Expectiles behave as expected

Expectiles have been mooted as an alternative risk measure to value-at-risk (VAR) and expected shortfall. Here, Richard Martin derives their saddlepoint approximation and shows that their risk contributions are essentially the same as those of expected shortfall

A recent criticism of the expected shortfall risk measure is that it is not elicitable (Gneiting 2011). This means that one cannot, in a backtesting procedure, make point forecasts of it and check whether the forecasting procedureworks (see Cont, Deguest and Scandolo (2010) for a fuller discussion of this concept). The discussion of this is still at an early stage, and the author is not convinced