Fissler, Tobias; Ziegel, Johanna F. - In: Statistics & Risk Modeling 38 (2021) 1-2, pp. 25-46
Abstract The debate of which quantitative risk measure to choose in practice has mainly focused on the dichotomy between value at risk (VaR) and expected shortfall (ES). Range value at risk (RVaR) is a natural interpolation between VaR and ES, constituting a tradeoff between the sensitivity of...