Risk measures on and value at risk with probability/loss function M Frittelli, M Maggis, I Peri
Mathematical Finance 24 (3), 442-463, 2014
48 2014 On the properties of the Lambda value at risk: robustness, elicitability and consistency M Burzoni, I Peri, CM Ruffo
Quantitative Finance 17 (11), 1735-1743, 2017
18 2017 Backtesting lambda value at risk J Corbetta, I Peri
The European Journal of Finance 24 (13), 1075-1087, 2018
12 2018 Lambda value at risk and regulatory capital: a dynamic approach to tail risk A Hitaj, C Mateus, I Peri
Risks 6 (1), 17, 2018
12 2018 An Axiomatization of -Quantiles F Bellini, I Peri
SIAM Journal on Financial Mathematics 13 (1), SC26-SC38, 2022
8 2022 A new approach to backtesting and risk model selection J Corbetta, I Peri
Available at SSRN 2796253, 2018
5 2018 Scientific research measures M Frittelli, L Mancini, I Peri
Journal of the Association for Information Science and Technology 67 (12 …, 2016
5 2016 Lambda value at risk: a new backtestable alternative to VaR A Hitaj, I Peri
Available at SSRN, 2015
4 2015 A hybrid model for forecasting short-term electricity demand ME Athanasopoulou, J Deveikyte, A Mosca, I Peri, A Provetti
Proceedings of the Second ACM International Conference on AI in Finance, 1-6, 2021
2 2021 Quasi-convex risk measures and acceptability indices. Theory and applications. I Peri
Università degli Studi di Milano-Bicocca, 2012
2 2012 Risk contributions of lambda quantiles A Ince, I Peri, S Pesenti
Quantitative Finance 22 (10), 1871-1891, 2022
1 2022 From Risk Measures to Research Measures M Frittelli, I Peri
arXiv preprint arXiv:1205.1012, 2012
1 2012 A Hybrid Model for Forecasting Short-Term Electricity Demand M Eleni Athanasopoulou, J Deveikyte, A Mosca, I Peri, A Provetti
arXiv e-prints, arXiv: 2205.10449, 2022
2022 Online Appendix for:'Scientific Research Measures' M Frittelli, L Mancini, I Peri
Available at SSRN 2535257, 2014
2014 Risk Measures on and Ambiguity for the Value At Risk: M Frittelli, I Peri, M Maggis
2012 Risk Measures on P (R) and Ambiguity for the Value At Risk: ΛV@ R M Frittelli, M Maggis, I Peri
arXiv preprint arXiv:1201.2257, 2012
2012