Financial Innovation

Table 2 Expected Shortfall under several ambiguity levels

From: Value-at-risk under ambiguity aversion

c =	0.5	0.4	0.3	0.2	0.1
ES99%	266.52	281.14	284.27	273.22	239.91
ES99.5%	289.19	303.35	305.05	291.35	253.52
ES99.9%	336.69	349.89	348.58	329.35	282.01

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