Skip to main content

Table 1 Value-at-Risk under several ambiguity levels

From: Value-at-risk under ambiguity aversion

c = 0.5 0.4 0.3 0.2 0.1
VaR99% 232.63 247.93 253.21 246.11 219.58
VaR99.5% 257.58 272.38 276.08 266.07 234.55
VaR99.9% 309.03 322.78 323.23 307.22 265.42