Before revision:   As an application, we argue that median shortfall is a better alternative than expected shortfall as a risk measure for setting capital requirements in Basel Accords.
After revision:  Elicitability is important for backtesting. Median shortfall has a desirable property of distributional robustness with respect to model misspecification. We also extend the result to address model uncertainty by incorporating multiple scenarios. As an application, we argue that median shortfall is a better alternative than expected shortfall as a risk measure for setting capital requirements in Basel Accords.