Scenario | Risk Model | Conventional VaR | Non-Subjective VaR | ||||
VaR0.01 | VaR0.05 | VaR0.1 | Threshold ( ) | Probability level (p) | VaRN-S | ||
Unconditional | Historical Simulation | 3.05 (0.145) | 1.68 (0.053) | 1.12 (0.040) | 0.1 | 0.0643 (0.014) | 1.51 (0.203) |
Normal | 2.60 (0.066) | 1.82 (0.038) | 1.41 (0.030) | 0.8 | 0.0609 (0.024) | 1.75 (0.242) | |
Student’s t | 3.21 (0.215) | 1.55 (0.056) | 1.04 (0.034) | 0.4 | 0.0724 (0.018)
| 1.33 (0.349)
| |
GARCH-normal | 2.66 (0.066) | 1.89 (0.038) | 1.47 (0.029) | 0.9 | 0.0638 (0.023) | 1.80 (0.280) | |
GARCH-t | 3.28 (0.211) | 1.61 (0.056) | 1.10 (0.032) | 0.8 | 0.0727 (0.017) | 1.37 (0.251) | |
Simulated stress scenario | Historical Simulation | 4.68 (0.240) | 2.59 (0.060) | 2.02 (0.046) | 0.8 | 0.0727 (0.005) | 2.30 (0.085) |
Normal | 4.41 (0.111) | 3.12 (0.623) | 2.43 (0.054) | 1.5 | 0.0643 (0.022) | 2.95 (0.420) | |
Student’s t | 4.53 (0.144) | 3.01 (0.069) | 2.28 (0.052) | 1.8 | 0.0626 (0.021) | 2.86 (0.480) | |
GARCH-normal | 4.48 (0.111) | 3.19 (0.064) | 2.50 (0.050) | 1.5 | 0.0634 (0.022) | 3.02 (0.409) | |
GARCH-t | 4.57 (0.138) | 3.06 (0.067) | 2.34 (0.050) | 1.5 | 0.0670 (0.020) | 2.82 (0.427) |