of strictly consistent loss or scoring functions, i.e., functions which are minimized in expectation by the correct risk … measure forecast. Much like ES, RVaR does not admit strictly consistent scoring functions, i.e., it is not elicitable … strictly consistent scoring functions for this triplet. Additional properties of these scoring functions are examined …

outperforms the competing models. Based on the evaluation results of the joint scoring functions, the proposed model obtains the … not elicitable on its own, the joint elicitability property of VaR and ES is established by the joint consistent scoring … functions, which further refines the ES’s backtest. In addition, a variety of backtesting and evaluation methods are used to …