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Risk Measure Inference

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Table 1: Rejection frequencies of the single test of equal VaR VaR T=1,000 T=2,000 ν 2 \∆σ 0.0 0.1 0.2 0.0 0.1 0.2 5 0.045 0.523 0.652 0.049 0.613 0.846 7 0.052 0.544 0.721 0.050 0.671 0.844 MES T=1,000 T=2,000 ∆ρ\∆σ 0.0 0.1 0.2 0.0 0.1 0.2 0.0000 0.046 0.
Table 2: Simulation Results Bucketing Procedure
Figure 1: MES of JPM and GS JPM  GS  2006 2007 2008 2009 201051015JPM GS  JPM-GS  5% Quantiles  2006 2007 2008 2009 2010-505JPM-GS 5% Quantiles
Figure 2: Significant difference MES
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