Scenario

Risk Model

Conventional VaR

Non-Subjective VaR

VaR_0.01

VaR_0.05

VaR_0.1

Threshold ( $\stackrel{⌢}{u}$ )

Probability level (p)

VaR^N-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)