(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 … address some of the flaws in VaR and expected shortfall-subject to the reservation that no risk measure can achieve exactitude …

. According to Escanciano and Olmo (2010, 2011) these problems persist when incorporating estimation and model risk by adjusting … estimation risk or misspecification risk. …Under the Basel II regulatory framework non-negligible statistical problems arise when backtesting risk measures. In …