(VaR) and expected shortfall. Indeed, expectiles are the only elicitable law-invariant coherent risk measures. After …, expectiles can be defined exclusively in terms of VaR, expected shortfall, and the thresholds at which those competing risk … address some of the flaws in VaR and expected shortfall-subject to the reservation that no risk measure can achieve exactitude …

innovation lies in the integration of classical credibility theory with expected risk models, enhancing their stability and … in credible expected risk models. These enhanced models aim to improve the accuracy of Value-at-Risk (VaR) forecasts, a … expected risk models, referred to as CreVaR, provide more stable and precise VaR forecasts by incorporating credibility …

The aim of the presented study was to assess the quality of VaR forecasts in various states of the economic situation …. Two approaches based on the extreme value theory were compared: Block Maxima and the Peaks Over Threshold. Forecasts were … movements. While in the pre-crisis period the results were satisfactory, in the period of crisis VaR forecasts were too often …