, 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 can be defined exclusively in terms of VaR, expected shortfall, and the thresholds at which those competing risk …

We propose a Traffic Light approach to backtesting Expected Shortfall which is completely consistent with, and … generalized coverage test for Expected Shortfall developed in Costanzino and Curran (2015). …