| EV |
23,345,695 |
135,041,756 |
18,658,134 |
10,774,413 |
187,819,998 |
187,819,998 |
|
12.43% |
71.90% |
9.93% |
5.74% |
100% |
|
| CovWBeta |
62,292,648 |
398,599,625 |
38,938,608 |
13,791,425 |
513,622,306 |
513,622,306 |
| \(\beta=2\) |
12.13% |
77.61% |
7.58% |
2.69% |
100% |
|
| TVaR 75% |
51,212,126 |
301,490,365 |
34,960,054 |
13,571,979 |
401,234,524 |
401,234,524 |
|
12.76% |
75.14% |
8.71% |
3.38% |
100% |
|
| TVaR 90% |
72,975,560 |
462,489,152 |
42,432,578 |
12,350,749 |
590,248,038 |
590,248,038 |
|
12.36% |
78.36% |
7.19% |
2.09% |
100% |
|
| TVaR 95% |
85,607,782 |
596,451,028 |
44,523,108 |
11,979,729 |
738,561,647 |
738,561,647 |
|
11.59% |
80.76% |
6.03% |
1.62% |
100% |
|
| TVaR 99% |
106,293,324 |
869,605,928 |
58,168,596 |
11,294,985 |
1,045,362,832 |
1,045,362,832 |
|
10.17% |
83.19% |
5.56% |
1.08% |
100% |
|
| Avg. TVaR |
79,022,198 |
557,509,118 |
45,021,084 |
12,299,361 |
693,851,760 |
693,851,760 |
|
11.39% |
80.35% |
6.49% |
1.77% |
100% |
|
| VaR 95% (simple) |
9,776,274 |
330,811,906 |
173,984,700 |
14,118,944 |
528,691,824 |
528,691,824 |
|
1.85% |
62.57% |
32.91% |
2.67% |
100% |
|
| VaR 95% (bell) |
62,367,597 |
404,259,189 |
51,869,109 |
10,157,414 |
528,653,309 |
528,653,309 |
|
11.80% |
76.47% |
9.81% |
1.92% |
100% |
|
| VaR 95% (kernel) |
77,808,614 |
394,955,090 |
41,475,998 |
12,509,457 |
526,749,159 |
526,749,159 |
|
14.77% |
74.98% |
7.87% |
2.37% |
100% |
|
| VaR 95% (kernel 2) |
76,988,324 |
397,475,814 |
40,744,181 |
12,852,171 |
528,060,490 |
528,060,490 |
|
14.77% |
74.98% |
7.87% |
2.37% |
100% |
|
| VaR 95% (kernel 3) |
75215197 |
400037081 |
40076455 |
12890064 |
528218797 |
528218797 |
|
14.24% |
75.73% |
7.59% |
2.44% |
100% |
|
| VaR 99% (simple) |
7,170,815 |
816,870,497 |
39,256,266 |
4,060,778 |
867,358,356 |
867,358,356 |
|
0.83% |
94.18% |
4.53% |
0.47% |
100% |
|
| VaR 99% (bell) |
40,819,623 |
780,226,792 |
29,835,131 |
16,807,649 |
867,689,194 |
867,689,194 |
|
4.70% |
89.92% |
3.44% |
1.94% |
100% |
|
| VaR 99% (kernel) |
115,680,937 |
690,374,716 |
49,140,939 |
10,645,070 |
865,841,660 |
865,841,660 |
|
13.36% |
79.73% |
5.68% |
1.23% |
100% |
|
| VaR 99% (kernel 2) |
107,557,763 |
702,247,027 |
46,262,134 |
10,866,270 |
866,933,195 |
866,933,195 |
|
12.41% |
81.00% |
5.34% |
1.25% |
100% |
|
| VaR 99% (kernel 3) |
104,219,977 |
706,509,726 |
45,265,226 |
10,953,550 |
866,948,479 |
866,948,479 |
|
12.02% |
81.49% |
5.22% |
1.26% |
100% |
|
| Exponential |
27,850,426 |
166,607,986 |
20,890,454 |
10,989,763 |
226,338,629 |
226,338,629 |
| \(c= 0.10\) |
12.30% |
73.61% |
9.23% |
4.86% |
100% |
|
| Exponential |
37,216,272 |
245,941,709 |
23,451,637 |
8,755,958 |
315,365,576 |
315,365,576 |
| \(c= 0.25\) |
11.80% |
77.99% |
7.44% |
2.78% |
100% |
|
| Exponential |
-3,671,904,055 |
23,720,252,516 |
-4,880,193,171 |
-3,252,109,822 |
11,916,045,468 |
11,916,045,468 |
| \(c= 1.00\) |
-30.81% |
199.06% |
-40.95% |
-27.29% |
100% |
|
| Proportional Hazard |
36,080,499 |
226,703,991 |
25,110,583 |
11,640,570 |
299,535,643 |
299,535,643 |
| \(a=0.60\) |
12.05% |
75.69% |
8.38% |
3.89% |
100% |
|
| Proportional Hazard |
28,192,014 |
168,301,360 |
21,223,234 |
11,199,323 |
228,915,932 |
228,915,932 |
| \(a=0.80\) |
12.32% |
73.52% |
9.27% |
4.89% |
100% |
|
| Proportional Hazard |
24,363,235 |
141,822,074 |
19,212,540 |
10,880,196 |
196,278,045 |
196,278,045 |
| \(a=0.95\) |
12.41% |
72.26% |
9.79% |
5.54% |
100% |
|
| Wang |
27,893,622 |
164,362,273 |
21,313,685 |
11,452,085 |
225,021,665 |
225,021,665 |
| \(\lambda=0.25\) |
12.40% |
73.04% |
9.47% |
5.09% |
100% |
|
| Wang |
33,402,026 |
201,407,441 |
24,294,793 |
12,004,713 |
271,108,972 |
271,108,972 |
| \(\lambda=0.50\) |
12.32% |
74.29% |
8.96% |
4.43% |
100% |
|
| Wang |
39,867,730 |
247,043,116 |
27,573,810 |
12,410,105 |
326,894,761 |
326,894,761 |
| \(\lambda=0.75\) |
12.20% |
75.57% |
8.44% |
3.80% |
100% |
|
| Exponential Trans. |
33,243,528 |
196,069,742 |
24,547,850 |
12,328,655 |
266,189,775 |
266,189,775 |
| \(c=0.50\) |
12.49% |
73.66% |
9.22% |
4.63% |
100% |
| Exponential Trans. |
29,810,539 |
174,713,683 |
22,580,540 |
11,889,856 |
238,994,619 |
238,994,619 |
| \(c=0.75\) |
12.47% |
73.10% |
9.45% |
4.97% |
100% |
| Exponential Trans. |
28,119,857 |
164,276,003 |
21,583,912 |
11,637,064 |
225,616,835 |
225,616,835 |
| \(c=0.10\) |
12.46% |
72.81% |
9.57% |
5.16% |
100% |
| Myers-Read |
120,879,204 |
1,006,221,885 |
50,599,598 |
-7,876,720 |
1,169,823,967 |
1,169,823,967 |
| \(a=\) 1,357,643,965 |
10.33% |
86.01% |
4.33% |
-0.67% |
100% |
|
| Myers-Read |
64,285,407 |
756,847,100 |
37,746,242 |
-8,285,324 |
850,593,426 |
850,593,426 |
| \(a=\) 1,038,413,423 |
7.56% |
88.98% |
4.44% |
-0.97% |
100% |
|
| Myers-Read |
60,821,986 |
606,579,733 |
21,827,406 |
-9,690,768 |
679,538,358 |
679,538,358 |
| \(a=\) 867,358,356 |
8.95% |
89.26% |
3.21% |
-1.43% |
100% |
|
| Esscher |
8,226,240 |
1,987,777,539 |
54,262,714 |
72,291,051 |
2,122,557,544 |
2,122,557,544 |
| \(t=\) 1.E-07 |
0.39% |
93.65% |
2.56% |
3.41% |
100% |
|
| Esscher |
27,359,301 |
163,201,071 |
20,690,228 |
11,031,052 |
222,281,653 |
222,281,653 |
| \(t=\) 1.E-09 |
12.31% |
73.42% |
9.31% |
4.96% |
100% |
|
| Kamps |
26,654,710 |
155,020,509 |
20,725,105 |
11,406,228 |
213,806,553 |
213,806,553 |
| \(t=\) 1.E-08 |
12.47% |
72.51% |
9.69% |
5.33% |
100% |
|
| Kamps |
40,195,291 |
249,028,113 |
27,434,525 |
12,082,021 |
328,739,950 |
328,739,950 |
| \(t=\) 1.E-11 |
12.23% |
75.75% |
8.35% |
3.68% |
100% |
|
| D'Arcy |
55,387,701 |
408,352,811 |
25,296,290 |
5,487,442 |
494,524,244 |
494,524,244 |
| \(a=\) 1,357,643,965 |
11.20% |
82.57% |
5.12% |
1.11% |
100% |
|
| D'Arcy |
104,209,232 |
875,467,350 |
62,492,051 |
11,388,390 |
1,053,557,023 |
1,053,557,023 |
| \(a=\) 1,038,413,423 |
9.89% |
83.10% |
5.93% |
1.08% |
100% |
|
| Bodoff |
47,772,088 |
273,086,001 |
36,572,490 |
18,591,385 |
376,021,964 |
376,021,964 |
| VaR 90% |
12.70% |
72.63% |
9.73% |
4.94% |
100% |
|
| Bodoff |
66,892,452 |
393,236,293 |
46,970,415 |
21,592,664 |
528,691,824 |
528,691,824 |
| VaR 95% |
12.65% |
74.38% |
8.88% |
4.08% |
100% |
|
| Bodoff |
104,581,664 |
670,427,703 |
66,183,982 |
26,165,006 |
867,358,356 |
867,358,356 |
| VaR 99% |
12.06% |
77.30% |
7.63% |
3.02% |
100% |
|
| RTVaR |
93,544,093 |
654,561,402 |
50,055,237 |
11,458,019 |
809,618,751 |
809,618,751 |
| \(\alpha=75\%,\; \beta = 2\) |
11.55% |
80.85% |
6.18% |
1.42% |
100% |
|
| RTVaR |
107,255,495 |
824,861,293 |
53,516,378 |
11,599,036 |
997,232,202 |
997,232,202 |
| \(\alpha=90\%,\; \beta = 2\) |
10.76% |
82.72% |
5.37% |
1.16% |
100% |
|
| RTVaR |
114,157,530 |
935,144,574 |
61,454,489 |
11,804,261 |
1,122,560,854 |
1,122,560,854 |
| \(\alpha=95\%,\; \beta = 2\) |
10.17% |
83.30% |
5.47% |
1.05% |
100% |
|