?url_ver=Z39.88-2004&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Adc&rft.relation=https%3A%2F%2Fpublications.ut-capitole.fr%2Fid%2Feprint%2F50733%2F&rft.title=Risk+measures+beyond+quantiles&rft.creator=Daouia%2C+Abdelaati&rft.creator=Stupfler%2C+Gilles+Claude&rft.subject=B-+ECONOMIE+ET+FINANCE&rft.description=The+use+of+quantiles+forms+the+basis+of+the+overwhelming+majority+of+current+risk+management+procedures.+Yet%2C+there+exist+alternative+instruments+of+risk+protection+that+are+not+(unlike+quantiles)+based+solely+on+the+frequency+of+tail+observations+and+instead+take+their+severity+into+account%2C+while+adhering+to+axiomatic+requirements.+These+alternative+risk+measures+have+seen+increasing+interest+in+the+past+decade.+The+current+state+of+development+of+risk+measures+beyond+quantiles+is+discussed+with+a+particular+focus+on+three+prominent+classes%3A+(i)+Expected+Shortfall+(ES)+and+extremiles%2C+part+of+the+class+of+spectral+and+distortion+risk+measures%2C+(ii)+expectiles%2C+which+constitute+a+particular+case+of+generalized+M-quantiles%2C+and+(iii)+systemic+risk+measures+including+Marginal+Expected+Shortfall+(MES).+A+structured+overview+of+their+strengths+and+weaknesses+with+respect+to+axiomatic+theory%2C+estimation+properties%2C+and+ease-of-use+by+risk+practitioners+will+be+given.+In+addition%2C+challenges+arising+in+the+asymptotics+and+mathematical+developments+will+be+discussed+and+the+use+of+each+of+the+ES%2C+extremile%2C+expectile+and+MES+risk+measures+will+be+illustrated+with+real+data+applications+to+storm+losses+in+China%2C+tornado+losses+in+the+United+States%2C+and+financial+returns+series.&rft.publisher=TSE+Working+Paper&rft.date=2025-04&rft.type=Monograph&rft.type=NonPeerReviewed&rft.format=text&rft.language=en&rft.identifier=https%3A%2F%2Fpublications.ut-capitole.fr%2Fid%2Feprint%2F50733%2F1%2Fwp_tse_1632.pdf&rft.identifier=++Daouia%2C+AbdelaatiIdRef+%3Chttps%3A%2F%2Fwww.idref.fr%2F076657000%3E+and+Stupfler%2C+Gilles+ClaudeIdRef+%3Chttps%3A%2F%2Fwww.idref.fr%2F159301602%3E++(2025)+Risk+measures+beyond+quantiles.++TSE+Working+Paper%2C+n.+25-1632%2C+Toulouse+++++&rft.relation=http%3A%2F%2Ftse-fr.eu%2Fpub%2F130486&rft.language=en