A New Exponential-X Family: Modeling Extreme Value Data in the Finance Sector

Table 6

VaR and TVaR results for the NE-Weibull and Weibull distributions.

Distribution	Parameters	Level of significance	VaR	TVaR
NE-Weibull		0.700	145.8537	153.9659
		0.750	153.5376	179.2175
		0.800	168.5360	198.7654
		0.850	192.3638	218.7189
		0.900	209.8965	231.9876
		0.950	224.0768	249.0786
		0.975	239.7853	268.0298
		0.999	253.6358	287.0948
Weibull		0.700	70.3462	89.7568
		0.750	77.7643	101.8539
		0.800	83.8743	115.7943
		0.850	98.3245	135.8764
		0.900	120.5643	156.9875
		0.950	142.6750	179.9876
		0.975	176.7656	201.9875
		0.999	202.6752	230.9786