Risk Measurement by G-Expected Shortfall

Table 2

The values for a 12-year sample period of nine worldwide indexes for three ES models at the significance level .

	Normal-ES	G-ES	Gumbel-ES
CSI300	0.0000 ()	0.3908 ()	0.9400 ()
SHSCI	0.0000 ()	0.2280 ()	0.7396 ()
SZSCI	0.0000 ()	0.5204 ()	0.9517 ()
S&P500	0.0000 ()	0.0666 ()	0.5298 ()
DJIA	0.0000 ()	0.1081 ()	0.6617 ()
NASDAQ	0.0000 ()	0.1684 ()	0.7588 ()
CAC40	0.0000 ()	0.9338 ()	0.9997 ()
FTSE100	0.0000 ()	0.4543 ()	0.9484 ()
DAX	0.0000 ()	0.8887 ()	0.9994 ()

Note: “” means that the corresponding ES model does not pass the test, while “” implies that the corresponding ES model passes the test.