Before revision:  We introduce a concept of ` consistency ' of a risk measure , which is close to Dawid's `strong prequential principle' , and examine its application to quantile forecasting (VaR -- value at risk) and to mean estimation (applicable to CVaR -- expected shortfall).
After revision:  We introduce a concept of ` calibration ' of a risk measure , which is close to Dawid's `strong prequential principle' , and examine its application to quantile forecasting (VaR -- value at risk) and to mean estimation (applicable to CVaR -- expected shortfall).