elicitability
nounEtymology From elicit + -ability.
1
The condition of being elicitable
- Expectile, first introduced by Newey and Powell (1987) in the econometrics literature, has recently become increasingly popular in risk management and capital allocation for financial institutions due to its desirable properties such as coherence and elicitability.2015, Yi Yang, Teng Zhang, Hui Zou, “Flexible Expectile Regression in Reproducing Kernel Hilbert Space”, in arXiv: