fragility is the sensitivity of a given risk measure to an error in the estimation of the (possibly one-sided) deviation parameter of a distribution, especially due to the fact that the risk measure involves parts of the distribution – tails – that are away from the portion used for estimation. The risk measure then assumes certain extrapolation rules that have first order consequences. These consequences are even more amplified when the risk measure applies to a variable that is derived from that used for estimation, when the relation between the two variables is strongly nonlinear, as is often the case