VaR remains important in market risk management as Basel keeps most of the backtesting based on 1% VaR. Comparative backtesting as practiced in the current literature suffers from a major double problem. On the one hand, the score functions, although strictly consistent, may assign very good or...

This article presents some of the pros and cons of variance and CVaR as portfolio risk measures in mean-risk optimization. While variance is the original risk measure, thoroughly studied for the past 70 years, this article argues that there are practically no reasons for continuing to use...