-at-risk (VaR) and expected shortfall. Indeed, expectiles are the only elicitable law-invariant coherent risk measures. After … reviewing practical concerns involving backtesting and robustness, this article more closely examines regulatory applications of …, expectiles can be defined exclusively in terms of VaR, expected shortfall, and the thresholds at which those competing risk …

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected … Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned … probability of occurrence. The corresponding risk measure, called Loss VaR (LVaR), determines the minimal capital injection that …