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Coherent measures of risk
I have just read the argument of Artzner et al. on the coherence of VaR. Along that I have gone through the papers of Acerbi-Tasche and the work of Rockafellar/Uryasev. What it is not clear to be is an issue towards the alternative coherent measures suggested in the literature. Precisely, is Conditional VaR, Tail VaR, Expected Shortfall one of the same kind? Or are they three different risk measures with unique features?
Coherent measures of risk
i think if the distribution is discrete tehy are different but its been a while since I've covered this stuff