Table 2: Results—CES for insurance and banking.

𝑅 𝑚 = DOW
𝛼 = 0 . 0 1 𝛼 = 0 . 0 2 𝛼 = 0 . 0 3 𝛼 = 0 . 0 4 𝛼 = 0 . 0 5

Insurance −3.83 −3.17 −2.48 −2.17 −2.02
Average Banking −3.81 −3.21 −2.55 −2.19 −2.03
Difference −0.02 0.04 0.07 0.02 0.01

Insurance −6.99 −5.62 −4.20 −3.59 −3.37
Minimum Banking −6.18 −4.78 −3.91 −3.30 −2.99
Difference −0.81 −0.84 −0.28 −0.29 −0.38

Insurance −0.60 −0.68 −0.62 −0.62 −0.58
Maximum Banking −0.61 −0.64 −0.54 −0.57 −0.59
Difference 0.01 −0.04 −0.08 −0.05 0.01

Insurance −3.99 −3.3 −2.58 −2.25 −2.09
Average worst 20 Banking −4.62 −3.91 −3.13 −2.71 −2.47
Difference 0.63 0.61 0.55 0.46 0.38

Insurance −5.19 −4.23 −3.24 −2.82 −2.64
Average worst 10 Banking −5.25 −4.41 −3.54 −3.03 −2.76
Difference 0.06 0.18 0.3 0.21 0.13

Insurance −5.88 −4.74 −3.60 −3.14 −2.97
Average worst 5 Banking −5.63 −4.58 −3.74 −3.19 −2.90
Difference −0.26 −0.16 0.14 0.05 −0.07

𝑅 𝑚 = DAX
𝛼 = 0 . 0 1 𝛼 = 0 . 0 2 𝛼 = 0 . 0 3 𝛼 = 0 . 0 4 𝛼 = 0 . 0 5

Insurance −5.59 −4.39 −3.76 −3.35 −3.11
Average Banking −5.02 −3.86 −3.32 −2.95 −2.75
Difference −0.57 −0.53 −0.44 −0.40 −0.37

Insurance −9.67 −7.55 −6.11 −5.25 −4.93
Minimum Banking −7.80 −6.36 −5.45 −4.88 −4.47
Difference −1.88 −1.19 −0.66 −0.37 −0.46

Insurance −1.37 −0.93 −0.82 −0.74 −0.67
Maximum Banking −1.55 −0.98 −0.81 −0.78 −0.67
Difference 0.17 0.05 −0.01 0.03 0.00

Insurance −5.80 −4.56 −3.91 −3.48 −3.24
Average worst 20 Banking −6.12 −4.74 −4.08 −3.60 −3.37
Difference 0.32 0.18 0.18 0.12 0.13

Insurance −7.42 −5.97 −5.03 −4.48 −4.15
Average worst 10 Banking −6.99 −5.49 −4.68 −4.14 −3.84
Difference −0.43 −0.48 −0.35 −0.35 −0.31

Insurance −8.13 −6.49 −5.48 −4.85 −4.53
Average worst 5 Banking −7.44 −5.96 −5.04 −4.48 −4.15
Difference −0.69 −0.53 −0.43 −0.37 −0.38

This table shows summary statistics: average, minimum, maximum, and average CES for portfolios containing the 20, 10, and 5 worst entities ranked according to their individual CES figures. The CES is calculated according to (1): C E S 𝑗 ( 1 / 𝑛 ) 𝑛 𝑡 ( 𝑅 𝑗 𝑡 | 𝑅 𝑚 𝑡 < V a R 𝛼 ) , where V a R 𝛼 is the Value-at-Risk return of the market index measured at the 𝛼 -level of significance; 𝑛 denotes the number of days (observations) for which the return of the market index 𝑅 𝑚 is lower than the VaR, that is; the number of observations that fall in the loss tail of 𝑅 𝑚 at the used level of significance; two market indices are used: DOW and DAX, and the superscript 𝑗 refers to the individual companies where 𝑗 { (i)nsurance, (b)anks}.