The Korean Statistical Society

Table. 3. Table 3.3

λ, CTEα+¯, CTEα−¯, E(VaRα¯) when κ = 1.0

	λ	CTEα+¯	CTEα−¯	E(VaRα¯)
ρ = 0.6	0.0731	(1.6033, 1.7150, 1.6037)	(1.6293, 1.7445, 1.6293)	(1.2744, 1.3395, 1.2785)
ρ = 0.3	0.0841	(1.3329, 1.4223, 1.3329)	(1.3580, 1.4492, 1.3580)	(1.0589, 1.1286, 1.0589)
ρ = 0.0	0.0759	(1.1139, 1.1139, 1.1139)	(1.1312, 1.1312, 1.1312)	(0.9023, 0.9023, 0.9023)
ρ = −0.3	0.0760	(0.9171, 0.8095, 0.9174)	(0.9308, 0.8246, 0.9308)	(0.7512, 0.6267, 0.7549)
ρ = −0.6	0.0768	(0.7010, 0.5276, 0.7003)	(0.7143, 0.5339, 0.7144)	(0.5415, 0.4518, 0.5306)