Financial Innovation

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

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