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A new risk measure, the lambda value at risk (Lambda VaR), has been recently proposed from a theoretical point of view as a generalization of the value at risk (VaR). The Lambda VaR appears attractive for its potential ability to solve several problems of the VaR. In this paper we propose three nonparametric backtesting methodologies for the Lambda VaR 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 Lambda VaR 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)
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 assess
In economics, insurance and finance, value at risk (VaR) is a widely used measure of the risk of loss on a specific portfolio of financial assets. For a given portfolio, time horizon, and probability $alpha$, the $100alpha%$ VaR is defined as a thres
Several well-established benchmark predictors exist for Value-at-Risk (VaR), a major instrument for financial risk management. Hybrid methods combining AR-GARCH filtering with skewed-$t$ residuals and the extreme value theory-based approach are parti
We derive bounds on the distribution function, therefore also on the Value-at-Risk, of $varphi(mathbf X)$ where $varphi$ is an aggregation function and $mathbf X = (X_1,dots,X_d)$ is a random vector with known marginal distributions and partially kno
In this paper we propose a novel Bayesian methodology for Value-at-Risk computation based on parametric Product Partition Models. Value-at-Risk is a standard tool to measure and control the market risk of an asset or a portfolio, and it is also requi