Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28
, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value …-at-risk (VaR) and expected shortfall. Indeed, expectiles are the only elicitable law-invariant coherent risk measures. After … expectiles. Expectiles are most readily evaluated as a special class of quantiles. For ease of regulatory implementation …