I am not able to find loss function (scoring function) extreme CVaR (CVaR from extreme value theory) which is a conditionally elicitable statistical mapping (conditioned on VaR). In this regard, can someone help me!! Where I should look for it.

  • $\begingroup$ How is this opinion based? $\endgroup$ Commented Sep 29, 2022 at 18:42
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    $\begingroup$ I think, this is not an opinion based question, it can be answered with facts and citations!! $\endgroup$
    – Moiz Ahmad
    Commented Sep 29, 2022 at 19:46