I read that CVaR (Conditional Value-at-Risk, also Expected Shortfall), satisfies coherence, but not Elicitability.
On the other hand, VaR satisfies Elicitability, but not coherence.
What is Elicitability?
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$\begingroup$ See stats.stackexchange.com/q/80226/54099 $\endgroup$– JamesCommented Oct 9, 2014 at 16:43
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From Ziegel (2013) : The risk of a financial position is usually summarized by a risk measure. As this risk measure has to be estimated from historical data, it is important to be able to verify and compare competing estimation procedures. In statistical decision theory, risk measures for which such verification and comparison is possible, are called elicitable. It is known that quantile based risk measures such as value at risk are elicitable.
Better use CoVaR in fact (Value at risk conditional to other value at risk, as a conditional co-movement of another institution's distress)
