Probability | Value at risk (VaR) | Expected shortfall (ES) |
---|---|---|

Measures of risk—right tail distribution (GPD fit) | ||

0.950 | 1.392526 | 3.549663 |

0.975 | 2.079958 | 5.427241 |

0.990 | 3.602491 | 9.585723 |

0.995 | 5.509216 | 14.793548 |

0.999 | 15.020921 | 40.772793 |

Measures of risk—left tail distribution (GPD fit) | ||

0.950 | 1.3429886 | 3.081368 |

0.975 | 2.1260213 | 4.492982 |

0.990 | 3.6116033 | 7.171118 |

0.995 | 5.2149448 | 10.061545 |

0.999 | 11.5398391 | 21.463761 |