Sum of Bernoulli Mixtures: Beyond Conditional Independence

Figure 8

The approximated VaR_𝛼 and CTE_𝛼 of 𝑆_𝑛, 𝑛=10⁶, the number of delinquencies in a month, at confidence levels, 0.9≤𝛼≤0.999, based on 𝛽-ICM and 𝛽-I models.

(a)

(b)