Before revision:  While this discussion has mainly focused on the dichotomy between Value at Risk (VaR) - a quantile - and Expected Shortfall (ES) - a tail expectation , this paper is concerned with Range Value at Risk (RVaR) . RVaR can be regarded as an interpolation of VaR and ES , which constitutes a tradeoff between the sensitivity of the latter and the robustness of the former . Recalling that RVaR is not elicitable , we show that a triplet of RVaR with two VaR components at different levels is elicitable.
After revision:  While this discussion has mainly focused on the dichotomy between Value at Risk (VaR) - a quantile - and Expected Shortfall (ES) - a tail expectation . Range Value at Risk (RVaR) . RVaR can be regarded as an interpolation of VaR and ES , which constitutes a tradeoff between the sensitivity of the latter and the robustness of the former . Recalling that RVaR is not elicitable , we show that a triplet of RVaR with two VaR components at different levels is elicitable.