| Stock Index | Conventional Risk Measure | Non-Subjective Risk Measure | ||||||
|
| 99%VaR | 99%ES | 95%VaR | 95%ES | 90%VaR | 90%ES | VaRN-S | ESN-S |
| Panel A: full sample | ||||||||
| BOVESPA | 587 | 511 | 932 | 653 | 14 | 847 | 998 | 662 |
| MOEX Russia Index Stress | 297 | 226 | 624 | 369 | 1122 | 611 | 992 | 461 |
| Shanghai SE Composite | 176 | 103 | 572 | 267 | 997 | 460 | 757 | 335 |
| NIFTY50 | 252 | 151 | 623 | 298 | 1099 | 490 | 646 | 325 |
| FTSE100 | 285 | 209 | 677 | 375 | 1066 | 569 | 652 | 339 |
| Dow Jones Industrial Average | 156 | 70 | 591 | 223 | 1128 | 437 | 552 | 217 |
| Panel B: COVID Scenario | ||||||||
| BOVESPA | 542 | 542 | 788 | 640 | 1133 | 739 | 887 | 640 |
| MOEX Russia Index Stress | 618 | 506 | 730 | 674 | 1236 | 730 | 1348 | 730 |
| Shanghai SE Composite | 591 | 484 | 860 | 645 | 1398 | 753 | 1290 | 699 |
| NIFTY50 | 385 | 144 | 144 | 000 | 240 | 144 | 577 | 240 |
| FTSE100 | 987 | 897 | 1525 | 1166 | 2197 | 1480 | 148 | 1076 |
| Dow Jones Industrial Average | 1068 | 855 | 1239 | 1068 | 1752 | 1239 | 1368 | 1111 |