Sum of Bernoulli Mixtures: Beyond Conditional Independence

Table 1

The approximated VaR and CTE of 𝑆₁₀₀₀ at confidence level 𝛼=0.95, under the 𝛽-ICM model.

𝜔	VaR𝛼	CTE𝛼
0.0	247.51	303.14
0.1	254.67	447.72
0.2	264.83	591.35
0.3	280.73	733.38
0.4	311.00	872.23
0.5	1000.00	1000.00