Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28
-at-risk (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 …
