markets. Our benchmark approach reveals that the ΛVaR is able to capture extreme downward scenarios and react to market fluctuations significantly faster than the VaR and expected shortfall. In addition, we show that the ΛVaR satisfies the elicitability property under general conditions. This property guarantees proper backtesting and statistically meaningful comparisons among ΛVaR and VaR. Hence, we perform a backtesting exercise by adapting the VaR hypothesis-testing framework. The results display a higher level of accuracy for our ΛVaR calibrations. Our comparative analysis also shows that ΛVaR performs better than VaR.