id sid tid token lemma pos cjfa-12563 1 1 copernican copernican PROPN cjfa-12563 1 2 journal journal PROPN cjfa-12563 1 3 of of ADP cjfa-12563 1 4 finance finance PROPN cjfa-12563 1 5 & & CCONJ cjfa-12563 1 6 accounting accounting PROPN cjfa-12563 1 7 e e PROPN cjfa-12563 1 8 - - PROPN cjfa-12563 1 9 issn issn PROPN cjfa-12563 1 10 2300 2300 NUM cjfa-12563 1 11 - - SYM cjfa-12563 1 12 3065 3065 NUM cjfa-12563 1 13 p p PROPN cjfa-12563 1 14 - - PUNCT cjfa-12563 1 15 issn issn PROPN cjfa-12563 1 16 2300 2300 NUM cjfa-12563 1 17 - - SYM cjfa-12563 1 18 12402016 12402016 NUM cjfa-12563 1 19 , , PUNCT cjfa-12563 1 20 volume volume NOUN cjfa-12563 1 21 5 5 NUM cjfa-12563 1 22 , , PUNCT cjfa-12563 1 23 issue issue NOUN cjfa-12563 1 24 2 2 NUM cjfa-12563 1 25 date date NOUN cjfa-12563 1 26 of of ADP cjfa-12563 1 27 submission submission NOUN cjfa-12563 1 28 : : PUNCT cjfa-12563 1 29 november november PROPN cjfa-12563 1 30 21 21 NUM cjfa-12563 1 31 , , PUNCT cjfa-12563 1 32 2016 2016 NUM cjfa-12563 1 33 ; ; PUNCT cjfa-12563 1 34 date date NOUN cjfa-12563 1 35 of of ADP cjfa-12563 1 36 acceptance acceptance NOUN cjfa-12563 1 37 : : PUNCT cjfa-12563 1 38 january january PROPN cjfa-12563 1 39 30 30 NUM cjfa-12563 1 40 , , PUNCT cjfa-12563 1 41 2017 2017 NUM cjfa-12563 1 42 . . PUNCT cjfa-12563 2 1 * * PUNCT cjfa-12563 2 2 contact contact NOUN cjfa-12563 2 3 information information NOUN cjfa-12563 2 4 : : PUNCT cjfa-12563 3 1 christiane.goodfellow@jade-hs.de christiane.goodfellow@jade-hs.de PROPN cjfa-12563 3 2 , , PUNCT cjfa-12563 3 3 jade jade PROPN cjfa-12563 3 4 university university PROPN cjfa-12563 3 5 , , PUNCT cjfa-12563 3 6 friedrich friedrich NOUN cjfa-12563 3 7 - - PUNCT cjfa-12563 3 8 paffrath paffrath NOUN cjfa-12563 3 9 - - PUNCT cjfa-12563 3 10 str str NOUN cjfa-12563 3 11 . . PUNCT cjfa-12563 4 1 101 101 NUM cjfa-12563 4 2 , , PUNCT cjfa-12563 4 3 d-26389 d-26389 PROPN cjfa-12563 4 4 wilhelmshaven wilhelmshaven PROPN cjfa-12563 4 5 , , PUNCT cjfa-12563 4 6 germany germany PROPN cjfa-12563 4 7 , , PUNCT cjfa-12563 4 8 phone phone NOUN cjfa-12563 4 9 : : PUNCT cjfa-12563 4 10 +49 +49 NOUN cjfa-12563 4 11 441 441 NUM cjfa-12563 4 12 95726272 95726272 NUM cjfa-12563 4 13 . . PUNCT cjfa-12563 5 1 goodfellow goodfellow PROPN cjfa-12563 5 2 , , PUNCT cjfa-12563 5 3 ch ch NOUN cjfa-12563 5 4 . . PROPN cjfa-12563 5 5 , , PUNCT cjfa-12563 5 6 & & CCONJ cjfa-12563 5 7 salm salm PROPN cjfa-12563 5 8 , , PUNCT cjfa-12563 5 9 ch ch PROPN cjfa-12563 5 10 . . PUNCT cjfa-12563 5 11 ( ( PUNCT cjfa-12563 5 12 2016 2016 NUM cjfa-12563 5 13 ) ) PUNCT cjfa-12563 5 14 . . PUNCT cjfa-12563 6 1 risky risky ADJ cjfa-12563 6 2 risk risk NOUN cjfa-12563 6 3 measures measure NOUN cjfa-12563 6 4 : : PUNCT cjfa-12563 6 5 a a DET cjfa-12563 6 6 note note NOUN cjfa-12563 6 7 on on ADP cjfa-12563 6 8 underestimating underestimate VERB cjfa-12563 6 9 financial financial ADJ cjfa-12563 6 10 risk risk NOUN cjfa-12563 6 11 under under ADP cjfa-12563 6 12 the the DET cjfa-12563 6 13 normal normal ADJ cjfa-12563 6 14 assumption assumption NOUN cjfa-12563 6 15 . . PUNCT cjfa-12563 7 1 copernican copernican PROPN cjfa-12563 7 2 journal journal PROPN cjfa-12563 7 3 of of ADP cjfa-12563 7 4 finance finance PROPN cjfa-12563 7 5 & & CCONJ cjfa-12563 7 6 accounting accounting PROPN cjfa-12563 7 7 , , PUNCT cjfa-12563 7 8 5(2 5(2 NUM cjfa-12563 7 9 ) ) PUNCT cjfa-12563 7 10 , , PUNCT cjfa-12563 7 11 85–108 85–108 NUM cjfa-12563 7 12 . . PROPN cjfa-12563 7 13 http://dx.doi.org/10.12775/cjfa.2016.017 http://dx.doi.org/10.12775/cjfa.2016.017 PROPN cjfa-12563 7 14 christiane christiane PROPN cjfa-12563 7 15 goodfellow goodfellow PROPN cjfa-12563 7 16 * * PROPN cjfa-12563 7 17 jade jade PROPN cjfa-12563 7 18 university university PROPN cjfa-12563 7 19 christian christian PROPN cjfa-12563 7 20 salm salm PROPN cjfa-12563 7 21 risky risky ADJ cjfa-12563 7 22 risk risk NOUN cjfa-12563 7 23 measures measure NOUN cjfa-12563 7 24 : : PUNCT cjfa-12563 7 25 a a DET cjfa-12563 7 26 note note NOUN cjfa-12563 7 27 on on ADP cjfa-12563 7 28 underestimating underestimate VERB cjfa-12563 7 29 financial financial ADJ cjfa-12563 7 30 risk risk NOUN cjfa-12563 7 31 under under ADP cjfa-12563 7 32 the the DET cjfa-12563 7 33 normal normal ADJ cjfa-12563 7 34 assumption assumption NOUN cjfa-12563 7 35 keywords keyword NOUN cjfa-12563 7 36 : : PUNCT cjfa-12563 7 37 risk risk NOUN cjfa-12563 7 38 measurement measurement NOUN cjfa-12563 7 39 , , PUNCT cjfa-12563 7 40 risk risk NOUN cjfa-12563 7 41 management management NOUN cjfa-12563 7 42 , , PUNCT cjfa-12563 7 43 downside downside ADJ cjfa-12563 7 44 risk risk NOUN cjfa-12563 7 45 , , PUNCT cjfa-12563 7 46 value value NOUN cjfa-12563 7 47 at at ADP cjfa-12563 7 48 risk risk NOUN cjfa-12563 7 49 , , PUNCT cjfa-12563 7 50 copula copula NOUN cjfa-12563 7 51 . . PUNCT cjfa-12563 8 1 j j PROPN cjfa-12563 8 2 e e PROPN cjfa-12563 8 3 l l PROPN cjfa-12563 8 4 classification classification NOUN cjfa-12563 8 5 : : PUNCT cjfa-12563 8 6 c02 c02 NOUN cjfa-12563 8 7 , , PUNCT cjfa-12563 8 8 c18 c18 NOUN cjfa-12563 8 9 , , PUNCT cjfa-12563 8 10 g11 g11 PROPN cjfa-12563 8 11 , , PUNCT cjfa-12563 8 12 g28 g28 NOUN cjfa-12563 8 13 . . PUNCT cjfa-12563 9 1 abstract abstract NOUN cjfa-12563 9 2 : : PUNCT cjfa-12563 9 3 this this DET cjfa-12563 9 4 note note NOUN cjfa-12563 9 5 compares compare VERB cjfa-12563 9 6 three three NUM cjfa-12563 9 7 different different ADJ cjfa-12563 9 8 risk risk NOUN cjfa-12563 9 9 measures measure NOUN cjfa-12563 9 10 based base VERB cjfa-12563 9 11 on on ADP cjfa-12563 9 12 the the DET cjfa-12563 9 13 same same ADJ cjfa-12563 9 14 stock stock NOUN cjfa-12563 9 15 return return NOUN cjfa-12563 9 16 data datum NOUN cjfa-12563 9 17 : : PUNCT cjfa-12563 9 18 ( ( PUNCT cjfa-12563 9 19 1 1 X cjfa-12563 9 20 ) ) PUNCT cjfa-12563 9 21 the the DET cjfa-12563 9 22 portfolio portfolio NOUN cjfa-12563 9 23 variance variance NOUN cjfa-12563 9 24 as as ADP cjfa-12563 9 25 in in ADP cjfa-12563 9 26 markowitz markowitz PROPN cjfa-12563 9 27 ( ( PUNCT cjfa-12563 9 28 1952 1952 NUM cjfa-12563 9 29 ) ) PUNCT cjfa-12563 9 30 , , PUNCT cjfa-12563 9 31 ( ( PUNCT cjfa-12563 9 32 2 2 X cjfa-12563 9 33 ) ) PUNCT cjfa-12563 9 34 the the DET cjfa-12563 9 35 value value NOUN cjfa-12563 9 36 at at ADP cjfa-12563 9 37 risk risk NOUN cjfa-12563 9 38 based base VERB cjfa-12563 9 39 on on ADP cjfa-12563 9 40 the the DET cjfa-12563 9 41 historical historical ADJ cjfa-12563 9 42 return return NOUN cjfa-12563 9 43 distribution distribution NOUN cjfa-12563 9 44 , , PUNCT cjfa-12563 9 45 and and CCONJ cjfa-12563 9 46 ( ( PUNCT cjfa-12563 9 47 3 3 X cjfa-12563 9 48 ) ) PUNCT cjfa-12563 9 49 the the DET cjfa-12563 9 50 value value NOUN cjfa-12563 9 51 at at ADP cjfa-12563 9 52 risk risk NOUN cjfa-12563 9 53 based base VERB cjfa-12563 9 54 on on ADP cjfa-12563 9 55 a a DET cjfa-12563 9 56 t t NOUN cjfa-12563 9 57 copula copula NOUN cjfa-12563 9 58 . . PUNCT cjfa-12563 10 1 unless unless SCONJ cjfa-12563 10 2 return return NOUN cjfa-12563 10 3 series series NOUN cjfa-12563 10 4 follow follow VERB cjfa-12563 10 5 a a DET cjfa-12563 10 6 normal normal ADJ cjfa-12563 10 7 distribution distribution NOUN cjfa-12563 10 8 , , PUNCT cjfa-12563 10 9 normal normal ADJ cjfa-12563 10 10 - - PUNCT cjfa-12563 10 11 based base VERB cjfa-12563 10 12 risk risk NOUN cjfa-12563 10 13 measures measure NOUN cjfa-12563 10 14 underestimate underestimate ADJ cjfa-12563 10 15 risk risk NOUN cjfa-12563 10 16 , , PUNCT cjfa-12563 10 17 particularly particularly ADV cjfa-12563 10 18 so so ADV cjfa-12563 10 19 during during ADP cjfa-12563 10 20 periods period NOUN cjfa-12563 10 21 of of ADP cjfa-12563 10 22 market market NOUN cjfa-12563 10 23 stress stress NOUN cjfa-12563 10 24 , , PUNCT cjfa-12563 10 25 when when SCONJ cjfa-12563 10 26 accurate accurate ADJ cjfa-12563 10 27 risk risk NOUN cjfa-12563 10 28 measurement measurement NOUN cjfa-12563 10 29 is be AUX cjfa-12563 10 30 essential essential ADJ cjfa-12563 10 31 . . PUNCT cjfa-12563 11 1 based base VERB cjfa-12563 11 2 on on ADP cjfa-12563 11 3 these these DET cjfa-12563 11 4 insights insight NOUN cjfa-12563 11 5 , , PUNCT cjfa-12563 11 6 we we PRON cjfa-12563 11 7 recommend recommend VERB cjfa-12563 11 8 that that SCONJ cjfa-12563 11 9 supervisors supervisor NOUN cjfa-12563 11 10 discontinue discontinue VERB cjfa-12563 11 11 to to PART cjfa-12563 11 12 accept accept VERB cjfa-12563 11 13 normal normal ADJ cjfa-12563 11 14 - - PUNCT cjfa-12563 11 15 based base VERB cjfa-12563 11 16 value value NOUN cjfa-12563 11 17 at at ADP cjfa-12563 11 18 risk risk NOUN cjfa-12563 11 19 estimations estimation NOUN cjfa-12563 11 20 . . PUNCT cjfa-12563 12 1 we we PRON cjfa-12563 12 2 are be AUX cjfa-12563 12 3 happy happy ADJ cjfa-12563 12 4 to to PART cjfa-12563 12 5 share share VERB cjfa-12563 12 6 our our PRON cjfa-12563 12 7 commented commented ADJ cjfa-12563 12 8 r r NOUN cjfa-12563 12 9 - - PUNCT cjfa-12563 12 10 code code NOUN cjfa-12563 12 11 with with ADP cjfa-12563 12 12 practitioners practitioner NOUN cjfa-12563 12 13 who who PRON cjfa-12563 12 14 wish wish VERB cjfa-12563 12 15 to to PART cjfa-12563 12 16 implement implement VERB cjfa-12563 12 17 our our PRON cjfa-12563 12 18 methodology methodology NOUN cjfa-12563 12 19 . . PUNCT cjfa-12563 13 1 risk risk NOUN cjfa-12563 13 2 measurement measurement NOUN cjfa-12563 13 3 is be AUX cjfa-12563 13 4 the the DET cjfa-12563 13 5 foundation foundation NOUN cjfa-12563 13 6 of of ADP cjfa-12563 13 7 risk risk NOUN cjfa-12563 13 8 management management NOUN cjfa-12563 13 9 and and CCONJ cjfa-12563 13 10 hence hence ADV cjfa-12563 13 11 of of ADP cjfa-12563 13 12 vital vital ADJ cjfa-12563 13 13 importance importance NOUN cjfa-12563 13 14 in in ADP cjfa-12563 13 15 any any DET cjfa-12563 13 16 financial financial ADJ cjfa-12563 13 17 institution institution NOUN cjfa-12563 13 18 . . PUNCT cjfa-12563 14 1 supervisory supervisory ADJ cjfa-12563 14 2 capital capital NOUN cjfa-12563 14 3 requirements requirement NOUN cjfa-12563 14 4 according accord VERB cjfa-12563 14 5 to to ADP cjfa-12563 14 6 basel basel PROPN cjfa-12563 14 7 iii iii PROPN cjfa-12563 14 8 or or CCONJ cjfa-12563 14 9 solvency solvency NOUN cjfa-12563 14 10 ii ii NOUN cjfa-12563 14 11 are be AUX cjfa-12563 14 12 also also ADV cjfa-12563 14 13 derived derive VERB cjfa-12563 14 14 from from ADP cjfa-12563 14 15 risk risk NOUN cjfa-12563 14 16 measures measure NOUN cjfa-12563 14 17 . . PUNCT cjfa-12563 15 1 investors investor NOUN cjfa-12563 15 2 are be AUX cjfa-12563 15 3 interested interested ADJ cjfa-12563 15 4 in in ADP cjfa-12563 15 5 ratings rating NOUN cjfa-12563 15 6 which which PRON cjfa-12563 15 7 are be AUX cjfa-12563 15 8 based base VERB cjfa-12563 15 9 on on ADP cjfa-12563 15 10 risk risk NOUN cjfa-12563 15 11 assessments assessment NOUN cjfa-12563 15 12 . . PUNCT cjfa-12563 16 1 this this DET cjfa-12563 16 2 note note NOUN cjfa-12563 16 3 is be AUX cjfa-12563 16 4 therefore therefore ADV cjfa-12563 16 5 relevant relevant ADJ cjfa-12563 16 6 to to ADP cjfa-12563 16 7 practitioners practitioner NOUN cjfa-12563 16 8 and and CCONJ cjfa-12563 16 9 supervisors supervisor NOUN cjfa-12563 16 10 alike alike ADV cjfa-12563 16 11 . . PUNCT cjfa-12563 17 1 christiane christiane PROPN cjfa-12563 17 2 goodfellow goodfellow PROPN cjfa-12563 17 3 , , PUNCT cjfa-12563 17 4 christian christian ADJ cjfa-12563 17 5 salm86 salm86 NOUN cjfa-12563 17 6     SPACE cjfa-12563 17 7 introduction introduction NOUN cjfa-12563 17 8 risk risk NOUN cjfa-12563 17 9 measurement measurement NOUN cjfa-12563 17 10 has have AUX cjfa-12563 17 11 come come VERB cjfa-12563 17 12 a a DET cjfa-12563 17 13 long long ADJ cjfa-12563 17 14 way way NOUN cjfa-12563 17 15 since since SCONJ cjfa-12563 17 16 markowitz markowitz PROPN cjfa-12563 17 17 ( ( PUNCT cjfa-12563 17 18 1952 1952 NUM cjfa-12563 17 19 ) ) PUNCT cjfa-12563 17 20 where where SCONJ cjfa-12563 17 21 the the DET cjfa-12563 17 22 risk risk NOUN cjfa-12563 17 23 associated associate VERB cjfa-12563 17 24 with with ADP cjfa-12563 17 25 holding hold VERB cjfa-12563 17 26 a a DET cjfa-12563 17 27 stock stock NOUN cjfa-12563 17 28 or or CCONJ cjfa-12563 17 29 a a DET cjfa-12563 17 30 portfolio portfolio NOUN cjfa-12563 17 31 is be AUX cjfa-12563 17 32 captured capture VERB cjfa-12563 17 33 by by ADP cjfa-12563 17 34 its its PRON cjfa-12563 17 35 return return NOUN cjfa-12563 17 36 variance variance NOUN cjfa-12563 17 37 , , PUNCT cjfa-12563 17 38 and and CCONJ cjfa-12563 17 39 the the DET cjfa-12563 17 40 covariation covariation NOUN cjfa-12563 17 41 between between ADP cjfa-12563 17 42 the the DET cjfa-12563 17 43 instruments instrument NOUN cjfa-12563 17 44 inside inside ADP cjfa-12563 17 45 the the DET cjfa-12563 17 46 portfolio portfolio NOUN cjfa-12563 17 47 is be AUX cjfa-12563 17 48 measured measure VERB cjfa-12563 17 49 with with ADP cjfa-12563 17 50 the the DET cjfa-12563 17 51 covariance covariance NOUN cjfa-12563 17 52 . . PUNCT cjfa-12563 18 1 the the DET cjfa-12563 18 2 focus focus NOUN cjfa-12563 18 3 on on ADP cjfa-12563 18 4 just just ADV cjfa-12563 18 5 mean mean ADJ cjfa-12563 18 6 and and CCONJ cjfa-12563 18 7 variance variance NOUN cjfa-12563 18 8 of of ADP cjfa-12563 18 9 a a DET cjfa-12563 18 10 portfolio portfolio NOUN cjfa-12563 18 11 assumes assume VERB cjfa-12563 18 12 that that SCONJ cjfa-12563 18 13 returns return NOUN cjfa-12563 18 14 follow follow VERB cjfa-12563 18 15 a a DET cjfa-12563 18 16 normal normal ADJ cjfa-12563 18 17 distribution distribution NOUN cjfa-12563 18 18 , , PUNCT cjfa-12563 18 19 and and CCONJ cjfa-12563 18 20 the the DET cjfa-12563 18 21 covariance covariance NOUN cjfa-12563 18 22 only only ADV cjfa-12563 18 23 covers cover VERB cjfa-12563 18 24 pairwise pairwise NOUN cjfa-12563 18 25 linear linear NOUN cjfa-12563 18 26 dependencies dependency NOUN cjfa-12563 18 27 between between ADP cjfa-12563 18 28 the the DET cjfa-12563 18 29 constituents constituent NOUN cjfa-12563 18 30 of of ADP cjfa-12563 18 31 the the DET cjfa-12563 18 32 portfolio portfolio NOUN cjfa-12563 18 33 . . PUNCT cjfa-12563 19 1 furthermore furthermore ADV cjfa-12563 19 2 , , PUNCT cjfa-12563 19 3 investors investor NOUN cjfa-12563 19 4 ’ ' PUNCT cjfa-12563 19 5 prime prime ADJ cjfa-12563 19 6 interest interest NOUN cjfa-12563 19 7 is be AUX cjfa-12563 19 8 in in ADP cjfa-12563 19 9 the the DET cjfa-12563 19 10 downside downside ADJ cjfa-12563 19 11 risk risk NOUN cjfa-12563 19 12 , , PUNCT cjfa-12563 19 13 rather rather ADV cjfa-12563 19 14 than than ADP cjfa-12563 19 15 general general ADJ cjfa-12563 19 16 variation variation NOUN cjfa-12563 19 17 . . PUNCT cjfa-12563 20 1 hence hence ADV cjfa-12563 20 2 , , PUNCT cjfa-12563 20 3 risk risk NOUN cjfa-12563 20 4 measurement measurement NOUN cjfa-12563 20 5 should should AUX cjfa-12563 20 6 focus focus VERB cjfa-12563 20 7 on on ADP cjfa-12563 20 8 the the DET cjfa-12563 20 9 left left ADJ cjfa-12563 20 10 tail tail NOUN cjfa-12563 20 11 of of ADP cjfa-12563 20 12 the the DET cjfa-12563 20 13 return return NOUN cjfa-12563 20 14 distribution distribution NOUN cjfa-12563 20 15 , , PUNCT cjfa-12563 20 16 and and CCONJ cjfa-12563 20 17 it it PRON cjfa-12563 20 18 should should AUX cjfa-12563 20 19 not not PART cjfa-12563 20 20 rely rely VERB cjfa-12563 20 21 on on ADP cjfa-12563 20 22 the the DET cjfa-12563 20 23 returns return NOUN cjfa-12563 20 24 being be AUX cjfa-12563 20 25 normally normally ADV cjfa-12563 20 26 distributed distribute VERB cjfa-12563 20 27 . . PUNCT cjfa-12563 21 1 the the DET cjfa-12563 21 2 value value NOUN cjfa-12563 21 3 at at ADP cjfa-12563 21 4 risk risk NOUN cjfa-12563 21 5 is be AUX cjfa-12563 21 6 a a DET cjfa-12563 21 7 risk risk NOUN cjfa-12563 21 8 measure measure NOUN cjfa-12563 21 9 that that PRON cjfa-12563 21 10 addresses address VERB cjfa-12563 21 11 these these DET cjfa-12563 21 12 issues issue NOUN cjfa-12563 21 13 ; ; PUNCT cjfa-12563 21 14 it it PRON cjfa-12563 21 15 is be AUX cjfa-12563 21 16 a a DET cjfa-12563 21 17 quantile quantile NOUN cjfa-12563 21 18 of of ADP cjfa-12563 21 19 the the DET cjfa-12563 21 20 multivariate multivariate NOUN cjfa-12563 21 21 statistical statistical ADJ cjfa-12563 21 22 distribution distribution NOUN cjfa-12563 21 23 of of ADP cjfa-12563 21 24 the the DET cjfa-12563 21 25 portfolio portfolio NOUN cjfa-12563 21 26 value value NOUN cjfa-12563 21 27 ( ( PUNCT cjfa-12563 21 28 or or CCONJ cjfa-12563 21 29 the the DET cjfa-12563 21 30 portfolio portfolio NOUN cjfa-12563 21 31 return return NOUN cjfa-12563 21 32 ) ) PUNCT cjfa-12563 21 33 . . PUNCT cjfa-12563 22 1 more more ADV cjfa-12563 22 2 recently recently ADV cjfa-12563 22 3 , , PUNCT cjfa-12563 22 4 copulas copula NOUN cjfa-12563 22 5 have have AUX cjfa-12563 22 6 been be AUX cjfa-12563 22 7 applied apply VERB cjfa-12563 22 8 to to ADP cjfa-12563 22 9 risk risk NOUN cjfa-12563 22 10 measurement measurement NOUN cjfa-12563 22 11 . . PUNCT cjfa-12563 23 1 despite despite SCONJ cjfa-12563 23 2 these these DET cjfa-12563 23 3 improvements improvement NOUN cjfa-12563 23 4 in in ADP cjfa-12563 23 5 risk risk NOUN cjfa-12563 23 6 measurement measurement NOUN cjfa-12563 23 7 accuracy accuracy NOUN cjfa-12563 23 8 , , PUNCT cjfa-12563 23 9 both both DET cjfa-12563 23 10 basel basel PROPN cjfa-12563 23 11 iii iii PROPN cjfa-12563 23 12 and and CCONJ cjfa-12563 23 13 solvency solvency PROPN cjfa-12563 23 14 ii ii PROPN cjfa-12563 23 15 still still ADV cjfa-12563 23 16 rely rely VERB cjfa-12563 23 17 on on ADP cjfa-12563 23 18 correlation correlation NOUN cjfa-12563 23 19 coefficients coefficient NOUN cjfa-12563 23 20 to to PART cjfa-12563 23 21 estimate estimate VERB cjfa-12563 23 22 interdependencies interdependency NOUN cjfa-12563 23 23 of of ADP cjfa-12563 23 24 different different ADJ cjfa-12563 23 25 risks risk NOUN cjfa-12563 23 26 . . PUNCT cjfa-12563 24 1 we we PRON cjfa-12563 24 2 calculate calculate VERB cjfa-12563 24 3 portfolio portfolio NOUN cjfa-12563 24 4 risk risk NOUN cjfa-12563 24 5 with with ADP cjfa-12563 24 6 ( ( PUNCT cjfa-12563 24 7 1 1 X cjfa-12563 24 8 ) ) PUNCT cjfa-12563 24 9 the the DET cjfa-12563 24 10 portfolio portfolio NOUN cjfa-12563 24 11 variance variance NOUN cjfa-12563 24 12 as as ADP cjfa-12563 24 13 in in ADP cjfa-12563 24 14 markowitz markowitz PROPN cjfa-12563 24 15 ( ( PUNCT cjfa-12563 24 16 1952 1952 NUM cjfa-12563 24 17 ) ) PUNCT cjfa-12563 24 18 , , PUNCT cjfa-12563 24 19 ( ( PUNCT cjfa-12563 24 20 2 2 X cjfa-12563 24 21 ) ) PUNCT cjfa-12563 24 22 the the DET cjfa-12563 24 23 value value NOUN cjfa-12563 24 24 at at ADP cjfa-12563 24 25 risk risk NOUN cjfa-12563 24 26 based base VERB cjfa-12563 24 27 on on ADP cjfa-12563 24 28 the the DET cjfa-12563 24 29 historical historical ADJ cjfa-12563 24 30 return return NOUN cjfa-12563 24 31 distribution distribution NOUN cjfa-12563 24 32 , , PUNCT cjfa-12563 24 33 and and CCONJ cjfa-12563 24 34 ( ( PUNCT cjfa-12563 24 35 3 3 X cjfa-12563 24 36 ) ) PUNCT cjfa-12563 24 37 the the DET cjfa-12563 24 38 value value NOUN cjfa-12563 24 39 at at ADP cjfa-12563 24 40 risk risk NOUN cjfa-12563 24 41 based base VERB cjfa-12563 24 42 on on ADP cjfa-12563 24 43 copulas copula NOUN cjfa-12563 24 44 . . PUNCT cjfa-12563 25 1 we we PRON cjfa-12563 25 2 compare compare VERB cjfa-12563 25 3 the the DET cjfa-12563 25 4 estimation estimation NOUN cjfa-12563 25 5 results result NOUN cjfa-12563 25 6 of of ADP cjfa-12563 25 7 ( ( PUNCT cjfa-12563 25 8 2 2 NUM cjfa-12563 25 9 ) ) PUNCT cjfa-12563 25 10 and and CCONJ cjfa-12563 25 11 ( ( PUNCT cjfa-12563 25 12 3 3 X cjfa-12563 25 13 ) ) PUNCT cjfa-12563 25 14 to to ADP cjfa-12563 25 15 the the DET cjfa-12563 25 16 value value NOUN cjfa-12563 25 17 at at ADP cjfa-12563 25 18 risk risk NOUN cjfa-12563 25 19 based base VERB cjfa-12563 25 20 on on ADP cjfa-12563 25 21 the the DET cjfa-12563 25 22 assumption assumption NOUN cjfa-12563 25 23 that that SCONJ cjfa-12563 25 24 the the DET cjfa-12563 25 25 returns return NOUN cjfa-12563 25 26 follow follow VERB cjfa-12563 25 27 a a DET cjfa-12563 25 28 normal normal ADJ cjfa-12563 25 29 distribution distribution NOUN cjfa-12563 25 30 . . PUNCT cjfa-12563 26 1 furthermore furthermore ADV cjfa-12563 26 2 , , PUNCT cjfa-12563 26 3 we we PRON cjfa-12563 26 4 present present VERB cjfa-12563 26 5 a a DET cjfa-12563 26 6 simple simple ADJ cjfa-12563 26 7 step step NOUN cjfa-12563 26 8 - - PUNCT cjfa-12563 26 9 by by ADP cjfa-12563 26 10 - - PUNCT cjfa-12563 26 11 step step NOUN cjfa-12563 26 12 procedure procedure NOUN cjfa-12563 26 13 to to PART cjfa-12563 26 14 derive derive VERB cjfa-12563 26 15 an an DET cjfa-12563 26 16 accurate accurate ADJ cjfa-12563 26 17 risk risk NOUN cjfa-12563 26 18 measure measure NOUN cjfa-12563 26 19 with with ADP cjfa-12563 26 20 copulas copula NOUN cjfa-12563 26 21 . . PUNCT cjfa-12563 27 1 measuring measure VERB cjfa-12563 27 2 risk risk NOUN cjfa-12563 27 3 reliably reliably ADV cjfa-12563 27 4 is be AUX cjfa-12563 27 5 relevant relevant ADJ cjfa-12563 27 6 for for ADP cjfa-12563 27 7 practitioners practitioner NOUN cjfa-12563 27 8 in in ADP cjfa-12563 27 9 risk risk NOUN cjfa-12563 27 10 management management NOUN cjfa-12563 27 11 and and CCONJ cjfa-12563 27 12 for for ADP cjfa-12563 27 13 supervisors supervisor NOUN cjfa-12563 27 14 alike alike ADV cjfa-12563 27 15 . . PUNCT cjfa-12563 28 1 both both PRON cjfa-12563 28 2 banks bank NOUN cjfa-12563 28 3 and and CCONJ cjfa-12563 28 4 insurance insurance NOUN cjfa-12563 28 5 companies company NOUN cjfa-12563 28 6 have have VERB cjfa-12563 28 7 an an DET cjfa-12563 28 8 interest interest NOUN cjfa-12563 28 9 in in ADP cjfa-12563 28 10 not not PART cjfa-12563 28 11 overestimating overestimate VERB cjfa-12563 28 12 risks risk NOUN cjfa-12563 28 13 that that PRON cjfa-12563 28 14 could could AUX cjfa-12563 28 15 lead lead VERB cjfa-12563 28 16 to to ADP cjfa-12563 28 17 capital capital NOUN cjfa-12563 28 18 requirements requirement NOUN cjfa-12563 28 19 , , PUNCT cjfa-12563 28 20 and and CCONJ cjfa-12563 28 21 in in ADP cjfa-12563 28 22 not not PART cjfa-12563 28 23 underestimating underestimate VERB cjfa-12563 28 24 risks risk NOUN cjfa-12563 28 25 which which PRON cjfa-12563 28 26 might might AUX cjfa-12563 28 27 jeopardise jeopardise VERB cjfa-12563 28 28 the the DET cjfa-12563 28 29 existence existence NOUN cjfa-12563 28 30 of of ADP cjfa-12563 28 31 the the DET cjfa-12563 28 32 business business NOUN cjfa-12563 28 33 . . PUNCT cjfa-12563 29 1 likewise likewise ADV cjfa-12563 29 2 , , PUNCT cjfa-12563 29 3 investors investor NOUN cjfa-12563 29 4 and and CCONJ cjfa-12563 29 5 rating rating NOUN cjfa-12563 29 6 agencies agency NOUN cjfa-12563 29 7 are be AUX cjfa-12563 29 8 interested interested ADJ cjfa-12563 29 9 in in ADP cjfa-12563 29 10 risk risk NOUN cjfa-12563 29 11 assessments assessment NOUN cjfa-12563 29 12 . . PUNCT cjfa-12563 30 1 according accord VERB cjfa-12563 30 2 to to ADP cjfa-12563 30 3 portfolio portfolio NOUN cjfa-12563 30 4 selection selection NOUN cjfa-12563 30 5 theory theory NOUN cjfa-12563 30 6 established establish VERB cjfa-12563 30 7 by by ADP cjfa-12563 30 8 markowitz markowitz PROPN cjfa-12563 30 9 ( ( PUNCT cjfa-12563 30 10 1952 1952 NUM cjfa-12563 30 11 ) ) PUNCT cjfa-12563 30 12 , , PUNCT cjfa-12563 30 13 the the DET cjfa-12563 30 14 investor investor NOUN cjfa-12563 30 15 aims aim VERB cjfa-12563 30 16 for for ADP cjfa-12563 30 17 a a DET cjfa-12563 30 18 portfolio portfolio NOUN cjfa-12563 30 19 with with ADP cjfa-12563 30 20 maximum maximum ADJ cjfa-12563 30 21 expected expect VERB cjfa-12563 30 22 return return NOUN cjfa-12563 30 23 and and CCONJ cjfa-12563 30 24 minimum minimum NOUN cjfa-12563 30 25 risk risk NOUN cjfa-12563 30 26 , , PUNCT cjfa-12563 30 27 measured measure VERB cjfa-12563 30 28 by by ADP cjfa-12563 30 29 the the DET cjfa-12563 30 30 expected expect VERB cjfa-12563 30 31 portfolio portfolio NOUN cjfa-12563 30 32 variance variance NOUN cjfa-12563 30 33 . . PUNCT cjfa-12563 31 1 this this DET cjfa-12563 31 2 expected expect VERB cjfa-12563 31 3 variance variance NOUN cjfa-12563 31 4 is be AUX cjfa-12563 31 5 minimised minimise VERB cjfa-12563 31 6 primarily primarily ADV cjfa-12563 31 7 by by ADP cjfa-12563 31 8 combining combine VERB cjfa-12563 31 9 securities security NOUN cjfa-12563 31 10 with with ADP cjfa-12563 31 11 low low ADJ cjfa-12563 31 12 covariances covariance NOUN cjfa-12563 31 13 among among ADP cjfa-12563 31 14 themselves themselves PRON cjfa-12563 31 15 . . PUNCT cjfa-12563 32 1 this this PRON cjfa-12563 32 2 leads lead VERB cjfa-12563 32 3 to to ADP cjfa-12563 32 4 a a DET cjfa-12563 32 5 well well ADV cjfa-12563 32 6 - - PUNCT cjfa-12563 32 7 diversified diversify VERB cjfa-12563 32 8 portfolio portfolio NOUN cjfa-12563 32 9 , , PUNCT cjfa-12563 32 10 where where SCONJ cjfa-12563 32 11 diversification diversification NOUN cjfa-12563 32 12 refers refer VERB cjfa-12563 32 13 to to ADP cjfa-12563 32 14 choosing choose VERB cjfa-12563 32 15 securities security NOUN cjfa-12563 32 16 whose whose DET cjfa-12563 32 17 gains gain NOUN cjfa-12563 32 18 will will AUX cjfa-12563 32 19 offset offset VERB cjfa-12563 32 20 others other NOUN cjfa-12563 32 21 ’ ’ PART cjfa-12563 32 22 losses loss NOUN cjfa-12563 32 23 . . PUNCT cjfa-12563 33 1 specifically specifically ADV cjfa-12563 33 2 , , PUNCT cjfa-12563 33 3 a a DET cjfa-12563 33 4 well well ADV cjfa-12563 33 5 - - PUNCT cjfa-12563 33 6 diversified diversify VERB cjfa-12563 33 7 portfolio portfolio NOUN cjfa-12563 33 8 contains contain VERB cjfa-12563 33 9 securities security NOUN cjfa-12563 33 10 from from ADP cjfa-12563 33 11 companies company NOUN cjfa-12563 33 12 of of ADP cjfa-12563 33 13 different different ADJ cjfa-12563 33 14 , , PUNCT cjfa-12563 33 15 and and CCONJ cjfa-12563 33 16 dissimilar dissimilar ADJ cjfa-12563 33 17 , , PUNCT cjfa-12563 33 18 industries industry NOUN cjfa-12563 33 19 , , PUNCT cjfa-12563 33 20 and and CCONJ cjfa-12563 33 21 investment investment NOUN cjfa-12563 33 22 decisions decision NOUN cjfa-12563 33 23 are be AUX cjfa-12563 33 24 not not PART cjfa-12563 33 25 made make VERB cjfa-12563 33 26 by by ADP cjfa-12563 33 27 looking look VERB cjfa-12563 33 28 risky risky ADJ cjfa-12563 33 29 risk risk NOUN cjfa-12563 33 30 measures measure NOUN cjfa-12563 33 31 … … PUNCT cjfa-12563 33 32 87 87 NUM cjfa-12563 33 33 at at ADP cjfa-12563 33 34 a a DET cjfa-12563 33 35 particular particular ADJ cjfa-12563 33 36 security security NOUN cjfa-12563 33 37 in in ADP cjfa-12563 33 38 isolation isolation NOUN cjfa-12563 33 39 , , PUNCT cjfa-12563 33 40 but but CCONJ cjfa-12563 33 41 rather rather ADV cjfa-12563 33 42 by by ADP cjfa-12563 33 43 evaluating evaluate VERB cjfa-12563 33 44 expected expect VERB cjfa-12563 33 45 return return NOUN cjfa-12563 33 46 and and CCONJ cjfa-12563 33 47 variance variance NOUN cjfa-12563 33 48 of of ADP cjfa-12563 33 49 the the DET cjfa-12563 33 50 overall overall ADJ cjfa-12563 33 51 portfolio portfolio NOUN cjfa-12563 33 52 when when SCONJ cjfa-12563 33 53 this this DET cjfa-12563 33 54 particular particular ADJ cjfa-12563 33 55 security security NOUN cjfa-12563 33 56 is be AUX cjfa-12563 33 57 added add VERB cjfa-12563 33 58 to to ADP cjfa-12563 33 59 it it PRON cjfa-12563 33 60 . . PUNCT cjfa-12563 34 1 the the DET cjfa-12563 34 2 investor investor NOUN cjfa-12563 34 3 seeks seek VERB cjfa-12563 34 4 to to PART cjfa-12563 34 5 minimise minimise VERB cjfa-12563 34 6 the the DET cjfa-12563 34 7 expected expect VERB cjfa-12563 34 8 portfolio portfolio NOUN cjfa-12563 34 9 variance variance NOUN cjfa-12563 34 10 σp σp PROPN cjfa-12563 34 11 . . PUNCT cjfa-12563 35 1 she she PRON cjfa-12563 35 2 can can AUX cjfa-12563 35 3 achieve achieve VERB cjfa-12563 35 4 this this PRON cjfa-12563 35 5 by by ADP cjfa-12563 35 6 choosing choose VERB cjfa-12563 35 7 securities security NOUN cjfa-12563 35 8 with with ADP cjfa-12563 35 9 low low ADJ cjfa-12563 35 10 variances variance NOUN cjfa-12563 35 11 cus cus VERB cjfa-12563 35 12 on on ADP cjfa-12563 35 13 just just ADV cjfa-12563 35 14 mean mean ADJ cjfa-12563 35 15 and and CCONJ cjfa-12563 35 16 variance variance NOUN cjfa-12563 35 17 of of ADP cjfa-12563 35 18 a a DET cjfa-12563 35 19 portfolio portfolio NOUN cjfa-12563 35 20 assumes assume VERB cjfa-12563 35 21 that that SCONJ cjfa-12563 35 22 returns return NOUN cjfa-12563 35 23 follow follow VERB cjfa-12563 35 24 a a DET cjfa-12563 35 25 normal normal ADJ cjfa-12563 35 26 distribution distribution NOUN cjfa-12563 35 27 , , PUNCT cjfa-12563 35 28 and and CCONJ cjfa-12563 35 29 the the DET cjfa-12563 35 30 covariance covariance NOUN cjfa-12563 35 31 only only ADV cjfa-12563 35 32 covers cover VERB cjfa-12563 35 33 pairwise pairwise NOUN cjfa-12563 35 34 linear linear NOUN cjfa-12563 35 35 dependencies dependency NOUN cjfa-12563 35 36 between between ADP cjfa-12563 35 37 the the DET cjfa-12563 35 38 constituents constituent NOUN cjfa-12563 35 39 of of ADP cjfa-12563 35 40 the the DET cjfa-12563 35 41 portfolio portfolio NOUN cjfa-12563 35 42 . . PUNCT cjfa-12563 36 1 furthermore furthermore ADV cjfa-12563 36 2 , , PUNCT cjfa-12563 36 3 investors investor NOUN cjfa-12563 36 4 ' ' PART cjfa-12563 36 5 prime prime ADJ cjfa-12563 36 6 interest interest NOUN cjfa-12563 36 7 is be AUX cjfa-12563 36 8 in in ADP cjfa-12563 36 9 the the DET cjfa-12563 36 10 downside downside ADJ cjfa-12563 36 11 risk risk NOUN cjfa-12563 36 12 , , PUNCT cjfa-12563 36 13 rather rather ADV cjfa-12563 36 14 than than ADP cjfa-12563 36 15 general general ADJ cjfa-12563 36 16 variation variation NOUN cjfa-12563 36 17 . . PUNCT cjfa-12563 37 1 hence hence ADV cjfa-12563 37 2 , , PUNCT cjfa-12563 37 3 risk risk NOUN cjfa-12563 37 4 measurement measurement NOUN cjfa-12563 37 5 should should AUX cjfa-12563 37 6 focus focus VERB cjfa-12563 37 7 on on ADP cjfa-12563 37 8 the the DET cjfa-12563 37 9 left left ADJ cjfa-12563 37 10 tail tail NOUN cjfa-12563 37 11 of of ADP cjfa-12563 37 12 the the DET cjfa-12563 37 13 return return NOUN cjfa-12563 37 14 distribution distribution NOUN cjfa-12563 37 15 , , PUNCT cjfa-12563 37 16 and and CCONJ cjfa-12563 37 17 it it PRON cjfa-12563 37 18 should should AUX cjfa-12563 37 19 not not PART cjfa-12563 37 20 rely rely VERB cjfa-12563 37 21 on on ADP cjfa-12563 37 22 the the DET cjfa-12563 37 23 returns return NOUN cjfa-12563 37 24 being be AUX cjfa-12563 37 25 normally normally ADV cjfa-12563 37 26 distributed distribute VERB cjfa-12563 37 27 . . PUNCT cjfa-12563 38 1 the the DET cjfa-12563 38 2 value value NOUN cjfa-12563 38 3 at at ADP cjfa-12563 38 4 risk risk NOUN cjfa-12563 38 5 is be AUX cjfa-12563 38 6 a a DET cjfa-12563 38 7 risk risk NOUN cjfa-12563 38 8 measure measure NOUN cjfa-12563 38 9 that that PRON cjfa-12563 38 10 addresses address VERB cjfa-12563 38 11 these these DET cjfa-12563 38 12 issues issue NOUN cjfa-12563 38 13 ; ; PUNCT cjfa-12563 38 14 it it PRON cjfa-12563 38 15 is be AUX cjfa-12563 38 16 a a DET cjfa-12563 38 17 quantile quantile NOUN cjfa-12563 38 18 of of ADP cjfa-12563 38 19 the the DET cjfa-12563 38 20 multivariate multivariate NOUN cjfa-12563 38 21 statistical statistical ADJ cjfa-12563 38 22 distribution distribution NOUN cjfa-12563 38 23 of of ADP cjfa-12563 38 24 the the DET cjfa-12563 38 25 portfolio portfolio NOUN cjfa-12563 38 26 value value NOUN cjfa-12563 38 27 ( ( PUNCT cjfa-12563 38 28 or or CCONJ cjfa-12563 38 29 the the DET cjfa-12563 38 30 portfolio portfolio NOUN cjfa-12563 38 31 return return NOUN cjfa-12563 38 32 ) ) PUNCT cjfa-12563 38 33 . . PUNCT cjfa-12563 39 1 more more ADV cjfa-12563 39 2 recently recently ADV cjfa-12563 39 3 , , PUNCT cjfa-12563 39 4 copulas copula NOUN cjfa-12563 39 5 have have AUX cjfa-12563 39 6 been be AUX cjfa-12563 39 7 applied apply VERB cjfa-12563 39 8 to to ADP cjfa-12563 39 9 risk risk NOUN cjfa-12563 39 10 measurement measurement NOUN cjfa-12563 39 11 . . PUNCT cjfa-12563 40 1 despite despite SCONJ cjfa-12563 40 2 these these DET cjfa-12563 40 3 improvements improvement NOUN cjfa-12563 40 4 in in ADP cjfa-12563 40 5 risk risk NOUN cjfa-12563 40 6 measurement measurement NOUN cjfa-12563 40 7 accuracy accuracy NOUN cjfa-12563 40 8 , , PUNCT cjfa-12563 40 9 both both DET cjfa-12563 40 10 basel basel PROPN cjfa-12563 40 11 iii iii PROPN cjfa-12563 40 12 and and CCONJ cjfa-12563 40 13 solvency solvency PROPN cjfa-12563 40 14 ii ii PROPN cjfa-12563 40 15 still still ADV cjfa-12563 40 16 rely rely VERB cjfa-12563 40 17 on on ADP cjfa-12563 40 18 correlation correlation NOUN cjfa-12563 40 19 coefficients coefficient NOUN cjfa-12563 40 20 to to PART cjfa-12563 40 21 estimate estimate VERB cjfa-12563 40 22 interdependencies interdependency NOUN cjfa-12563 40 23 of of ADP cjfa-12563 40 24 different different ADJ cjfa-12563 40 25 risks risk NOUN cjfa-12563 40 26 . . PUNCT cjfa-12563 41 1 we we PRON cjfa-12563 41 2 calculate calculate VERB cjfa-12563 41 3 portfolio portfolio NOUN cjfa-12563 41 4 risk risk NOUN cjfa-12563 41 5 with with ADP cjfa-12563 41 6 ( ( PUNCT cjfa-12563 41 7 1 1 X cjfa-12563 41 8 ) ) PUNCT cjfa-12563 41 9 the the DET cjfa-12563 41 10 portfolio portfolio NOUN cjfa-12563 41 11 variance variance NOUN cjfa-12563 41 12 as as ADP cjfa-12563 41 13 in in ADP cjfa-12563 41 14 markowitz markowitz PROPN cjfa-12563 41 15 ( ( PUNCT cjfa-12563 41 16 1952 1952 NUM cjfa-12563 41 17 ) ) PUNCT cjfa-12563 41 18 , , PUNCT cjfa-12563 41 19 ( ( PUNCT cjfa-12563 41 20 2 2 X cjfa-12563 41 21 ) ) PUNCT cjfa-12563 41 22 the the DET cjfa-12563 41 23 value value NOUN cjfa-12563 41 24 at at ADP cjfa-12563 41 25 risk risk NOUN cjfa-12563 41 26 based base VERB cjfa-12563 41 27 on on ADP cjfa-12563 41 28 the the DET cjfa-12563 41 29 historical historical ADJ cjfa-12563 41 30 return return NOUN cjfa-12563 41 31 distribution distribution NOUN cjfa-12563 41 32 , , PUNCT cjfa-12563 41 33 and and CCONJ cjfa-12563 41 34 ( ( PUNCT cjfa-12563 41 35 3 3 X cjfa-12563 41 36 ) ) PUNCT cjfa-12563 41 37 the the DET cjfa-12563 41 38 value value NOUN cjfa-12563 41 39 at at ADP cjfa-12563 41 40 risk risk NOUN cjfa-12563 41 41 based base VERB cjfa-12563 41 42 on on ADP cjfa-12563 41 43 copulas copula NOUN cjfa-12563 41 44 . . PUNCT cjfa-12563 42 1 we we PRON cjfa-12563 42 2 compare compare VERB cjfa-12563 42 3 the the DET cjfa-12563 42 4 estimation estimation NOUN cjfa-12563 42 5 results result NOUN cjfa-12563 42 6 of of ADP cjfa-12563 42 7 ( ( PUNCT cjfa-12563 42 8 2 2 NUM cjfa-12563 42 9 ) ) PUNCT cjfa-12563 42 10 and and CCONJ cjfa-12563 42 11 ( ( PUNCT cjfa-12563 42 12 3 3 X cjfa-12563 42 13 ) ) PUNCT cjfa-12563 42 14 to to ADP cjfa-12563 42 15 the the DET cjfa-12563 42 16 value value NOUN cjfa-12563 42 17 at at ADP cjfa-12563 42 18 risk risk NOUN cjfa-12563 42 19 based base VERB cjfa-12563 42 20 on on ADP cjfa-12563 42 21 the the DET cjfa-12563 42 22 assumption assumption NOUN cjfa-12563 42 23 that that SCONJ cjfa-12563 42 24 the the DET cjfa-12563 42 25 returns return NOUN cjfa-12563 42 26 follow follow VERB cjfa-12563 42 27 a a DET cjfa-12563 42 28 normal normal ADJ cjfa-12563 42 29 distribution distribution NOUN cjfa-12563 42 30 . . PUNCT cjfa-12563 43 1 furthermore furthermore ADV cjfa-12563 43 2 , , PUNCT cjfa-12563 43 3 we we PRON cjfa-12563 43 4 present present VERB cjfa-12563 43 5 a a DET cjfa-12563 43 6 simple simple ADJ cjfa-12563 43 7 step step NOUN cjfa-12563 43 8 - - PUNCT cjfa-12563 43 9 by by ADP cjfa-12563 43 10 - - PUNCT cjfa-12563 43 11 step step NOUN cjfa-12563 43 12 procedure procedure NOUN cjfa-12563 43 13 to to PART cjfa-12563 43 14 derive derive VERB cjfa-12563 43 15 an an DET cjfa-12563 43 16 accurate accurate ADJ cjfa-12563 43 17 risk risk NOUN cjfa-12563 43 18 measure measure NOUN cjfa-12563 43 19 with with ADP cjfa-12563 43 20 copulas copula NOUN cjfa-12563 43 21 . . PUNCT cjfa-12563 44 1 measuring measure VERB cjfa-12563 44 2 risk risk NOUN cjfa-12563 44 3 reliably reliably ADV cjfa-12563 44 4 is be AUX cjfa-12563 44 5 relevant relevant ADJ cjfa-12563 44 6 for for ADP cjfa-12563 44 7 practitioners practitioner NOUN cjfa-12563 44 8 in in ADP cjfa-12563 44 9 risk risk NOUN cjfa-12563 44 10 management management NOUN cjfa-12563 44 11 and and CCONJ cjfa-12563 44 12 for for ADP cjfa-12563 44 13 supervisors supervisor NOUN cjfa-12563 44 14 alike alike ADV cjfa-12563 44 15 . . PUNCT cjfa-12563 45 1 both both PRON cjfa-12563 45 2 banks bank NOUN cjfa-12563 45 3 and and CCONJ cjfa-12563 45 4 insurance insurance NOUN cjfa-12563 45 5 companies company NOUN cjfa-12563 45 6 have have VERB cjfa-12563 45 7 an an DET cjfa-12563 45 8 interest interest NOUN cjfa-12563 45 9 in in ADP cjfa-12563 45 10 not not PART cjfa-12563 45 11 overestimating overestimate VERB cjfa-12563 45 12 risks risk NOUN cjfa-12563 45 13 that that PRON cjfa-12563 45 14 could could AUX cjfa-12563 45 15 lead lead VERB cjfa-12563 45 16 to to ADP cjfa-12563 45 17 capital capital NOUN cjfa-12563 45 18 requirements requirement NOUN cjfa-12563 45 19 , , PUNCT cjfa-12563 45 20 and and CCONJ cjfa-12563 45 21 in in ADP cjfa-12563 45 22 not not PART cjfa-12563 45 23 underestimating underestimate VERB cjfa-12563 45 24 risks risk NOUN cjfa-12563 45 25 which which PRON cjfa-12563 45 26 might might AUX cjfa-12563 45 27 jeopardise jeopardise VERB cjfa-12563 45 28 the the DET cjfa-12563 45 29 existence existence NOUN cjfa-12563 45 30 of of ADP cjfa-12563 45 31 the the DET cjfa-12563 45 32 business business NOUN cjfa-12563 45 33 . . PUNCT cjfa-12563 46 1 likewise likewise ADV cjfa-12563 46 2 , , PUNCT cjfa-12563 46 3 investors investor NOUN cjfa-12563 46 4 and and CCONJ cjfa-12563 46 5 rating rating NOUN cjfa-12563 46 6 agencies agency NOUN cjfa-12563 46 7 are be AUX cjfa-12563 46 8 interested interested ADJ cjfa-12563 46 9 in in ADP cjfa-12563 46 10 risk risk NOUN cjfa-12563 46 11 assessments assessment NOUN cjfa-12563 46 12 . . PUNCT cjfa-12563 47 1 according accord VERB cjfa-12563 47 2 to to ADP cjfa-12563 47 3 portfolio portfolio NOUN cjfa-12563 47 4 selection selection NOUN cjfa-12563 47 5 theory theory NOUN cjfa-12563 47 6 established establish VERB cjfa-12563 47 7 by by ADP cjfa-12563 47 8 markowitz markowitz PROPN cjfa-12563 47 9 ( ( PUNCT cjfa-12563 47 10 1952 1952 NUM cjfa-12563 47 11 ) ) PUNCT cjfa-12563 47 12 , , PUNCT cjfa-12563 47 13 the the DET cjfa-12563 47 14 investor investor NOUN cjfa-12563 47 15 aims aim VERB cjfa-12563 47 16 for for ADP cjfa-12563 47 17 a a DET cjfa-12563 47 18 portfolio portfolio NOUN cjfa-12563 47 19 with with ADP cjfa-12563 47 20 maximum maximum ADJ cjfa-12563 47 21 expected expect VERB cjfa-12563 47 22 return return NOUN cjfa-12563 47 23 and and CCONJ cjfa-12563 47 24 minimum minimum NOUN cjfa-12563 47 25 risk risk NOUN cjfa-12563 47 26 , , PUNCT cjfa-12563 47 27 measured measure VERB cjfa-12563 47 28 by by ADP cjfa-12563 47 29 the the DET cjfa-12563 47 30 expected expect VERB cjfa-12563 47 31 portfolio portfolio NOUN cjfa-12563 47 32 variance variance NOUN cjfa-12563 47 33 . . PUNCT cjfa-12563 48 1 this this DET cjfa-12563 48 2 expected expect VERB cjfa-12563 48 3 variance variance NOUN cjfa-12563 48 4 is be AUX cjfa-12563 48 5 minimised minimise VERB cjfa-12563 48 6 primarily primarily ADV cjfa-12563 48 7 by by ADP cjfa-12563 48 8 combining combine VERB cjfa-12563 48 9 securities security NOUN cjfa-12563 48 10 with with ADP cjfa-12563 48 11 low low ADJ cjfa-12563 48 12 covariances covariance NOUN cjfa-12563 48 13 among among ADP cjfa-12563 48 14 themselves themselves PRON cjfa-12563 48 15 . . PUNCT cjfa-12563 49 1 this this PRON cjfa-12563 49 2 leads lead VERB cjfa-12563 49 3 to to ADP cjfa-12563 49 4 a a DET cjfa-12563 49 5 well well ADV cjfa-12563 49 6 - - PUNCT cjfa-12563 49 7 diversified diversify VERB cjfa-12563 49 8 portfolio portfolio NOUN cjfa-12563 49 9 , , PUNCT cjfa-12563 49 10 where where SCONJ cjfa-12563 49 11 diversification diversification NOUN cjfa-12563 49 12 refers refer VERB cjfa-12563 49 13 to to ADP cjfa-12563 49 14 choosing choose VERB cjfa-12563 49 15 securities security NOUN cjfa-12563 49 16 whose whose DET cjfa-12563 49 17 gains gain NOUN cjfa-12563 49 18 will will AUX cjfa-12563 49 19 offset offset VERB cjfa-12563 49 20 others other NOUN cjfa-12563 49 21 ' ' PART cjfa-12563 49 22 losses loss NOUN cjfa-12563 49 23 . . PUNCT cjfa-12563 50 1 specifically specifically ADV cjfa-12563 50 2 , , PUNCT cjfa-12563 50 3 a a DET cjfa-12563 50 4 well well ADV cjfa-12563 50 5 - - PUNCT cjfa-12563 50 6 diversified diversify VERB cjfa-12563 50 7 portfolio portfolio NOUN cjfa-12563 50 8 contains contain VERB cjfa-12563 50 9 securities security NOUN cjfa-12563 50 10 from from ADP cjfa-12563 50 11 companies company NOUN cjfa-12563 50 12 of of ADP cjfa-12563 50 13 different different ADJ cjfa-12563 50 14 , , PUNCT cjfa-12563 50 15 and and CCONJ cjfa-12563 50 16 dissimilar dissimilar ADJ cjfa-12563 50 17 , , PUNCT cjfa-12563 50 18 industries industry NOUN cjfa-12563 50 19 , , PUNCT cjfa-12563 50 20 and and CCONJ cjfa-12563 50 21 investment investment NOUN cjfa-12563 50 22 decisions decision NOUN cjfa-12563 50 23 are be AUX cjfa-12563 50 24 not not PART cjfa-12563 50 25 made make VERB cjfa-12563 50 26 by by ADP cjfa-12563 50 27 looking look VERB cjfa-12563 50 28 at at ADP cjfa-12563 50 29 a a DET cjfa-12563 50 30 particular particular ADJ cjfa-12563 50 31 security security NOUN cjfa-12563 50 32 in in ADP cjfa-12563 50 33 isolation isolation NOUN cjfa-12563 50 34 , , PUNCT cjfa-12563 50 35 but but CCONJ cjfa-12563 50 36 rather rather ADV cjfa-12563 50 37 by by ADP cjfa-12563 50 38 evaluating evaluate VERB cjfa-12563 50 39 expected expect VERB cjfa-12563 50 40 return return NOUN cjfa-12563 50 41 and and CCONJ cjfa-12563 50 42 variance variance NOUN cjfa-12563 50 43 of of ADP cjfa-12563 50 44 the the DET cjfa-12563 50 45 overall overall ADJ cjfa-12563 50 46 portfolio portfolio NOUN cjfa-12563 50 47 when when SCONJ cjfa-12563 50 48 this this DET cjfa-12563 50 49 particular particular ADJ cjfa-12563 50 50 security security NOUN cjfa-12563 50 51 is be AUX cjfa-12563 50 52 added add VERB cjfa-12563 50 53 to to ADP cjfa-12563 50 54 it it PRON cjfa-12563 50 55 . . PUNCT cjfa-12563 51 1 the the DET cjfa-12563 51 2 investor investor NOUN cjfa-12563 51 3 seeks seek VERB cjfa-12563 51 4 to to PART cjfa-12563 51 5 minimise minimise VERB cjfa-12563 51 6 the the DET cjfa-12563 51 7 expected expect VERB cjfa-12563 51 8 portfolio portfolio NOUN cjfa-12563 51 9 variance variance PROPN cjfa-12563 51 10 � � PROPN cjfa-12563 51 11 � � PROPN cjfa-12563 51 12 . . PUNCT cjfa-12563 52 1 she she PRON cjfa-12563 52 2 can can AUX cjfa-12563 52 3 achieve achieve VERB cjfa-12563 52 4 this this PRON cjfa-12563 52 5 by by ADP cjfa-12563 52 6 choosing choose VERB cjfa-12563 52 7 securities security NOUN cjfa-12563 52 8 with with ADP cjfa-12563 52 9 low low ADJ cjfa-12563 52 10 variances variance NOUN cjfa-12563 52 11 � � PROPN cjfa-12563 52 12 � � NOUN cjfa-12563 52 13 2 2 NUM cjfa-12563 52 14 , , PUNCT cjfa-12563 52 15 usually usually ADV cjfa-12563 52 16 resulting result VERB cjfa-12563 52 17 in in ADP cjfa-12563 52 18 a a DET cjfa-12563 52 19 low low ADJ cjfa-12563 52 20 portfolio portfolio NOUN cjfa-12563 52 21 return return NOUN cjfa-12563 52 22 which which PRON cjfa-12563 52 23 she she PRON cjfa-12563 52 24 is be AUX cjfa-12563 52 25 trying try VERB cjfa-12563 52 26 to to PART cjfa-12563 52 27 maximise maximise VERB cjfa-12563 52 28 at at ADP cjfa-12563 52 29 the the DET cjfa-12563 52 30 same same ADJ cjfa-12563 52 31 time time NOUN cjfa-12563 52 32 , , PUNCT cjfa-12563 52 33 and/or and/or CCONJ cjfa-12563 52 34 she she PRON cjfa-12563 52 35 can can AUX cjfa-12563 52 36 combine combine VERB cjfa-12563 52 37 securities security NOUN cjfa-12563 52 38 such such ADJ cjfa-12563 52 39 that that SCONJ cjfa-12563 52 40 � � PROPN cjfa-12563 52 41 � � PROPN cjfa-12563 52 42 � � PROPN cjfa-12563 52 43 becomes become VERB cjfa-12563 52 44 minimal minimal ADJ cjfa-12563 52 45 , , PUNCT cjfa-12563 52 46 which which PRON cjfa-12563 52 47 , , PUNCT cjfa-12563 52 48 by by ADP cjfa-12563 52 49 definition definition NOUN cjfa-12563 52 50 , , PUNCT cjfa-12563 52 51 is be AUX cjfa-12563 52 52 -1 -1 PUNCT cjfa-12563 52 53 . . PUNCT cjfa-12563 53 1 the the DET cjfa-12563 53 2 securities security NOUN cjfa-12563 53 3 are be AUX cjfa-12563 53 4 then then ADV cjfa-12563 53 5 perfectly perfectly ADV cjfa-12563 53 6 neg neg VERB cjfa-12563 53 7 usually usually ADV cjfa-12563 53 8 resulting result VERB cjfa-12563 53 9 in in ADP cjfa-12563 53 10 a a DET cjfa-12563 53 11     SPACE cjfa-12563 53 12 low low ADJ cjfa-12563 53 13     SPACE cjfa-12563 53 14 portfolio portfolio NOUN cjfa-12563 53 15     SPACE cjfa-12563 53 16 return return NOUN cjfa-12563 53 17     SPACE cjfa-12563 53 18 which which PRON cjfa-12563 53 19     SPACE cjfa-12563 53 20 she she PRON cjfa-12563 53 21     SPACE cjfa-12563 53 22 is be AUX cjfa-12563 53 23     SPACE cjfa-12563 53 24 trying try VERB cjfa-12563 53 25     SPACE cjfa-12563 53 26 to to PART cjfa-12563 53 27     SPACE cjfa-12563 53 28 maximise maximise VERB cjfa-12563 53 29     SPACE cjfa-12563 53 30 at at ADP cjfa-12563 53 31     SPACE cjfa-12563 53 32 the the DET cjfa-12563 53 33     SPACE cjfa-12563 53 34 same same ADJ cjfa-12563 53 35     SPACE cjfa-12563 53 36 time time NOUN cjfa-12563 53 37 , , PUNCT cjfa-12563 53 38     SPACE cjfa-12563 53 39 and/ and/ NOUN cjfa-12563 53 40     SPACE cjfa-12563 53 41 or or CCONJ cjfa-12563 53 42     SPACE cjfa-12563 53 43 she she PRON cjfa-12563 53 44 can can AUX cjfa-12563 53 45 combine combine VERB cjfa-12563 53 46 securities security NOUN cjfa-12563 53 47 such such ADJ cjfa-12563 53 48 that that SCONJ cjfa-12563 53 49 ρi ρi PROPN cjfa-12563 53 50     SPACE cjfa-12563 53 51 j j PROPN cjfa-12563 53 52 becomes become VERB cjfa-12563 53 53 minimal minimal ADJ cjfa-12563 53 54 , , PUNCT cjfa-12563 53 55 which which PRON cjfa-12563 53 56 , , PUNCT cjfa-12563 53 57 by by ADP cjfa-12563 53 58 definition definition NOUN cjfa-12563 53 59 , , PUNCT cjfa-12563 53 60 is be AUX cjfa-12563 53 61 -1 -1 PUNCT cjfa-12563 53 62 . . PUNCT cjfa-12563 54 1 the the DET cjfa-12563 54 2 securities security NOUN cjfa-12563 54 3 are be AUX cjfa-12563 54 4 then then ADV cjfa-12563 54 5 perfectly perfectly ADV cjfa-12563 54 6 negatively negatively ADV cjfa-12563 54 7 correlated correlate VERB cjfa-12563 54 8 , , PUNCT cjfa-12563 54 9 i.e. i.e. X cjfa-12563 54 10 when when SCONJ cjfa-12563 54 11 the the DET cjfa-12563 54 12 return return NOUN cjfa-12563 54 13 of of ADP cjfa-12563 54 14 security security NOUN cjfa-12563 54 15 i i PRON cjfa-12563 54 16 increases increase VERB cjfa-12563 54 17 , , PUNCT cjfa-12563 54 18 the the DET cjfa-12563 54 19 return return NOUN cjfa-12563 54 20 of of ADP cjfa-12563 54 21 security security NOUN cjfa-12563 54 22 j j PROPN cjfa-12563 54 23 decreases decrease VERB cjfa-12563 54 24 by by ADP cjfa-12563 54 25 the the DET cjfa-12563 54 26 same same ADJ cjfa-12563 54 27 amount amount NOUN cjfa-12563 54 28 . . PUNCT cjfa-12563 55 1 in in ADP cjfa-12563 55 2 such such DET cjfa-12563 55 3 an an DET cjfa-12563 55 4 extreme extreme ADJ cjfa-12563 55 5 scenario scenario NOUN cjfa-12563 55 6 , , PUNCT cjfa-12563 55 7 there there PRON cjfa-12563 55 8 is be VERB cjfa-12563 55 9 a a DET cjfa-12563 55 10 set set NOUN cjfa-12563 55 11 of of ADP cjfa-12563 55 12 weights weight NOUN cjfa-12563 55 13 ( ( PUNCT cjfa-12563 55 14 i.e. i.e. X cjfa-12563 55 15 percentages percentage NOUN cjfa-12563 55 16 of of ADP cjfa-12563 55 17 assets asset NOUN cjfa-12563 55 18 ) ) PUNCT cjfa-12563 55 19 that that PRON cjfa-12563 55 20 will will AUX cjfa-12563 55 21 completely completely ADV cjfa-12563 55 22 eliminate eliminate VERB cjfa-12563 55 23 expected expect VERB cjfa-12563 55 24 portfolio portfolio NOUN cjfa-12563 55 25 risk risk NOUN cjfa-12563 55 26 , , PUNCT cjfa-12563 55 27 i.e. i.e. X cjfa-12563 55 28 atively atively ADV cjfa-12563 55 29 correlated correlate VERB cjfa-12563 55 30 , , PUNCT cjfa-12563 55 31 i.e. i.e. X cjfa-12563 55 32 when when SCONJ cjfa-12563 55 33 the the DET cjfa-12563 55 34 return return NOUN cjfa-12563 55 35 of of ADP cjfa-12563 55 36 security security NOUN cjfa-12563 55 37 i i PRON cjfa-12563 55 38 increases increase VERB cjfa-12563 55 39 , , PUNCT cjfa-12563 55 40 the the DET cjfa-12563 55 41 return return NOUN cjfa-12563 55 42 of of ADP cjfa-12563 55 43 security security NOUN cjfa-12563 55 44 j j PROPN cjfa-12563 55 45 decreases decrease VERB cjfa-12563 55 46 by by ADP cjfa-12563 55 47 the the DET cjfa-12563 55 48 same same ADJ cjfa-12563 55 49 amount amount NOUN cjfa-12563 55 50 . . PUNCT cjfa-12563 56 1 in in ADP cjfa-12563 56 2 such such DET cjfa-12563 56 3 an an DET cjfa-12563 56 4 extreme extreme ADJ cjfa-12563 56 5 scenario scenario NOUN cjfa-12563 56 6 , , PUNCT cjfa-12563 56 7 there there PRON cjfa-12563 56 8 is be VERB cjfa-12563 56 9 a a DET cjfa-12563 56 10 set set NOUN cjfa-12563 56 11 of of ADP cjfa-12563 56 12 weights weight NOUN cjfa-12563 56 13 ( ( PUNCT cjfa-12563 56 14 i.e. i.e. X cjfa-12563 56 15 percentages percentage NOUN cjfa-12563 56 16 of of ADP cjfa-12563 56 17 assets asset NOUN cjfa-12563 56 18 ) ) PUNCT cjfa-12563 56 19 that that PRON cjfa-12563 56 20 will will AUX cjfa-12563 56 21 completely completely ADV cjfa-12563 56 22 eliminate eliminate VERB cjfa-12563 56 23 expected expect VERB cjfa-12563 56 24 portfolio portfolio NOUN cjfa-12563 56 25 risk risk NOUN cjfa-12563 56 26 , , PUNCT cjfa-12563 56 27 i.e. i.e. X cjfa-12563 56 28 � � NOUN cjfa-12563 56 29 � � PROPN cjfa-12563 56 30 2 2 NUM cjfa-12563 56 31 , , PUNCT cjfa-12563 56 32 . . PUNCT cjfa-12563 57 1 sadly sadly ADV cjfa-12563 57 2 , , PUNCT cjfa-12563 57 3 in in ADP cjfa-12563 57 4 the the DET cjfa-12563 57 5 real real ADJ cjfa-12563 57 6 world world NOUN cjfa-12563 57 7 , , PUNCT cjfa-12563 57 8 securities security NOUN cjfa-12563 57 9 do do AUX cjfa-12563 57 10 not not PART cjfa-12563 57 11 move move VERB cjfa-12563 57 12 in in ADP cjfa-12563 57 13 perfect perfect ADJ cjfa-12563 57 14 lockstep lockstep NOUN cjfa-12563 57 15 , , PUNCT cjfa-12563 57 16 so so SCONJ cjfa-12563 57 17 that that SCONJ cjfa-12563 57 18 we we PRON cjfa-12563 57 19 do do AUX cjfa-12563 57 20 not not PART cjfa-12563 57 21 actually actually ADV cjfa-12563 57 22 observe observe VERB cjfa-12563 57 23 perfectly perfectly ADV cjfa-12563 57 24 negatively negatively ADV cjfa-12563 57 25 correlated correlate VERB cjfa-12563 57 26 return return NOUN cjfa-12563 57 27 series series NOUN cjfa-12563 57 28 . . PUNCT cjfa-12563 58 1 still still ADV cjfa-12563 58 2 , , PUNCT cjfa-12563 58 3 a a DET cjfa-12563 58 4 portfolio portfolio NOUN cjfa-12563 58 5 should should AUX cjfa-12563 58 6 be be AUX cjfa-12563 58 7 constructed construct VERB cjfa-12563 58 8 from from ADP cjfa-12563 58 9 securities security NOUN cjfa-12563 58 10 with with ADP cjfa-12563 58 11 dissimilar dissimilar ADJ cjfa-12563 58 12 characteristics characteristic NOUN cjfa-12563 58 13 . . PUNCT cjfa-12563 59 1 the the DET cjfa-12563 59 2 returns return NOUN cjfa-12563 59 3 of of ADP cjfa-12563 59 4 these these DET cjfa-12563 59 5 different different ADJ cjfa-12563 59 6 securities security NOUN cjfa-12563 59 7 will will AUX cjfa-12563 59 8 react react VERB cjfa-12563 59 9 differently differently ADV cjfa-12563 59 10 to to ADP cjfa-12563 59 11 market market NOUN cjfa-12563 59 12 movements movement NOUN cjfa-12563 59 13 , , PUNCT cjfa-12563 59 14 so so SCONJ cjfa-12563 59 15 that that SCONJ cjfa-12563 59 16 the the DET cjfa-12563 59 17 gain gain NOUN cjfa-12563 59 18 in in ADP cjfa-12563 59 19 one one NUM cjfa-12563 59 20 security security NOUN cjfa-12563 59 21 can can AUX cjfa-12563 59 22 ( ( PUNCT cjfa-12563 59 23 partially partially ADV cjfa-12563 59 24 ) ) PUNCT cjfa-12563 59 25 compensate compensate VERB cjfa-12563 59 26 the the DET cjfa-12563 59 27 loss loss NOUN cjfa-12563 59 28 in in ADP cjfa-12563 59 29 another another PRON cjfa-12563 59 30 , , PUNCT cjfa-12563 59 31 and and CCONJ cjfa-12563 59 32 thus thus ADV cjfa-12563 59 33 the the DET cjfa-12563 59 34 risk risk NOUN cjfa-12563 59 35 to to ADP cjfa-12563 59 36 the the DET cjfa-12563 59 37 investor investor NOUN cjfa-12563 59 38 is be AUX cjfa-12563 59 39 substantially substantially ADV cjfa-12563 59 40 smaller small ADJ cjfa-12563 59 41 than than SCONJ cjfa-12563 59 42 if if SCONJ cjfa-12563 59 43 she she PRON cjfa-12563 59 44 was be AUX cjfa-12563 59 45 holding hold VERB cjfa-12563 59 46 just just ADV cjfa-12563 59 47 one one NUM cjfa-12563 59 48 security security NOUN cjfa-12563 59 49 and and CCONJ cjfa-12563 59 50 be be AUX cjfa-12563 59 51 fully fully ADV cjfa-12563 59 52 exposed expose VERB cjfa-12563 59 53 to to ADP cjfa-12563 59 54 its its PRON cjfa-12563 59 55 fluctuations fluctuation NOUN cjfa-12563 59 56 . . PUNCT cjfa-12563 60 1 portfolio portfolio NOUN cjfa-12563 60 2 selection selection NOUN cjfa-12563 60 3 is be AUX cjfa-12563 60 4 particularly particularly ADV cjfa-12563 60 5 relevant relevant ADJ cjfa-12563 60 6 if if SCONJ cjfa-12563 60 7 you you PRON cjfa-12563 60 8 believe believe VERB cjfa-12563 60 9 in in ADP cjfa-12563 60 10 actively actively ADV cjfa-12563 60 11 managed manage VERB cjfa-12563 60 12 funds fund NOUN cjfa-12563 60 13 . . PUNCT cjfa-12563 61 1 there there PRON cjfa-12563 61 2 is be VERB cjfa-12563 61 3 , , PUNCT cjfa-12563 61 4 however however ADV cjfa-12563 61 5 , , PUNCT cjfa-12563 61 6 empirical empirical ADJ cjfa-12563 61 7 evidence evidence NOUN cjfa-12563 61 8 suggesting suggest VERB cjfa-12563 61 9 that that SCONJ cjfa-12563 61 10 passive passive ADJ cjfa-12563 61 11 investment investment NOUN cjfa-12563 61 12 strategies strategy NOUN cjfa-12563 61 13 outperform outperform VERB cjfa-12563 61 14 actively actively ADV cjfa-12563 61 15 managed manage VERB cjfa-12563 61 16 investments investment NOUN cjfa-12563 61 17 net net ADJ cjfa-12563 61 18 of of ADP cjfa-12563 61 19 costs cost NOUN cjfa-12563 61 20 and and CCONJ cjfa-12563 61 21 fees fee NOUN cjfa-12563 61 22 and and CCONJ cjfa-12563 61 23 after after ADP cjfa-12563 61 24 controlling control VERB cjfa-12563 61 25 for for ADP cjfa-12563 61 26 risk risk NOUN cjfa-12563 61 27 ( ( PUNCT cjfa-12563 61 28 e.g. e.g. ADV cjfa-12563 61 29 malkiel malkiel ADJ cjfa-12563 61 30 , , PUNCT cjfa-12563 61 31 2003 2003 NUM cjfa-12563 61 32 ) ) PUNCT cjfa-12563 61 33 . . PUNCT cjfa-12563 62 1 the the DET cjfa-12563 62 2 investment investment NOUN cjfa-12563 62 3 advice advice NOUN cjfa-12563 62 4 would would AUX cjfa-12563 62 5 then then ADV cjfa-12563 62 6 be be AUX cjfa-12563 62 7 to to PART cjfa-12563 62 8 buy buy VERB cjfa-12563 62 9 an an DET cjfa-12563 62 10 index index NOUN cjfa-12563 62 11 and and CCONJ cjfa-12563 62 12 hold hold VERB cjfa-12563 62 13 it it PRON cjfa-12563 62 14 . . PUNCT cjfa-12563 63 1 still still ADV cjfa-12563 63 2 , , PUNCT cjfa-12563 63 3 institutional institutional ADJ cjfa-12563 63 4 investors investor NOUN cjfa-12563 63 5 are be AUX cjfa-12563 63 6 widely widely ADV cjfa-12563 63 7 trusted trust VERB cjfa-12563 63 8 with with ADP cjfa-12563 63 9 active active ADJ cjfa-12563 63 10 fund fund NOUN cjfa-12563 63 11 management management NOUN cjfa-12563 63 12 , , PUNCT cjfa-12563 63 13 turning turn VERB cjfa-12563 63 14 portfolio portfolio NOUN cjfa-12563 63 15 selection selection NOUN cjfa-12563 63 16 into into ADP cjfa-12563 63 17 a a DET cjfa-12563 63 18 topic topic NOUN cjfa-12563 63 19 that that PRON cjfa-12563 63 20 is be AUX cjfa-12563 63 21 not not PART cjfa-12563 63 22 just just ADV cjfa-12563 63 23 of of ADP cjfa-12563 63 24 academic academic ADJ cjfa-12563 63 25 interest interest NOUN cjfa-12563 63 26 , , PUNCT cjfa-12563 63 27 but but CCONJ cjfa-12563 63 28 also also ADV cjfa-12563 63 29 highly highly ADV cjfa-12563 63 30 relevant relevant ADJ cjfa-12563 63 31 to to ADP cjfa-12563 63 32 practitioners practitioner NOUN cjfa-12563 63 33 . . PUNCT cjfa-12563 64 1 more more ADV cjfa-12563 64 2 recently recently ADV cjfa-12563 64 3 , , PUNCT cjfa-12563 64 4 a a DET cjfa-12563 64 5 number number NOUN cjfa-12563 64 6 of of ADP cjfa-12563 64 7 deficiencies deficiency NOUN cjfa-12563 64 8 in in ADP cjfa-12563 64 9 traditional traditional ADJ cjfa-12563 64 10 risk risk NOUN cjfa-12563 64 11 measures measure NOUN cjfa-12563 64 12 have have AUX cjfa-12563 64 13 been be AUX cjfa-12563 64 14 addressed address VERB cjfa-12563 64 15 : : PUNCT cjfa-12563 64 16   VERB cjfa-12563 64 17 the the DET cjfa-12563 64 18 portfolio portfolio NOUN cjfa-12563 64 19 value value NOUN cjfa-12563 64 20 or or CCONJ cjfa-12563 64 21 the the DET cjfa-12563 64 22 portfolio portfolio NOUN cjfa-12563 64 23 return return NOUN cjfa-12563 64 24 are be AUX cjfa-12563 64 25 no no ADV cjfa-12563 64 26 longer long ADV cjfa-12563 64 27 assumed assume VERB cjfa-12563 64 28 to to PART cjfa-12563 64 29 follow follow VERB cjfa-12563 64 30 a a DET cjfa-12563 64 31 normal normal ADJ cjfa-12563 64 32 distribution distribution NOUN cjfa-12563 64 33 . . PUNCT cjfa-12563 65 1   NOUN cjfa-12563 65 2 risk risk NOUN cjfa-12563 65 3 measures measure NOUN cjfa-12563 65 4 have have AUX cjfa-12563 65 5 been be AUX cjfa-12563 65 6 extended extend VERB cjfa-12563 65 7 to to PART cjfa-12563 65 8 also also ADV cjfa-12563 65 9 include include VERB cjfa-12563 65 10 non non ADJ cjfa-12563 65 11 - - ADJ cjfa-12563 65 12 linear linear ADJ cjfa-12563 65 13 dependencies dependency NOUN cjfa-12563 65 14 . . PUNCT cjfa-12563 66 1   NOUN cjfa-12563 66 2 it it PRON cjfa-12563 66 3 has have AUX cjfa-12563 66 4 been be AUX cjfa-12563 66 5 recognised recognise VERB cjfa-12563 66 6 that that SCONJ cjfa-12563 66 7 return return NOUN cjfa-12563 66 8 series series NOUN cjfa-12563 66 9 exhibit exhibit VERB cjfa-12563 66 10 different different ADJ cjfa-12563 66 11 covariation covariation NOUN cjfa-12563 66 12 patterns pattern NOUN cjfa-12563 66 13 across across ADP cjfa-12563 66 14 the the DET cjfa-12563 66 15 observations observation NOUN cjfa-12563 66 16 , , PUNCT cjfa-12563 66 17 e.g. e.g. ADV cjfa-12563 66 18 extreme extreme ADJ cjfa-12563 66 19 observations observation NOUN cjfa-12563 66 20 are be AUX cjfa-12563 66 21 more more ADV cjfa-12563 66 22 strongly strongly ADV cjfa-12563 66 23 dependent dependent ADJ cjfa-12563 66 24 than than ADP cjfa-12563 66 25 less less ADJ cjfa-12563 66 26 extreme extreme ADJ cjfa-12563 66 27 observations observation NOUN cjfa-12563 66 28 . . PUNCT cjfa-12563 67 1 this this DET cjfa-12563 67 2 risk risk NOUN cjfa-12563 67 3 of of ADP cjfa-12563 67 4 joint joint ADJ cjfa-12563 67 5 extreme extreme ADJ cjfa-12563 67 6 values value NOUN cjfa-12563 67 7 is be AUX cjfa-12563 67 8 called call VERB cjfa-12563 67 9 ' ' PUNCT cjfa-12563 67 10 tail tail NOUN cjfa-12563 67 11 dependence dependence NOUN cjfa-12563 67 12 ' ' PUNCT cjfa-12563 67 13 . . PUNCT cjfa-12563 68 1   NOUN cjfa-12563 68 2 tail tail NOUN cjfa-12563 68 3 dependence dependence NOUN cjfa-12563 68 4 can can AUX cjfa-12563 68 5 be be AUX cjfa-12563 68 6 symmetric symmetric ADJ cjfa-12563 68 7 ( ( PUNCT cjfa-12563 68 8 i.e. i.e. X cjfa-12563 68 9 similar similar ADJ cjfa-12563 68 10 in in ADP cjfa-12563 68 11 both both DET cjfa-12563 68 12 tails tail NOUN cjfa-12563 68 13 of of ADP cjfa-12563 68 14 the the DET cjfa-12563 68 15 distribution distribution NOUN cjfa-12563 68 16 ) ) PUNCT cjfa-12563 68 17 or or CCONJ cjfa-12563 68 18 asymmetric asymmetric ADJ cjfa-12563 68 19 ( ( PUNCT cjfa-12563 68 20 e.g. e.g. ADV cjfa-12563 68 21 far far ADV cjfa-12563 68 22 stronger strong ADJ cjfa-12563 68 23 in in ADP cjfa-12563 68 24 the the DET cjfa-12563 68 25 lower low ADJ cjfa-12563 68 26 tail tail NOUN cjfa-12563 68 27 of of ADP cjfa-12563 68 28 the the DET cjfa-12563 68 29 distribution distribution NOUN cjfa-12563 68 30 than than ADP cjfa-12563 68 31 in in ADP cjfa-12563 68 32 the the DET cjfa-12563 68 33 upper upper NOUN cjfa-12563 68 34 ) ) PUNCT cjfa-12563 68 35 . . PUNCT cjfa-12563 69 1   NOUN cjfa-12563 69 2 downside downside ADJ cjfa-12563 69 3 risk risk NOUN cjfa-12563 69 4 has have AUX cjfa-12563 69 5 been be AUX cjfa-12563 69 6 separated separate VERB cjfa-12563 69 7 from from ADP cjfa-12563 69 8 upside upside ADJ cjfa-12563 69 9 risk risk NOUN cjfa-12563 69 10 ( ( PUNCT cjfa-12563 69 11 campbell campbell PROPN cjfa-12563 69 12 et et PROPN cjfa-12563 69 13 al al PROPN cjfa-12563 69 14 . . PROPN cjfa-12563 69 15 , , PUNCT cjfa-12563 69 16 2001 2001 NUM cjfa-12563 69 17 ; ; PUNCT cjfa-12563 69 18 benson benson PROPN cjfa-12563 69 19 et et PROPN cjfa-12563 69 20 al al PROPN cjfa-12563 69 21 . . PROPN cjfa-12563 69 22 , , PUNCT cjfa-12563 69 23 2008 2008 NUM cjfa-12563 69 24 ) ) PUNCT cjfa-12563 69 25 . . PUNCT cjfa-12563 70 1 these these DET cjfa-12563 70 2 weaknesses weakness NOUN cjfa-12563 70 3 in in ADP cjfa-12563 70 4 traditional traditional ADJ cjfa-12563 70 5 risk risk NOUN cjfa-12563 70 6 measures measure NOUN cjfa-12563 70 7 will will AUX cjfa-12563 70 8 systematically systematically ADV cjfa-12563 70 9 bias bias VERB cjfa-12563 70 10 the the DET cjfa-12563 70 11 risk risk NOUN cjfa-12563 70 12 estimates estimate NOUN cjfa-12563 70 13 and and CCONJ cjfa-12563 70 14 can can AUX cjfa-12563 70 15 lead lead VERB cjfa-12563 70 16 to to ADP cjfa-12563 70 17 wrong wrong ADJ cjfa-12563 70 18 decisions decision NOUN cjfa-12563 70 19 in in ADP cjfa-12563 70 20 risk risk NOUN cjfa-12563 70 21 management management NOUN cjfa-12563 70 22 , , PUNCT cjfa-12563 70 23 in in ADP cjfa-12563 70 24 wrongly wrongly ADV cjfa-12563 70 25 calculating calculate VERB cjfa-12563 70 26 supervisory supervisory ADJ cjfa-12563 70 27 capital capital NOUN cjfa-12563 70 28 requirements requirement NOUN cjfa-12563 70 29 , , PUNCT cjfa-12563 70 30 in in ADP cjfa-12563 70 31 inaccurate inaccurate ADJ cjfa-12563 70 32 risk risk NOUN cjfa-12563 70 33 assessments assessment NOUN cjfa-12563 70 34 by by ADP cjfa-12563 70 35 rating rating NOUN cjfa-12563 70 36 agencies agency NOUN cjfa-12563 70 37 , , PUNCT cjfa-12563 70 38 etc etc X cjfa-12563 70 39 . . X cjfa-12563 71 1 we we PRON cjfa-12563 71 2 present present VERB cjfa-12563 71 3 a a DET cjfa-12563 71 4 simple simple ADJ cjfa-12563 71 5 and and CCONJ cjfa-12563 71 6 statistically statistically ADV cjfa-12563 71 7 correct correct ADJ cjfa-12563 71 8 methodology methodology NOUN cjfa-12563 71 9 to to PART cjfa-12563 71 10 derive derive VERB cjfa-12563 71 11 comprehensive comprehensive ADJ cjfa-12563 71 12 and and CCONJ cjfa-12563 71 13 accurate accurate ADJ cjfa-12563 71 14 risk risk NOUN cjfa-12563 71 15 measures measure NOUN cjfa-12563 71 16 . . PUNCT cjfa-12563 72 1 section section NOUN cjfa-12563 72 2 2 2 NUM cjfa-12563 72 3 introduces introduce VERB cjfa-12563 72 4 the the DET cjfa-12563 72 5 three three NUM cjfa-12563 72 6 risk risk NOUN cjfa-12563 72 7 measures measure NOUN cjfa-12563 72 8 we we PRON cjfa-12563 72 9 apply apply VERB cjfa-12563 72 10 in in ADP cjfa-12563 72 11 this this DET cjfa-12563 72 12 note note NOUN cjfa-12563 72 13 , , PUNCT cjfa-12563 72 14 before before ADV cjfa-12563 72 15 . . PUNCT cjfa-12563 73 1 sadly sadly ADV cjfa-12563 73 2 , , PUNCT cjfa-12563 73 3 in in ADP cjfa-12563 73 4 the the DET cjfa-12563 73 5 real real ADJ cjfa-12563 73 6 world world NOUN cjfa-12563 73 7 , , PUNCT cjfa-12563 73 8 securities security NOUN cjfa-12563 73 9 do do AUX cjfa-12563 73 10 not not PART cjfa-12563 73 11 move move VERB cjfa-12563 73 12 in in ADP cjfa-12563 73 13 perfect perfect ADJ cjfa-12563 73 14 lockstep lockstep NOUN cjfa-12563 73 15 , , PUNCT cjfa-12563 73 16 so so SCONJ cjfa-12563 73 17 that that SCONJ cjfa-12563 73 18 we we PRON cjfa-12563 73 19 do do AUX cjfa-12563 73 20 not not PART cjfa-12563 73 21 actually actually ADV cjfa-12563 73 22 observe observe VERB cjfa-12563 73 23 perfectly perfectly ADV cjfa-12563 73 24 negatively negatively ADV cjfa-12563 73 25 correlated correlate VERB cjfa-12563 73 26 return return NOUN cjfa-12563 73 27 series series NOUN cjfa-12563 73 28 . . PUNCT cjfa-12563 74 1 still still ADV cjfa-12563 74 2 , , PUNCT cjfa-12563 74 3 a a DET cjfa-12563 74 4 portfolio portfolio NOUN cjfa-12563 74 5 should should AUX cjfa-12563 74 6 be be AUX cjfa-12563 74 7 constructed construct VERB cjfa-12563 74 8 from from ADP cjfa-12563 74 9 securities security NOUN cjfa-12563 74 10 with with ADP cjfa-12563 74 11 dissimilar dissimilar ADJ cjfa-12563 74 12 characteristics characteristic NOUN cjfa-12563 74 13 . . PUNCT cjfa-12563 75 1 the the DET cjfa-12563 75 2 returns return NOUN cjfa-12563 75 3 of of ADP cjfa-12563 75 4 these these DET cjfa-12563 75 5 different different ADJ cjfa-12563 75 6 securities security NOUN cjfa-12563 75 7 will will AUX cjfa-12563 75 8 react react VERB cjfa-12563 75 9 differently differently ADV cjfa-12563 75 10 to to ADP cjfa-12563 75 11 market market NOUN cjfa-12563 75 12 movements movement NOUN cjfa-12563 75 13 , , PUNCT cjfa-12563 75 14 so so SCONJ cjfa-12563 75 15 that that SCONJ cjfa-12563 75 16 the the DET cjfa-12563 75 17 gain gain NOUN cjfa-12563 75 18 in in ADP cjfa-12563 75 19 one one NUM cjfa-12563 75 20 security security NOUN cjfa-12563 75 21 can can AUX cjfa-12563 75 22 ( ( PUNCT cjfa-12563 75 23 partially partially ADV cjfa-12563 75 24 ) ) PUNCT cjfa-12563 75 25 compensate compensate VERB cjfa-12563 75 26 the the DET cjfa-12563 75 27 loss loss NOUN cjfa-12563 75 28 in in ADP cjfa-12563 75 29 another another PRON cjfa-12563 75 30 , , PUNCT cjfa-12563 75 31 and and CCONJ cjfa-12563 75 32 thus thus ADV cjfa-12563 75 33 the the DET cjfa-12563 75 34 risk risk NOUN cjfa-12563 75 35 to to ADP cjfa-12563 75 36 the the DET cjfa-12563 75 37 investor investor NOUN cjfa-12563 75 38 is be AUX cjfa-12563 75 39 substantially substantially ADV cjfa-12563 75 40 smaller small ADJ cjfa-12563 75 41 than than SCONJ cjfa-12563 75 42 if if SCONJ cjfa-12563 75 43 she she PRON cjfa-12563 75 44 was be AUX cjfa-12563 75 45 holding hold VERB cjfa-12563 75 46 just just ADV cjfa-12563 75 47 one one NUM cjfa-12563 75 48 security security NOUN cjfa-12563 75 49 and and CCONJ cjfa-12563 75 50 be be AUX cjfa-12563 75 51 fully fully ADV cjfa-12563 75 52 exposed expose VERB cjfa-12563 75 53 to to ADP cjfa-12563 75 54 its its PRON cjfa-12563 75 55 fluctuations fluctuation NOUN cjfa-12563 75 56 . . PUNCT cjfa-12563 76 1 portfolio portfolio NOUN cjfa-12563 76 2 selection selection NOUN cjfa-12563 76 3 is be AUX cjfa-12563 76 4 particularly particularly ADV cjfa-12563 76 5 relevant relevant ADJ cjfa-12563 76 6 if if SCONJ cjfa-12563 76 7 you you PRON cjfa-12563 76 8 believe believe VERB cjfa-12563 76 9 in in ADP cjfa-12563 76 10 actively actively ADV cjfa-12563 76 11 managed manage VERB cjfa-12563 76 12 funds fund NOUN cjfa-12563 76 13 . . PUNCT cjfa-12563 77 1 there there PRON cjfa-12563 77 2 is be VERB cjfa-12563 77 3 , , PUNCT cjfa-12563 77 4 however however ADV cjfa-12563 77 5 , , PUNCT cjfa-12563 77 6 empirical empirical ADJ cjfa-12563 77 7 evidence evidence NOUN cjfa-12563 77 8 suggesting suggest VERB cjfa-12563 77 9 that that SCONJ cjfa-12563 77 10 passive passive ADJ cjfa-12563 77 11 investment investment NOUN cjfa-12563 77 12 strategies strategy NOUN cjfa-12563 77 13 outperform outperform VERB cjfa-12563 77 14 actively actively ADV cjfa-12563 77 15 managed manage VERB cjfa-12563 77 16 investments investment NOUN cjfa-12563 77 17 net net ADJ cjfa-12563 77 18 of of ADP cjfa-12563 77 19 costs cost NOUN cjfa-12563 77 20 and and CCONJ cjfa-12563 77 21 fees fee NOUN cjfa-12563 77 22 and and CCONJ cjfa-12563 77 23 after after ADP cjfa-12563 77 24 controlling control VERB cjfa-12563 77 25 for for ADP cjfa-12563 77 26 risk risk NOUN cjfa-12563 77 27 ( ( PUNCT cjfa-12563 77 28 e.g. e.g. ADV cjfa-12563 77 29 malkiel malkiel ADJ cjfa-12563 77 30 , , PUNCT cjfa-12563 77 31 2003 2003 NUM cjfa-12563 77 32 ) ) PUNCT cjfa-12563 77 33 . . PUNCT cjfa-12563 78 1 the the DET cjfa-12563 78 2 investment investment NOUN cjfa-12563 78 3 advice advice NOUN cjfa-12563 78 4 would would AUX cjfa-12563 78 5 then then ADV cjfa-12563 78 6 be be AUX cjfa-12563 78 7 to to PART cjfa-12563 78 8 buy buy VERB cjfa-12563 78 9 an an DET cjfa-12563 78 10 index index NOUN cjfa-12563 78 11 and and CCONJ cjfa-12563 78 12 hold hold VERB cjfa-12563 78 13 it it PRON cjfa-12563 78 14 . . PUNCT cjfa-12563 79 1 still still ADV cjfa-12563 79 2 , , PUNCT cjfa-12563 79 3 institutional institutional ADJ cjfa-12563 79 4 investors investor NOUN cjfa-12563 79 5 are be AUX cjfa-12563 79 6 widely widely ADV cjfa-12563 79 7 trusted trust VERB cjfa-12563 79 8 with with ADP cjfa-12563 79 9 active active ADJ cjfa-12563 79 10 fund fund NOUN cjfa-12563 79 11 management management NOUN cjfa-12563 79 12 , , PUNCT cjfa-12563 79 13 turning turn VERB cjfa-12563 79 14 portfolio portfolio NOUN cjfa-12563 79 15 selection selection NOUN cjfa-12563 79 16 into into ADP cjfa-12563 79 17 a a DET cjfa-12563 79 18 topic topic NOUN cjfa-12563 79 19 that that PRON cjfa-12563 79 20 is be AUX cjfa-12563 79 21 not not PART cjfa-12563 79 22 just just ADV cjfa-12563 79 23 of of ADP cjfa-12563 79 24 academic academic ADJ cjfa-12563 79 25 interest interest NOUN cjfa-12563 79 26 , , PUNCT cjfa-12563 79 27 but but CCONJ cjfa-12563 79 28 also also ADV cjfa-12563 79 29 highly highly ADV cjfa-12563 79 30 relevant relevant ADJ cjfa-12563 79 31 to to ADP cjfa-12563 79 32 practitioners practitioner NOUN cjfa-12563 79 33 . . PUNCT cjfa-12563 80 1 more more ADV cjfa-12563 80 2 recently recently ADV cjfa-12563 80 3 , , PUNCT cjfa-12563 80 4 a a DET cjfa-12563 80 5 number number NOUN cjfa-12563 80 6 of of ADP cjfa-12563 80 7 deficiencies deficiency NOUN cjfa-12563 80 8 in in ADP cjfa-12563 80 9 traditional traditional ADJ cjfa-12563 80 10 risk risk NOUN cjfa-12563 80 11 measures measure NOUN cjfa-12563 80 12 have have AUX cjfa-12563 80 13 been be AUX cjfa-12563 80 14 addressed address VERB cjfa-12563 80 15 : : PUNCT cjfa-12563 80 16 ■ ■ PUNCT cjfa-12563 80 17 the the DET cjfa-12563 80 18 portfolio portfolio NOUN cjfa-12563 80 19 value value NOUN cjfa-12563 80 20 or or CCONJ cjfa-12563 80 21 the the DET cjfa-12563 80 22 portfolio portfolio NOUN cjfa-12563 80 23 return return NOUN cjfa-12563 80 24 are be AUX cjfa-12563 80 25 no no ADV cjfa-12563 80 26 longer long ADV cjfa-12563 80 27 assumed assume VERB cjfa-12563 80 28 to to PART cjfa-12563 80 29 follow follow VERB cjfa-12563 80 30 a a DET cjfa-12563 80 31 normal normal ADJ cjfa-12563 80 32 distribution distribution NOUN cjfa-12563 80 33 . . PUNCT cjfa-12563 81 1 ■ ■ PUNCT cjfa-12563 81 2 risk risk NOUN cjfa-12563 81 3 measures measure NOUN cjfa-12563 81 4 have have AUX cjfa-12563 81 5 been be AUX cjfa-12563 81 6 extended extend VERB cjfa-12563 81 7 to to PART cjfa-12563 81 8 also also ADV cjfa-12563 81 9 include include VERB cjfa-12563 81 10 non non ADJ cjfa-12563 81 11 - - ADJ cjfa-12563 81 12 linear linear ADJ cjfa-12563 81 13 dependencies dependency NOUN cjfa-12563 81 14 . . PUNCT cjfa-12563 82 1 ■ ■ PUNCT cjfa-12563 82 2 it it PRON cjfa-12563 82 3 has have AUX cjfa-12563 82 4 been be AUX cjfa-12563 82 5 recognised recognise VERB cjfa-12563 82 6 that that SCONJ cjfa-12563 82 7 return return NOUN cjfa-12563 82 8 series series NOUN cjfa-12563 82 9 exhibit exhibit VERB cjfa-12563 82 10 different different ADJ cjfa-12563 82 11 covariation covariation NOUN cjfa-12563 82 12 patterns pattern NOUN cjfa-12563 82 13 across across ADP cjfa-12563 82 14 the the DET cjfa-12563 82 15 observations observation NOUN cjfa-12563 82 16 , , PUNCT cjfa-12563 82 17 e.g. e.g. ADV cjfa-12563 82 18 extreme extreme ADJ cjfa-12563 82 19 observations observation NOUN cjfa-12563 82 20 are be AUX cjfa-12563 82 21 more more ADV cjfa-12563 82 22 strongly strongly ADV cjfa-12563 82 23 dependent dependent ADJ cjfa-12563 82 24 than than ADP cjfa-12563 82 25 less less ADJ cjfa-12563 82 26 extreme extreme ADJ cjfa-12563 82 27 observations observation NOUN cjfa-12563 82 28 . . PUNCT cjfa-12563 83 1 this this DET cjfa-12563 83 2 risk risk NOUN cjfa-12563 83 3 of of ADP cjfa-12563 83 4 joint joint ADJ cjfa-12563 83 5 extreme extreme ADJ cjfa-12563 83 6 values value NOUN cjfa-12563 83 7 is be AUX cjfa-12563 83 8 called call VERB cjfa-12563 83 9 ‘ ' PUNCT cjfa-12563 83 10 tail tail NOUN cjfa-12563 83 11 dependence dependence NOUN cjfa-12563 83 12 ’ ' PUNCT cjfa-12563 83 13 . . PUNCT cjfa-12563 84 1 ■ ■ PUNCT cjfa-12563 84 2 tail tail NOUN cjfa-12563 84 3 dependence dependence NOUN cjfa-12563 84 4 can can AUX cjfa-12563 84 5 be be AUX cjfa-12563 84 6 symmetric symmetric ADJ cjfa-12563 84 7 ( ( PUNCT cjfa-12563 84 8 i.e. i.e. X cjfa-12563 84 9 similar similar ADJ cjfa-12563 84 10 in in ADP cjfa-12563 84 11 both both DET cjfa-12563 84 12 tails tail NOUN cjfa-12563 84 13 of of ADP cjfa-12563 84 14 the the DET cjfa-12563 84 15 distribution distribution NOUN cjfa-12563 84 16 ) ) PUNCT cjfa-12563 84 17 or or CCONJ cjfa-12563 84 18 asymmetric asymmetric ADJ cjfa-12563 84 19 ( ( PUNCT cjfa-12563 84 20 e.g. e.g. ADV cjfa-12563 84 21 far far ADV cjfa-12563 84 22 stronger strong ADJ cjfa-12563 84 23 in in ADP cjfa-12563 84 24 the the DET cjfa-12563 84 25 lower low ADJ cjfa-12563 84 26 tail tail NOUN cjfa-12563 84 27 of of ADP cjfa-12563 84 28 the the DET cjfa-12563 84 29 distribution distribution NOUN cjfa-12563 84 30 than than ADP cjfa-12563 84 31 in in ADP cjfa-12563 84 32 the the DET cjfa-12563 84 33 upper upper NOUN cjfa-12563 84 34 ) ) PUNCT cjfa-12563 84 35 . . PUNCT cjfa-12563 85 1 christiane christiane PROPN cjfa-12563 85 2 goodfellow goodfellow PROPN cjfa-12563 85 3 , , PUNCT cjfa-12563 85 4 christian christian PROPN cjfa-12563 85 5 salm88 salm88 NOUN cjfa-12563 85 6 ■ ■ PUNCT cjfa-12563 85 7 downside downside ADJ cjfa-12563 85 8 risk risk NOUN cjfa-12563 85 9 has have AUX cjfa-12563 85 10 been be AUX cjfa-12563 85 11 separated separate VERB cjfa-12563 85 12 from from ADP cjfa-12563 85 13 upside upside ADJ cjfa-12563 85 14 risk risk NOUN cjfa-12563 85 15 ( ( PUNCT cjfa-12563 85 16 campbell campbell PROPN cjfa-12563 85 17 et et PROPN cjfa-12563 85 18 al al PROPN cjfa-12563 85 19 . . PROPN cjfa-12563 85 20 , , PUNCT cjfa-12563 85 21 2001 2001 NUM cjfa-12563 85 22 ; ; PUNCT cjfa-12563 85 23 benson benson PROPN cjfa-12563 85 24 et et PROPN cjfa-12563 85 25 al al PROPN cjfa-12563 85 26 . . PROPN cjfa-12563 85 27 , , PUNCT cjfa-12563 85 28 2008 2008 NUM cjfa-12563 85 29 ) ) PUNCT cjfa-12563 85 30 . . PUNCT cjfa-12563 86 1 these these DET cjfa-12563 86 2 weaknesses weakness NOUN cjfa-12563 86 3 in in ADP cjfa-12563 86 4 traditional traditional ADJ cjfa-12563 86 5 risk risk NOUN cjfa-12563 86 6 measures measure NOUN cjfa-12563 86 7 will will AUX cjfa-12563 86 8 systematically systematically ADV cjfa-12563 86 9 bias bias VERB cjfa-12563 86 10 the the DET cjfa-12563 86 11 risk risk NOUN cjfa-12563 86 12 estimates estimate NOUN cjfa-12563 86 13 and and CCONJ cjfa-12563 86 14 can can AUX cjfa-12563 86 15 lead lead VERB cjfa-12563 86 16 to to ADP cjfa-12563 86 17 wrong wrong ADJ cjfa-12563 86 18 decisions decision NOUN cjfa-12563 86 19 in in ADP cjfa-12563 86 20 risk risk NOUN cjfa-12563 86 21 management management NOUN cjfa-12563 86 22 , , PUNCT cjfa-12563 86 23 in in ADP cjfa-12563 86 24 wrongly wrongly ADV cjfa-12563 86 25 calculating calculate VERB cjfa-12563 86 26 supervisory supervisory ADJ cjfa-12563 86 27 capital capital NOUN cjfa-12563 86 28 requirements requirement NOUN cjfa-12563 86 29 , , PUNCT cjfa-12563 86 30 in in ADP cjfa-12563 86 31 inaccurate inaccurate ADJ cjfa-12563 86 32 risk risk NOUN cjfa-12563 86 33 assessments assessment NOUN cjfa-12563 86 34 by by ADP cjfa-12563 86 35 rating rating NOUN cjfa-12563 86 36 agencies agency NOUN cjfa-12563 86 37 , , PUNCT cjfa-12563 86 38 etc etc X cjfa-12563 86 39 . . X cjfa-12563 87 1 we we PRON cjfa-12563 87 2 present present VERB cjfa-12563 87 3 a a DET cjfa-12563 87 4 simple simple ADJ cjfa-12563 87 5 and and CCONJ cjfa-12563 87 6 statistically statistically ADV cjfa-12563 87 7 correct correct ADJ cjfa-12563 87 8 methodology methodology NOUN cjfa-12563 87 9 to to PART cjfa-12563 87 10 derive derive VERB cjfa-12563 87 11 comprehensive comprehensive ADJ cjfa-12563 87 12 and and CCONJ cjfa-12563 87 13 accurate accurate ADJ cjfa-12563 87 14 risk risk NOUN cjfa-12563 87 15 measures measure NOUN cjfa-12563 87 16 . . PUNCT cjfa-12563 88 1 section section NOUN cjfa-12563 88 2 2 2 NUM cjfa-12563 88 3 introduces introduce VERB cjfa-12563 88 4 the the DET cjfa-12563 88 5 three three NUM cjfa-12563 88 6 risk risk NOUN cjfa-12563 88 7 measures measure NOUN cjfa-12563 88 8 we we PRON cjfa-12563 88 9 apply apply VERB cjfa-12563 88 10 in in ADP cjfa-12563 88 11 this this DET cjfa-12563 88 12 note note NOUN cjfa-12563 88 13 , , PUNCT cjfa-12563 88 14 before before ADP cjfa-12563 88 15 section section NOUN cjfa-12563 88 16 3 3 NUM cjfa-12563 88 17 presents present VERB cjfa-12563 88 18 the the DET cjfa-12563 88 19 dataset dataset NOUN cjfa-12563 88 20 and and CCONJ cjfa-12563 88 21 the the DET cjfa-12563 88 22 empirical empirical ADJ cjfa-12563 88 23 results result NOUN cjfa-12563 88 24 , , PUNCT cjfa-12563 88 25 i.e. i.e. X cjfa-12563 88 26 the the DET cjfa-12563 88 27 extent extent NOUN cjfa-12563 88 28 to to PART cjfa-12563 88 29 which which PRON cjfa-12563 88 30 the the DET cjfa-12563 88 31 risk risk NOUN cjfa-12563 88 32 measures measure NOUN cjfa-12563 88 33 differ differ VERB cjfa-12563 88 34 . . PUNCT cjfa-12563 89 1 section section NOUN cjfa-12563 89 2 4 4 NUM cjfa-12563 89 3 summarises summarise VERB cjfa-12563 89 4 our our PRON cjfa-12563 89 5 results result NOUN cjfa-12563 89 6 and and CCONJ cjfa-12563 89 7 concludes conclude VERB cjfa-12563 89 8 . . PUNCT cjfa-12563 90 1 methodology methodology NOUN cjfa-12563 90 2 we we PRON cjfa-12563 90 3 present present VERB cjfa-12563 90 4 , , PUNCT cjfa-12563 90 5 and and CCONJ cjfa-12563 90 6 compare compare ADJ cjfa-12563 90 7 , , PUNCT cjfa-12563 90 8 three three NUM cjfa-12563 90 9 different different ADJ cjfa-12563 90 10 risk risk NOUN cjfa-12563 90 11 metrics metric NOUN cjfa-12563 90 12 based base VERB cjfa-12563 90 13 on on ADP cjfa-12563 90 14 the the DET cjfa-12563 90 15 same same ADJ cjfa-12563 90 16 stock stock NOUN cjfa-12563 90 17 return return NOUN cjfa-12563 90 18 data datum NOUN cjfa-12563 90 19 , , PUNCT cjfa-12563 90 20 thereby thereby ADV cjfa-12563 90 21 showing show VERB cjfa-12563 90 22 to to ADP cjfa-12563 90 23 what what DET cjfa-12563 90 24 extent extent NOUN cjfa-12563 90 25 the the DET cjfa-12563 90 26 empirical empirical ADJ cjfa-12563 90 27 results result NOUN cjfa-12563 90 28 differ differ VERB cjfa-12563 90 29 across across ADP cjfa-12563 90 30 the the DET cjfa-12563 90 31 different different ADJ cjfa-12563 90 32 risk risk NOUN cjfa-12563 90 33 measures measure NOUN cjfa-12563 90 34 . . PUNCT cjfa-12563 91 1 from from ADP cjfa-12563 91 2 these these DET cjfa-12563 91 3 differences difference NOUN cjfa-12563 91 4 , , PUNCT cjfa-12563 91 5 we we PRON cjfa-12563 91 6 derive derive VERB cjfa-12563 91 7 recommendations recommendation NOUN cjfa-12563 91 8 for for ADP cjfa-12563 91 9 practitioners practitioner NOUN cjfa-12563 91 10 and and CCONJ cjfa-12563 91 11 supervisory supervisory ADJ cjfa-12563 91 12 authorities authority NOUN cjfa-12563 91 13 on on ADP cjfa-12563 91 14 how how SCONJ cjfa-12563 91 15 to to PART cjfa-12563 91 16 correctly correctly ADV cjfa-12563 91 17 capture capture VERB cjfa-12563 91 18 risk risk NOUN cjfa-12563 91 19 in in ADP cjfa-12563 91 20 order order NOUN cjfa-12563 91 21 to to PART cjfa-12563 91 22 accurately accurately ADV cjfa-12563 91 23 calculate calculate VERB cjfa-12563 91 24 , , PUNCT cjfa-12563 91 25 for for ADP cjfa-12563 91 26 example example NOUN cjfa-12563 91 27 , , PUNCT cjfa-12563 91 28 capital capital NOUN cjfa-12563 91 29 requirements requirement NOUN cjfa-12563 91 30 . . PUNCT cjfa-12563 92 1 furthermore furthermore ADV cjfa-12563 92 2 , , PUNCT cjfa-12563 92 3 we we PRON cjfa-12563 92 4 present present VERB cjfa-12563 92 5 a a DET cjfa-12563 92 6 step step NOUN cjfa-12563 92 7 - - PUNCT cjfa-12563 92 8 by by ADP cjfa-12563 92 9 - - PUNCT cjfa-12563 92 10 step step NOUN cjfa-12563 92 11 procedure procedure NOUN cjfa-12563 92 12 to to PART cjfa-12563 92 13 calculate calculate VERB cjfa-12563 92 14 a a DET cjfa-12563 92 15 comprehensive comprehensive ADJ cjfa-12563 92 16 risk risk NOUN cjfa-12563 92 17 measure measure NOUN cjfa-12563 92 18 based base VERB cjfa-12563 92 19 on on ADP cjfa-12563 92 20 copulas copula NOUN cjfa-12563 92 21 . . PUNCT cjfa-12563 93 1 our our PRON cjfa-12563 93 2 analysis analysis NOUN cjfa-12563 93 3 is be AUX cjfa-12563 93 4 based base VERB cjfa-12563 93 5 on on ADP cjfa-12563 93 6 continuously continuously ADV cjfa-12563 93 7 compounded compound VERB cjfa-12563 93 8 returns return NOUN cjfa-12563 93 9 in in ADP cjfa-12563 93 10 percent percent NOUN cjfa-12563 93 11 : : PUNCT cjfa-12563 93 12 section section NOUN cjfa-12563 93 13 3 3 NUM cjfa-12563 93 14 presents present VERB cjfa-12563 93 15 the the DET cjfa-12563 93 16 dataset dataset NOUN cjfa-12563 93 17 and and CCONJ cjfa-12563 93 18 the the DET cjfa-12563 93 19 empirical empirical ADJ cjfa-12563 93 20 results result NOUN cjfa-12563 93 21 , , PUNCT cjfa-12563 93 22 i.e. i.e. X cjfa-12563 93 23 the the DET cjfa-12563 93 24 extent extent NOUN cjfa-12563 93 25 to to PART cjfa-12563 93 26 which which PRON cjfa-12563 93 27 the the DET cjfa-12563 93 28 risk risk NOUN cjfa-12563 93 29 measures measure NOUN cjfa-12563 93 30 differ differ VERB cjfa-12563 93 31 . . PUNCT cjfa-12563 94 1 section section NOUN cjfa-12563 94 2 4 4 NUM cjfa-12563 94 3 summarises summarise VERB cjfa-12563 94 4 our our PRON cjfa-12563 94 5 results result NOUN cjfa-12563 94 6 and and CCONJ cjfa-12563 94 7 concludes conclude VERB cjfa-12563 94 8 . . PUNCT cjfa-12563 95 1 methodology methodology NOUN cjfa-12563 95 2 we we PRON cjfa-12563 95 3 present present VERB cjfa-12563 95 4 , , PUNCT cjfa-12563 95 5 and and CCONJ cjfa-12563 95 6 compare compare ADJ cjfa-12563 95 7 , , PUNCT cjfa-12563 95 8 three three NUM cjfa-12563 95 9 different different ADJ cjfa-12563 95 10 risk risk NOUN cjfa-12563 95 11 metrics metric NOUN cjfa-12563 95 12 based base VERB cjfa-12563 95 13 on on ADP cjfa-12563 95 14 the the DET cjfa-12563 95 15 same same ADJ cjfa-12563 95 16 stock stock NOUN cjfa-12563 95 17 return return NOUN cjfa-12563 95 18 data datum NOUN cjfa-12563 95 19 , , PUNCT cjfa-12563 95 20 thereby thereby ADV cjfa-12563 95 21 showing show VERB cjfa-12563 95 22 to to ADP cjfa-12563 95 23 what what DET cjfa-12563 95 24 extent extent NOUN cjfa-12563 95 25 the the DET cjfa-12563 95 26 empirical empirical ADJ cjfa-12563 95 27 results result NOUN cjfa-12563 95 28 differ differ VERB cjfa-12563 95 29 across across ADP cjfa-12563 95 30 the the DET cjfa-12563 95 31 different different ADJ cjfa-12563 95 32 risk risk NOUN cjfa-12563 95 33 measures measure NOUN cjfa-12563 95 34 . . PUNCT cjfa-12563 96 1 from from ADP cjfa-12563 96 2 these these DET cjfa-12563 96 3 differences difference NOUN cjfa-12563 96 4 , , PUNCT cjfa-12563 96 5 we we PRON cjfa-12563 96 6 derive derive VERB cjfa-12563 96 7 recommendations recommendation NOUN cjfa-12563 96 8 for for ADP cjfa-12563 96 9 practitioners practitioner NOUN cjfa-12563 96 10 and and CCONJ cjfa-12563 96 11 supervisory supervisory ADJ cjfa-12563 96 12 authorities authority NOUN cjfa-12563 96 13 on on ADP cjfa-12563 96 14 how how SCONJ cjfa-12563 96 15 to to PART cjfa-12563 96 16 correctly correctly ADV cjfa-12563 96 17 capture capture VERB cjfa-12563 96 18 risk risk NOUN cjfa-12563 96 19 in in ADP cjfa-12563 96 20 order order NOUN cjfa-12563 96 21 to to PART cjfa-12563 96 22 accurately accurately ADV cjfa-12563 96 23 calculate calculate VERB cjfa-12563 96 24 , , PUNCT cjfa-12563 96 25 for for ADP cjfa-12563 96 26 example example NOUN cjfa-12563 96 27 , , PUNCT cjfa-12563 96 28 capital capital NOUN cjfa-12563 96 29 requirements requirement NOUN cjfa-12563 96 30 . . PUNCT cjfa-12563 97 1 furthermore furthermore ADV cjfa-12563 97 2 , , PUNCT cjfa-12563 97 3 we we PRON cjfa-12563 97 4 present present VERB cjfa-12563 97 5 a a DET cjfa-12563 97 6 step step NOUN cjfa-12563 97 7 - - PUNCT cjfa-12563 97 8 by by ADP cjfa-12563 97 9 - - PUNCT cjfa-12563 97 10 step step NOUN cjfa-12563 97 11 procedure procedure NOUN cjfa-12563 97 12 to to PART cjfa-12563 97 13 calculate calculate VERB cjfa-12563 97 14 a a DET cjfa-12563 97 15 comprehensive comprehensive ADJ cjfa-12563 97 16 risk risk NOUN cjfa-12563 97 17 measure measure NOUN cjfa-12563 97 18 based base VERB cjfa-12563 97 19 on on ADP cjfa-12563 97 20 copulas copula NOUN cjfa-12563 97 21 . . PUNCT cjfa-12563 98 1 our our PRON cjfa-12563 98 2 analysis analysis NOUN cjfa-12563 98 3 is be AUX cjfa-12563 98 4 based base VERB cjfa-12563 98 5 on on ADP cjfa-12563 98 6 continuously continuously ADV cjfa-12563 98 7 compounded compound VERB cjfa-12563 98 8 returns return NOUN cjfa-12563 98 9 in in ADP cjfa-12563 98 10 percent percent NOUN cjfa-12563 98 11 : : PUNCT cjfa-12563 98 12 � � X cjfa-12563 98 13 � � PROPN cjfa-12563 98 14 = = NUM cjfa-12563 98 15 100 100 NUM cjfa-12563 98 16 × × PROPN cjfa-12563 98 17 � � PROPN cjfa-12563 98 18 � � PROPN cjfa-12563 98 19 � � PROPN cjfa-12563 98 20 � � PROPN cjfa-12563 98 21 � � PROPN cjfa-12563 98 22 � � PROPN cjfa-12563 98 23 � � PROPN cjfa-12563 98 24 1 1 NUM cjfa-12563 98 25 = = SYM cjfa-12563 98 26 100 100 NUM cjfa-12563 98 27 × × PROPN cjfa-12563 98 28 � � PROPN cjfa-12563 98 29 � � PROPN cjfa-12563 98 30 � � PROPN cjfa-12563 98 31 � � PROPN cjfa-12563 98 32 � � PROPN cjfa-12563 98 33 � � PROPN cjfa-12563 98 34 � � PROPN cjfa-12563 98 35 � � PROPN cjfa-12563 98 36 � � PROPN cjfa-12563 98 37 � � PROPN cjfa-12563 98 38 � � PROPN cjfa-12563 98 39 1 1 NUM cjfa-12563 98 40 � � PROPN cjfa-12563 98 41 , , PUNCT cjfa-12563 98 42 where where SCONJ cjfa-12563 98 43 � � PROPN cjfa-12563 98 44 � � PROPN cjfa-12563 98 45 is be AUX cjfa-12563 98 46 the the DET cjfa-12563 98 47 price price NOUN cjfa-12563 98 48 of of ADP cjfa-12563 98 49 a a DET cjfa-12563 98 50 stock stock NOUN cjfa-12563 98 51 or or CCONJ cjfa-12563 98 52 a a DET cjfa-12563 98 53 portfolio portfolio NOUN cjfa-12563 98 54 in in ADP cjfa-12563 98 55 period period NOUN cjfa-12563 98 56 t. t. X cjfa-12563 98 57 we we PRON cjfa-12563 98 58 apply apply VERB cjfa-12563 98 59 three three NUM cjfa-12563 98 60 different different ADJ cjfa-12563 98 61 risk risk NOUN cjfa-12563 98 62 measures measure NOUN cjfa-12563 98 63 : : PUNCT cjfa-12563 98 64 first first ADV cjfa-12563 98 65 , , PUNCT cjfa-12563 98 66 the the DET cjfa-12563 98 67 portfolio portfolio NOUN cjfa-12563 98 68 variance variance NOUN cjfa-12563 98 69 based base VERB cjfa-12563 98 70 on on ADP cjfa-12563 98 71 markowitz markowitz PROPN cjfa-12563 98 72 ( ( PUNCT cjfa-12563 98 73 1952 1952 NUM cjfa-12563 98 74 ) ) PUNCT cjfa-12563 98 75 . . PUNCT cjfa-12563 99 1 second second ADJ cjfa-12563 99 2 , , PUNCT cjfa-12563 99 3 the the DET cjfa-12563 99 4 conventionally conventionally ADV cjfa-12563 99 5 calculated calculate VERB cjfa-12563 99 6 value value NOUN cjfa-12563 99 7 at at ADP cjfa-12563 99 8 risk risk NOUN cjfa-12563 99 9 ( ( PUNCT cjfa-12563 99 10 var var NOUN cjfa-12563 99 11 ) ) PUNCT cjfa-12563 99 12 . . PUNCT cjfa-12563 100 1 third third ADJ cjfa-12563 100 2 , , PUNCT cjfa-12563 100 3 the the DET cjfa-12563 100 4 var var NOUN cjfa-12563 100 5 based base VERB cjfa-12563 100 6 on on ADP cjfa-12563 100 7 copulas copula NOUN cjfa-12563 100 8 . . PUNCT cjfa-12563 101 1 the the DET cjfa-12563 101 2 following follow VERB cjfa-12563 101 3 subsections subsection NOUN cjfa-12563 101 4 explain explain VERB cjfa-12563 101 5 these these DET cjfa-12563 101 6 three three NUM cjfa-12563 101 7 approaches approach NOUN cjfa-12563 101 8 . . PUNCT cjfa-12563 102 1 according accord VERB cjfa-12563 102 2 to to ADP cjfa-12563 102 3 the the DET cjfa-12563 102 4 basel basel PROPN cjfa-12563 102 5 iii iii PROPN cjfa-12563 102 6 framework framework NOUN cjfa-12563 102 7 , , PUNCT cjfa-12563 102 8 and and CCONJ cjfa-12563 102 9 more more ADV cjfa-12563 102 10 specifically specifically ADV cjfa-12563 102 11 , , PUNCT cjfa-12563 102 12 according accord VERB cjfa-12563 102 13 to to ADP cjfa-12563 102 14 the the DET cjfa-12563 102 15 crr crr NOUN cjfa-12563 102 16 , , PUNCT cjfa-12563 102 17 a a DET cjfa-12563 102 18 stressed stress VERB cjfa-12563 102 19 value value NOUN cjfa-12563 102 20 at at ADP cjfa-12563 102 21 risk risk NOUN cjfa-12563 102 22 ( ( PUNCT cjfa-12563 102 23 svar svar NOUN cjfa-12563 102 24 ) ) PUNCT cjfa-12563 102 25 has have VERB cjfa-12563 102 26 to to PART cjfa-12563 102 27 be be AUX cjfa-12563 102 28 calculated calculate VERB cjfa-12563 102 29 in in ADP cjfa-12563 102 30 addition addition NOUN cjfa-12563 102 31 to to ADP cjfa-12563 102 32 the the DET cjfa-12563 102 33 conventional conventional ADJ cjfa-12563 102 34 var var NOUN cjfa-12563 102 35 , , PUNCT cjfa-12563 102 36 because because SCONJ cjfa-12563 102 37 the the DET cjfa-12563 102 38 latter latter NOUN cjfa-12563 102 39 is be AUX cjfa-12563 102 40 procyclical procyclical ADJ cjfa-12563 102 41 . . PUNCT cjfa-12563 103 1 the the DET cjfa-12563 103 2 svar svar PROPN cjfa-12563 103 3 should should AUX cjfa-12563 103 4 , , PUNCT cjfa-12563 103 5 in in ADP cjfa-12563 103 6 principle principle NOUN cjfa-12563 103 7 , , PUNCT cjfa-12563 103 8 be be AUX cjfa-12563 103 9 calculated calculate VERB cjfa-12563 103 10 with with ADP cjfa-12563 103 11 a a DET cjfa-12563 103 12 99 99 NUM cjfa-12563 103 13 % % NOUN cjfa-12563 103 14 confidence confidence NOUN cjfa-12563 103 15 level level NOUN cjfa-12563 103 16 . . PUNCT cjfa-12563 104 1 in in ADP cjfa-12563 104 2 practice practice NOUN cjfa-12563 104 3 , , PUNCT cjfa-12563 104 4 however however ADV cjfa-12563 104 5 , , PUNCT cjfa-12563 104 6 this this PRON cjfa-12563 104 7 can can AUX cjfa-12563 104 8 be be AUX cjfa-12563 104 9 achieved achieve VERB cjfa-12563 104 10 by by ADP cjfa-12563 104 11 calculating calculate VERB cjfa-12563 104 12 the the DET cjfa-12563 104 13 risk risk NOUN cjfa-12563 104 14 measures measure NOUN cjfa-12563 104 15 for for ADP cjfa-12563 104 16 a a DET cjfa-12563 104 17 period period NOUN cjfa-12563 104 18 of of ADP cjfa-12563 104 19 financial financial ADJ cjfa-12563 104 20 stress stress NOUN cjfa-12563 104 21 , , PUNCT cjfa-12563 104 22 e.g. e.g. ADV cjfa-12563 104 23 july july PROPN cjfa-12563 104 24 2007 2007 NUM cjfa-12563 104 25 to to ADP cjfa-12563 104 26 december december PROPN cjfa-12563 104 27 2009 2009 NUM cjfa-12563 104 28 . . PUNCT cjfa-12563 105 1 we we PRON cjfa-12563 105 2 follow follow VERB cjfa-12563 105 3 this this DET cjfa-12563 105 4 approach approach NOUN cjfa-12563 105 5 and and CCONJ cjfa-12563 105 6 use use VERB cjfa-12563 105 7 these these DET cjfa-12563 105 8 stressed stress VERB cjfa-12563 105 9 results result NOUN cjfa-12563 105 10 as as ADP cjfa-12563 105 11 a a DET cjfa-12563 105 12 robustness robustness NOUN cjfa-12563 105 13 check check NOUN cjfa-12563 105 14 . . PUNCT cjfa-12563 106 1 portfolio portfolio NOUN cjfa-12563 106 2 variance variance NOUN cjfa-12563 106 3 in in ADP cjfa-12563 106 4 the the DET cjfa-12563 106 5 markowitz markowitz PROPN cjfa-12563 106 6 ( ( PUNCT cjfa-12563 106 7 1952 1952 NUM cjfa-12563 106 8 ) ) PUNCT cjfa-12563 106 9 world world NOUN cjfa-12563 106 10 , , PUNCT cjfa-12563 106 11 the the DET cjfa-12563 106 12 expected expect VERB cjfa-12563 106 13 variance variance NOUN cjfa-12563 106 14 of of ADP cjfa-12563 106 15 the the DET cjfa-12563 106 16 portfolio portfolio NOUN cjfa-12563 106 17 return return NOUN cjfa-12563 106 18 ( ( PUNCT cjfa-12563 106 19 in in ADP cjfa-12563 106 20 short short ADJ cjfa-12563 106 21 : : PUNCT cjfa-12563 106 22 portfolio portfolio NOUN cjfa-12563 106 23 variance variance PROPN cjfa-12563 106 24 ) ) PUNCT cjfa-12563 106 25 is be AUX cjfa-12563 106 26 the the DET cjfa-12563 106 27 weighted weighted ADJ cjfa-12563 106 28 sum sum NOUN cjfa-12563 106 29 of of ADP cjfa-12563 106 30 the the DET cjfa-12563 106 31 expected expect VERB cjfa-12563 106 32 variances variance NOUN cjfa-12563 106 33 of of ADP cjfa-12563 106 34 the the DET cjfa-12563 106 35 securities security NOUN cjfa-12563 106 36 in in ADP cjfa-12563 106 37 the the DET cjfa-12563 106 38 portfolio portfolio NOUN cjfa-12563 106 39 plus plus CCONJ cjfa-12563 106 40 the the DET cjfa-12563 106 41 weighted weighted ADJ cjfa-12563 106 42 sum sum NOUN cjfa-12563 106 43 of of ADP cjfa-12563 106 44 the the DET cjfa-12563 106 45 expected expect VERB cjfa-12563 106 46 covariances covariance NOUN cjfa-12563 106 47 between between ADP cjfa-12563 106 48 all all DET cjfa-12563 106 49 the the DET cjfa-12563 106 50 possible possible ADJ cjfa-12563 106 51 pairs pair NOUN cjfa-12563 106 52 of of ADP cjfa-12563 106 53 the the DET cjfa-12563 106 54 securities security NOUN cjfa-12563 106 55 in in ADP cjfa-12563 106 56 the the DET cjfa-12563 106 57 portfolio portfolio NOUN cjfa-12563 106 58 . . PUNCT cjfa-12563 107 1 the the DET cjfa-12563 107 2 weights weight NOUN cjfa-12563 107 3 are be AUX cjfa-12563 107 4 the the DET cjfa-12563 107 5 percentages percentage NOUN cjfa-12563 107 6 of of ADP cjfa-12563 107 7 an an DET cjfa-12563 107 8 investor investor NOUN cjfa-12563 107 9 's 's PART cjfa-12563 107 10 assets asset NOUN cjfa-12563 107 11 allocated allocate VERB cjfa-12563 107 12 to to ADP cjfa-12563 107 13 each each DET cjfa-12563 107 14 security security NOUN cjfa-12563 107 15 , , PUNCT cjfa-12563 107 16 and and CCONJ cjfa-12563 107 17 the the DET cjfa-12563 107 18 covariances covariance NOUN cjfa-12563 107 19 term term NOUN cjfa-12563 107 20 has have VERB cjfa-12563 107 21 to to PART cjfa-12563 107 22 be be AUX cjfa-12563 107 23 included include VERB cjfa-12563 107 24 twice twice ADV cjfa-12563 107 25 because because SCONJ cjfa-12563 107 26 the the DET cjfa-12563 107 27 covariance covariance NOUN cjfa-12563 107 28 between between ADP cjfa-12563 107 29 stock stock NOUN cjfa-12563 107 30 i i PROPN cjfa-12563 107 31 and and CCONJ cjfa-12563 107 32 stock stock PROPN cjfa-12563 107 33 j j PROPN cjfa-12563 107 34 is be AUX cjfa-12563 107 35 the the DET cjfa-12563 107 36 same same ADJ cjfa-12563 107 37 as as ADP cjfa-12563 107 38 the the DET cjfa-12563 107 39 covariance covariance NOUN cjfa-12563 107 40 between between ADP cjfa-12563 107 41 stock stock PROPN cjfa-12563 107 42 j j PROPN cjfa-12563 107 43 and and CCONJ cjfa-12563 107 44 stock stock NOUN cjfa-12563 107 45 i i PROPN cjfa-12563 107 46 � � VERB cjfa-12563 107 47 � � PROPN cjfa-12563 107 48 2 2 NUM cjfa-12563 107 49 = = SYM cjfa-12563 107 50 � � PROPN cjfa-12563 107 51 � � PROPN cjfa-12563 107 52 � � PROPN cjfa-12563 107 53 2 2 NUM cjfa-12563 107 54 � � PROPN cjfa-12563 107 55 � � NOUN cjfa-12563 107 56 2 2 NUM cjfa-12563 107 57 + + SYM cjfa-12563 107 58 2 2 NUM cjfa-12563 107 59 � � PROPN cjfa-12563 107 60 � � PROPN cjfa-12563 107 61 � � PROPN cjfa-12563 107 62 � � PROPN cjfa-12563 107 63 � � PROPN cjfa-12563 107 64 � � PROPN cjfa-12563 107 65 � � PROPN cjfa-12563 107 66 � � PROPN cjfa-12563 107 67 � � PROPN cjfa-12563 107 68 � � PROPN cjfa-12563 107 69 � � PROPN cjfa-12563 107 70 � � PROPN cjfa-12563 107 71 � � PROPN cjfa-12563 107 72 � � PROPN cjfa-12563 107 73 where where SCONJ cjfa-12563 107 74 pt pt PROPN cjfa-12563 107 75 is be AUX cjfa-12563 107 76 the the DET cjfa-12563 107 77 price price NOUN cjfa-12563 107 78 of of ADP cjfa-12563 107 79 a a DET cjfa-12563 107 80 stock stock NOUN cjfa-12563 107 81 or or CCONJ cjfa-12563 107 82 a a DET cjfa-12563 107 83 portfolio portfolio NOUN cjfa-12563 107 84 in in ADP cjfa-12563 107 85 period period NOUN cjfa-12563 107 86 t. t. X cjfa-12563 108 1 we we PRON cjfa-12563 108 2 apply apply VERB cjfa-12563 108 3 three three NUM cjfa-12563 108 4 different different ADJ cjfa-12563 108 5 risk risk NOUN cjfa-12563 108 6 measures measure NOUN cjfa-12563 108 7 . . PUNCT cjfa-12563 109 1 first first ADV cjfa-12563 109 2 , , PUNCT cjfa-12563 109 3 the the DET cjfa-12563 109 4 portfolio portfolio NOUN cjfa-12563 109 5 variance variance NOUN cjfa-12563 109 6 based base VERB cjfa-12563 109 7 on on ADP cjfa-12563 109 8 markowitz markowitz PROPN cjfa-12563 109 9 ( ( PUNCT cjfa-12563 109 10 1952 1952 NUM cjfa-12563 109 11 ) ) PUNCT cjfa-12563 109 12 . . PUNCT cjfa-12563 110 1 second second ADJ cjfa-12563 110 2 , , PUNCT cjfa-12563 110 3 the the DET cjfa-12563 110 4 conventionally conventionally ADV cjfa-12563 110 5 calculated calculate VERB cjfa-12563 110 6 value value NOUN cjfa-12563 110 7 at at ADP cjfa-12563 110 8 risk risk NOUN cjfa-12563 110 9 ( ( PUNCT cjfa-12563 110 10 var var NOUN cjfa-12563 110 11 ) ) PUNCT cjfa-12563 110 12 . . PUNCT cjfa-12563 111 1 third third ADJ cjfa-12563 111 2 , , PUNCT cjfa-12563 111 3 the the DET cjfa-12563 111 4 var var NOUN cjfa-12563 111 5 based base VERB cjfa-12563 111 6 on on ADP cjfa-12563 111 7 copulas copula NOUN cjfa-12563 111 8 . . PUNCT cjfa-12563 112 1 the the DET cjfa-12563 112 2 following follow VERB cjfa-12563 112 3 subsections subsection NOUN cjfa-12563 112 4 explain explain VERB cjfa-12563 112 5 these these DET cjfa-12563 112 6 three three NUM cjfa-12563 112 7 approaches approach NOUN cjfa-12563 112 8 . . PUNCT cjfa-12563 113 1 according accord VERB cjfa-12563 113 2 to to ADP cjfa-12563 113 3 the the DET cjfa-12563 113 4 basel basel PROPN cjfa-12563 113 5 iii iii PROPN cjfa-12563 113 6 framework framework NOUN cjfa-12563 113 7 , , PUNCT cjfa-12563 113 8 and and CCONJ cjfa-12563 113 9 more more ADV cjfa-12563 113 10 specifically specifically ADV cjfa-12563 113 11 , , PUNCT cjfa-12563 113 12 according accord VERB cjfa-12563 113 13 to to ADP cjfa-12563 113 14 the the DET cjfa-12563 113 15 crr crr NOUN cjfa-12563 113 16 , , PUNCT cjfa-12563 113 17 a a DET cjfa-12563 113 18 stressed stress VERB cjfa-12563 113 19 value value NOUN cjfa-12563 113 20 at at ADP cjfa-12563 113 21 risk risk NOUN cjfa-12563 113 22 ( ( PUNCT cjfa-12563 113 23 svar svar NOUN cjfa-12563 113 24 ) ) PUNCT cjfa-12563 113 25 has have VERB cjfa-12563 113 26 to to PART cjfa-12563 113 27 be be AUX cjfa-12563 113 28 calculated calculate VERB cjfa-12563 113 29 in in ADP cjfa-12563 113 30 addition addition NOUN cjfa-12563 113 31 to to ADP cjfa-12563 113 32 the the DET cjfa-12563 113 33 conventional conventional ADJ cjfa-12563 113 34 var var NOUN cjfa-12563 113 35 , , PUNCT cjfa-12563 113 36 because because SCONJ cjfa-12563 113 37 the the DET cjfa-12563 113 38 latter latter NOUN cjfa-12563 113 39 is be AUX cjfa-12563 113 40 procyclical procyclical ADJ cjfa-12563 113 41 . . PUNCT cjfa-12563 114 1 the the DET cjfa-12563 114 2 svar svar PROPN cjfa-12563 114 3 should should AUX cjfa-12563 114 4 , , PUNCT cjfa-12563 114 5 in in ADP cjfa-12563 114 6 principle principle NOUN cjfa-12563 114 7 , , PUNCT cjfa-12563 114 8 be be AUX cjfa-12563 114 9 calculated calculate VERB cjfa-12563 114 10 with with ADP cjfa-12563 114 11 a a DET cjfa-12563 114 12 99 99 NUM cjfa-12563 114 13 % % NOUN cjfa-12563 114 14 confidence confidence NOUN cjfa-12563 114 15 level level NOUN cjfa-12563 114 16 . . PUNCT cjfa-12563 115 1 in in ADP cjfa-12563 115 2 practice practice NOUN cjfa-12563 115 3 , , PUNCT cjfa-12563 115 4 however however ADV cjfa-12563 115 5 , , PUNCT cjfa-12563 115 6 this this PRON cjfa-12563 115 7 can can AUX cjfa-12563 115 8 be be AUX cjfa-12563 115 9 achieved achieve VERB cjfa-12563 115 10 by by ADP cjfa-12563 115 11 calculating calculate VERB cjfa-12563 115 12 the the DET cjfa-12563 115 13 risk risk NOUN cjfa-12563 115 14 measures measure NOUN cjfa-12563 115 15 for for ADP cjfa-12563 115 16 a a DET cjfa-12563 115 17 period period NOUN cjfa-12563 115 18 of of ADP cjfa-12563 115 19 financial financial ADJ cjfa-12563 115 20 stress stress NOUN cjfa-12563 115 21 , , PUNCT cjfa-12563 115 22 e.g. e.g. ADV cjfa-12563 115 23 july july PROPN cjfa-12563 115 24 2007 2007 NUM cjfa-12563 115 25 to to ADP cjfa-12563 115 26 december december PROPN cjfa-12563 115 27 2009 2009 NUM cjfa-12563 115 28 . . PUNCT cjfa-12563 116 1 we we PRON cjfa-12563 116 2 follow follow VERB cjfa-12563 116 3 this this DET cjfa-12563 116 4 approach approach NOUN cjfa-12563 116 5 and and CCONJ cjfa-12563 116 6 use use VERB cjfa-12563 116 7 these these DET cjfa-12563 116 8 stressed stress VERB cjfa-12563 116 9 results result NOUN cjfa-12563 116 10 as as ADP cjfa-12563 116 11 a a DET cjfa-12563 116 12 robustness robustness NOUN cjfa-12563 116 13 check check NOUN cjfa-12563 116 14 . . PUNCT cjfa-12563 117 1 risky risky ADJ cjfa-12563 117 2 risk risk NOUN cjfa-12563 117 3 measures measure NOUN cjfa-12563 117 4 … … SYM cjfa-12563 117 5 89 89 NUM cjfa-12563 117 6 portfolio portfolio NOUN cjfa-12563 117 7 variance variance NOUN cjfa-12563 117 8 in in ADP cjfa-12563 117 9 the the DET cjfa-12563 117 10 markowitz markowitz PROPN cjfa-12563 117 11 ( ( PUNCT cjfa-12563 117 12 1952 1952 NUM cjfa-12563 117 13 ) ) PUNCT cjfa-12563 117 14 world world NOUN cjfa-12563 117 15 , , PUNCT cjfa-12563 117 16 the the DET cjfa-12563 117 17 expected expect VERB cjfa-12563 117 18 variance variance NOUN cjfa-12563 117 19 of of ADP cjfa-12563 117 20 the the DET cjfa-12563 117 21 portfolio portfolio NOUN cjfa-12563 117 22 return return NOUN cjfa-12563 117 23 ( ( PUNCT cjfa-12563 117 24 in in ADP cjfa-12563 117 25 short short ADJ cjfa-12563 117 26 : : PUNCT cjfa-12563 117 27 portfolio portfolio NOUN cjfa-12563 117 28 variance variance PROPN cjfa-12563 117 29 ) ) PUNCT cjfa-12563 117 30 is be AUX cjfa-12563 117 31 the the DET cjfa-12563 117 32 weighted weighted ADJ cjfa-12563 117 33 sum sum NOUN cjfa-12563 117 34 of of ADP cjfa-12563 117 35 the the DET cjfa-12563 117 36 expected expect VERB cjfa-12563 117 37 variances variance NOUN cjfa-12563 117 38 of of ADP cjfa-12563 117 39 the the DET cjfa-12563 117 40 securities security NOUN cjfa-12563 117 41 in in ADP cjfa-12563 117 42 the the DET cjfa-12563 117 43 portfolio portfolio NOUN cjfa-12563 117 44 plus plus CCONJ cjfa-12563 117 45 the the DET cjfa-12563 117 46 weighted weighted ADJ cjfa-12563 117 47 sum sum NOUN cjfa-12563 117 48 of of ADP cjfa-12563 117 49 the the DET cjfa-12563 117 50 expected expect VERB cjfa-12563 117 51 covariances covariance NOUN cjfa-12563 117 52 between between ADP cjfa-12563 117 53 all all DET cjfa-12563 117 54 the the DET cjfa-12563 117 55 possible possible ADJ cjfa-12563 117 56 pairs pair NOUN cjfa-12563 117 57 of of ADP cjfa-12563 117 58 the the DET cjfa-12563 117 59 securities security NOUN cjfa-12563 117 60 in in ADP cjfa-12563 117 61 the the DET cjfa-12563 117 62 portfolio portfolio NOUN cjfa-12563 117 63 . . PUNCT cjfa-12563 118 1 the the DET cjfa-12563 118 2 weights weight NOUN cjfa-12563 118 3 are be AUX cjfa-12563 118 4 the the DET cjfa-12563 118 5 percentages percentage NOUN cjfa-12563 118 6 of of ADP cjfa-12563 118 7 an an DET cjfa-12563 118 8 investor investor NOUN cjfa-12563 118 9 ’s ’s PART cjfa-12563 118 10 assets asset NOUN cjfa-12563 118 11 allocated allocate VERB cjfa-12563 118 12 to to ADP cjfa-12563 118 13 each each DET cjfa-12563 118 14 security security NOUN cjfa-12563 118 15 , , PUNCT cjfa-12563 118 16 and and CCONJ cjfa-12563 118 17 the the DET cjfa-12563 118 18 covariances covariance NOUN cjfa-12563 118 19 term term NOUN cjfa-12563 118 20 has have VERB cjfa-12563 118 21 to to PART cjfa-12563 118 22 be be AUX cjfa-12563 118 23 included include VERB cjfa-12563 118 24 twice twice ADV cjfa-12563 118 25 because because SCONJ cjfa-12563 118 26 the the DET cjfa-12563 118 27 covariance covariance NOUN cjfa-12563 118 28 between between ADP cjfa-12563 118 29 stock stock NOUN cjfa-12563 118 30 i i PROPN cjfa-12563 118 31 and and CCONJ cjfa-12563 118 32 stock stock PROPN cjfa-12563 118 33 j j PROPN cjfa-12563 118 34 is be AUX cjfa-12563 118 35 the the DET cjfa-12563 118 36 same same ADJ cjfa-12563 118 37 as as ADP cjfa-12563 118 38 the the DET cjfa-12563 118 39 covariance covariance NOUN cjfa-12563 118 40 between between ADP cjfa-12563 118 41 stock stock PROPN cjfa-12563 118 42 j j PROPN cjfa-12563 118 43 and and CCONJ cjfa-12563 118 44 stock stock NOUN cjfa-12563 118 45 i i PRON cjfa-12563 118 46 : : PUNCT cjfa-12563 118 47 section section NOUN cjfa-12563 118 48 3 3 NUM cjfa-12563 118 49 presents present VERB cjfa-12563 118 50 the the DET cjfa-12563 118 51 dataset dataset NOUN cjfa-12563 118 52 and and CCONJ cjfa-12563 118 53 the the DET cjfa-12563 118 54 empirical empirical ADJ cjfa-12563 118 55 results result NOUN cjfa-12563 118 56 , , PUNCT cjfa-12563 118 57 i.e. i.e. X cjfa-12563 118 58 the the DET cjfa-12563 118 59 extent extent NOUN cjfa-12563 118 60 to to PART cjfa-12563 118 61 which which PRON cjfa-12563 118 62 the the DET cjfa-12563 118 63 risk risk NOUN cjfa-12563 118 64 measures measure NOUN cjfa-12563 118 65 differ differ VERB cjfa-12563 118 66 . . PUNCT cjfa-12563 119 1 section section NOUN cjfa-12563 119 2 4 4 NUM cjfa-12563 119 3 summarises summarise VERB cjfa-12563 119 4 our our PRON cjfa-12563 119 5 results result NOUN cjfa-12563 119 6 and and CCONJ cjfa-12563 119 7 concludes conclude VERB cjfa-12563 119 8 . . PUNCT cjfa-12563 120 1 methodology methodology NOUN cjfa-12563 120 2 we we PRON cjfa-12563 120 3 present present VERB cjfa-12563 120 4 , , PUNCT cjfa-12563 120 5 and and CCONJ cjfa-12563 120 6 compare compare ADJ cjfa-12563 120 7 , , PUNCT cjfa-12563 120 8 three three NUM cjfa-12563 120 9 different different ADJ cjfa-12563 120 10 risk risk NOUN cjfa-12563 120 11 metrics metric NOUN cjfa-12563 120 12 based base VERB cjfa-12563 120 13 on on ADP cjfa-12563 120 14 the the DET cjfa-12563 120 15 same same ADJ cjfa-12563 120 16 stock stock NOUN cjfa-12563 120 17 return return NOUN cjfa-12563 120 18 data datum NOUN cjfa-12563 120 19 , , PUNCT cjfa-12563 120 20 thereby thereby ADV cjfa-12563 120 21 showing show VERB cjfa-12563 120 22 to to ADP cjfa-12563 120 23 what what DET cjfa-12563 120 24 extent extent NOUN cjfa-12563 120 25 the the DET cjfa-12563 120 26 empirical empirical ADJ cjfa-12563 120 27 results result NOUN cjfa-12563 120 28 differ differ VERB cjfa-12563 120 29 across across ADP cjfa-12563 120 30 the the DET cjfa-12563 120 31 different different ADJ cjfa-12563 120 32 risk risk NOUN cjfa-12563 120 33 measures measure NOUN cjfa-12563 120 34 . . PUNCT cjfa-12563 121 1 from from ADP cjfa-12563 121 2 these these DET cjfa-12563 121 3 differences difference NOUN cjfa-12563 121 4 , , PUNCT cjfa-12563 121 5 we we PRON cjfa-12563 121 6 derive derive VERB cjfa-12563 121 7 recommendations recommendation NOUN cjfa-12563 121 8 for for ADP cjfa-12563 121 9 practitioners practitioner NOUN cjfa-12563 121 10 and and CCONJ cjfa-12563 121 11 supervisory supervisory ADJ cjfa-12563 121 12 authorities authority NOUN cjfa-12563 121 13 on on ADP cjfa-12563 121 14 how how SCONJ cjfa-12563 121 15 to to PART cjfa-12563 121 16 correctly correctly ADV cjfa-12563 121 17 capture capture VERB cjfa-12563 121 18 risk risk NOUN cjfa-12563 121 19 in in ADP cjfa-12563 121 20 order order NOUN cjfa-12563 121 21 to to PART cjfa-12563 121 22 accurately accurately ADV cjfa-12563 121 23 calculate calculate VERB cjfa-12563 121 24 , , PUNCT cjfa-12563 121 25 for for ADP cjfa-12563 121 26 example example NOUN cjfa-12563 121 27 , , PUNCT cjfa-12563 121 28 capital capital NOUN cjfa-12563 121 29 requirements requirement NOUN cjfa-12563 121 30 . . PUNCT cjfa-12563 122 1 furthermore furthermore ADV cjfa-12563 122 2 , , PUNCT cjfa-12563 122 3 we we PRON cjfa-12563 122 4 present present VERB cjfa-12563 122 5 a a DET cjfa-12563 122 6 step step NOUN cjfa-12563 122 7 - - PUNCT cjfa-12563 122 8 by by ADP cjfa-12563 122 9 - - PUNCT cjfa-12563 122 10 step step NOUN cjfa-12563 122 11 procedure procedure NOUN cjfa-12563 122 12 to to PART cjfa-12563 122 13 calculate calculate VERB cjfa-12563 122 14 a a DET cjfa-12563 122 15 comprehensive comprehensive ADJ cjfa-12563 122 16 risk risk NOUN cjfa-12563 122 17 measure measure NOUN cjfa-12563 122 18 based base VERB cjfa-12563 122 19 on on ADP cjfa-12563 122 20 copulas copula NOUN cjfa-12563 122 21 . . PUNCT cjfa-12563 123 1 our our PRON cjfa-12563 123 2 analysis analysis NOUN cjfa-12563 123 3 is be AUX cjfa-12563 123 4 based base VERB cjfa-12563 123 5 on on ADP cjfa-12563 123 6 continuously continuously ADV cjfa-12563 123 7 compounded compound VERB cjfa-12563 123 8 returns return NOUN cjfa-12563 123 9 in in ADP cjfa-12563 123 10 percent percent NOUN cjfa-12563 123 11 : : PUNCT cjfa-12563 123 12 � � X cjfa-12563 123 13 � � PROPN cjfa-12563 123 14 = = NUM cjfa-12563 123 15 100 100 NUM cjfa-12563 123 16 × × PROPN cjfa-12563 123 17 � � PROPN cjfa-12563 123 18 � � PROPN cjfa-12563 123 19 � � PROPN cjfa-12563 123 20 � � PROPN cjfa-12563 123 21 � � PROPN cjfa-12563 123 22 � � PROPN cjfa-12563 123 23 � � PROPN cjfa-12563 123 24 1 1 NUM cjfa-12563 123 25 = = SYM cjfa-12563 123 26 100 100 NUM cjfa-12563 123 27 × × PROPN cjfa-12563 123 28 � � PROPN cjfa-12563 123 29 � � PROPN cjfa-12563 123 30 � � PROPN cjfa-12563 123 31 � � PROPN cjfa-12563 123 32 � � PROPN cjfa-12563 123 33 � � PROPN cjfa-12563 123 34 � � PROPN cjfa-12563 123 35 � � PROPN cjfa-12563 123 36 � � PROPN cjfa-12563 123 37 � � PROPN cjfa-12563 123 38 � � PROPN cjfa-12563 123 39 1 1 NUM cjfa-12563 123 40 � � PROPN cjfa-12563 123 41 , , PUNCT cjfa-12563 123 42 where where SCONJ cjfa-12563 123 43 � � PROPN cjfa-12563 123 44 � � PROPN cjfa-12563 123 45 is be AUX cjfa-12563 123 46 the the DET cjfa-12563 123 47 price price NOUN cjfa-12563 123 48 of of ADP cjfa-12563 123 49 a a DET cjfa-12563 123 50 stock stock NOUN cjfa-12563 123 51 or or CCONJ cjfa-12563 123 52 a a DET cjfa-12563 123 53 portfolio portfolio NOUN cjfa-12563 123 54 in in ADP cjfa-12563 123 55 period period NOUN cjfa-12563 123 56 t. t. X cjfa-12563 123 57 we we PRON cjfa-12563 123 58 apply apply VERB cjfa-12563 123 59 three three NUM cjfa-12563 123 60 different different ADJ cjfa-12563 123 61 risk risk NOUN cjfa-12563 123 62 measures measure NOUN cjfa-12563 123 63 : : PUNCT cjfa-12563 123 64 first first ADV cjfa-12563 123 65 , , PUNCT cjfa-12563 123 66 the the DET cjfa-12563 123 67 portfolio portfolio NOUN cjfa-12563 123 68 variance variance NOUN cjfa-12563 123 69 based base VERB cjfa-12563 123 70 on on ADP cjfa-12563 123 71 markowitz markowitz PROPN cjfa-12563 123 72 ( ( PUNCT cjfa-12563 123 73 1952 1952 NUM cjfa-12563 123 74 ) ) PUNCT cjfa-12563 123 75 . . PUNCT cjfa-12563 124 1 second second ADJ cjfa-12563 124 2 , , PUNCT cjfa-12563 124 3 the the DET cjfa-12563 124 4 conventionally conventionally ADV cjfa-12563 124 5 calculated calculate VERB cjfa-12563 124 6 value value NOUN cjfa-12563 124 7 at at ADP cjfa-12563 124 8 risk risk NOUN cjfa-12563 124 9 ( ( PUNCT cjfa-12563 124 10 var var NOUN cjfa-12563 124 11 ) ) PUNCT cjfa-12563 124 12 . . PUNCT cjfa-12563 125 1 third third ADJ cjfa-12563 125 2 , , PUNCT cjfa-12563 125 3 the the DET cjfa-12563 125 4 var var NOUN cjfa-12563 125 5 based base VERB cjfa-12563 125 6 on on ADP cjfa-12563 125 7 copulas copula NOUN cjfa-12563 125 8 . . PUNCT cjfa-12563 126 1 the the DET cjfa-12563 126 2 following follow VERB cjfa-12563 126 3 subsections subsection NOUN cjfa-12563 126 4 explain explain VERB cjfa-12563 126 5 these these DET cjfa-12563 126 6 three three NUM cjfa-12563 126 7 approaches approach NOUN cjfa-12563 126 8 . . PUNCT cjfa-12563 127 1 according accord VERB cjfa-12563 127 2 to to ADP cjfa-12563 127 3 the the DET cjfa-12563 127 4 basel basel PROPN cjfa-12563 127 5 iii iii PROPN cjfa-12563 127 6 framework framework NOUN cjfa-12563 127 7 , , PUNCT cjfa-12563 127 8 and and CCONJ cjfa-12563 127 9 more more ADV cjfa-12563 127 10 specifically specifically ADV cjfa-12563 127 11 , , PUNCT cjfa-12563 127 12 according accord VERB cjfa-12563 127 13 to to ADP cjfa-12563 127 14 the the DET cjfa-12563 127 15 crr crr NOUN cjfa-12563 127 16 , , PUNCT cjfa-12563 127 17 a a DET cjfa-12563 127 18 stressed stress VERB cjfa-12563 127 19 value value NOUN cjfa-12563 127 20 at at ADP cjfa-12563 127 21 risk risk NOUN cjfa-12563 127 22 ( ( PUNCT cjfa-12563 127 23 svar svar NOUN cjfa-12563 127 24 ) ) PUNCT cjfa-12563 127 25 has have VERB cjfa-12563 127 26 to to PART cjfa-12563 127 27 be be AUX cjfa-12563 127 28 calculated calculate VERB cjfa-12563 127 29 in in ADP cjfa-12563 127 30 addition addition NOUN cjfa-12563 127 31 to to ADP cjfa-12563 127 32 the the DET cjfa-12563 127 33 conventional conventional ADJ cjfa-12563 127 34 var var NOUN cjfa-12563 127 35 , , PUNCT cjfa-12563 127 36 because because SCONJ cjfa-12563 127 37 the the DET cjfa-12563 127 38 latter latter NOUN cjfa-12563 127 39 is be AUX cjfa-12563 127 40 procyclical procyclical ADJ cjfa-12563 127 41 . . PUNCT cjfa-12563 128 1 the the DET cjfa-12563 128 2 svar svar PROPN cjfa-12563 128 3 should should AUX cjfa-12563 128 4 , , PUNCT cjfa-12563 128 5 in in ADP cjfa-12563 128 6 principle principle NOUN cjfa-12563 128 7 , , PUNCT cjfa-12563 128 8 be be AUX cjfa-12563 128 9 calculated calculate VERB cjfa-12563 128 10 with with ADP cjfa-12563 128 11 a a DET cjfa-12563 128 12 99 99 NUM cjfa-12563 128 13 % % NOUN cjfa-12563 128 14 confidence confidence NOUN cjfa-12563 128 15 level level NOUN cjfa-12563 128 16 . . PUNCT cjfa-12563 129 1 in in ADP cjfa-12563 129 2 practice practice NOUN cjfa-12563 129 3 , , PUNCT cjfa-12563 129 4 however however ADV cjfa-12563 129 5 , , PUNCT cjfa-12563 129 6 this this PRON cjfa-12563 129 7 can can AUX cjfa-12563 129 8 be be AUX cjfa-12563 129 9 achieved achieve VERB cjfa-12563 129 10 by by ADP cjfa-12563 129 11 calculating calculate VERB cjfa-12563 129 12 the the DET cjfa-12563 129 13 risk risk NOUN cjfa-12563 129 14 measures measure NOUN cjfa-12563 129 15 for for ADP cjfa-12563 129 16 a a DET cjfa-12563 129 17 period period NOUN cjfa-12563 129 18 of of ADP cjfa-12563 129 19 financial financial ADJ cjfa-12563 129 20 stress stress NOUN cjfa-12563 129 21 , , PUNCT cjfa-12563 129 22 e.g. e.g. ADV cjfa-12563 129 23 july july PROPN cjfa-12563 129 24 2007 2007 NUM cjfa-12563 129 25 to to ADP cjfa-12563 129 26 december december PROPN cjfa-12563 129 27 2009 2009 NUM cjfa-12563 129 28 . . PUNCT cjfa-12563 130 1 we we PRON cjfa-12563 130 2 follow follow VERB cjfa-12563 130 3 this this DET cjfa-12563 130 4 approach approach NOUN cjfa-12563 130 5 and and CCONJ cjfa-12563 130 6 use use VERB cjfa-12563 130 7 these these DET cjfa-12563 130 8 stressed stress VERB cjfa-12563 130 9 results result NOUN cjfa-12563 130 10 as as ADP cjfa-12563 130 11 a a DET cjfa-12563 130 12 robustness robustness NOUN cjfa-12563 130 13 check check NOUN cjfa-12563 130 14 . . PUNCT cjfa-12563 131 1 portfolio portfolio NOUN cjfa-12563 131 2 variance variance NOUN cjfa-12563 131 3 in in ADP cjfa-12563 131 4 the the DET cjfa-12563 131 5 markowitz markowitz PROPN cjfa-12563 131 6 ( ( PUNCT cjfa-12563 131 7 1952 1952 NUM cjfa-12563 131 8 ) ) PUNCT cjfa-12563 131 9 world world NOUN cjfa-12563 131 10 , , PUNCT cjfa-12563 131 11 the the DET cjfa-12563 131 12 expected expect VERB cjfa-12563 131 13 variance variance NOUN cjfa-12563 131 14 of of ADP cjfa-12563 131 15 the the DET cjfa-12563 131 16 portfolio portfolio NOUN cjfa-12563 131 17 return return NOUN cjfa-12563 131 18 ( ( PUNCT cjfa-12563 131 19 in in ADP cjfa-12563 131 20 short short ADJ cjfa-12563 131 21 : : PUNCT cjfa-12563 131 22 portfolio portfolio NOUN cjfa-12563 131 23 variance variance PROPN cjfa-12563 131 24 ) ) PUNCT cjfa-12563 131 25 is be AUX cjfa-12563 131 26 the the DET cjfa-12563 131 27 weighted weighted ADJ cjfa-12563 131 28 sum sum NOUN cjfa-12563 131 29 of of ADP cjfa-12563 131 30 the the DET cjfa-12563 131 31 expected expect VERB cjfa-12563 131 32 variances variance NOUN cjfa-12563 131 33 of of ADP cjfa-12563 131 34 the the DET cjfa-12563 131 35 securities security NOUN cjfa-12563 131 36 in in ADP cjfa-12563 131 37 the the DET cjfa-12563 131 38 portfolio portfolio NOUN cjfa-12563 131 39 plus plus CCONJ cjfa-12563 131 40 the the DET cjfa-12563 131 41 weighted weighted ADJ cjfa-12563 131 42 sum sum NOUN cjfa-12563 131 43 of of ADP cjfa-12563 131 44 the the DET cjfa-12563 131 45 expected expect VERB cjfa-12563 131 46 covariances covariance NOUN cjfa-12563 131 47 between between ADP cjfa-12563 131 48 all all DET cjfa-12563 131 49 the the DET cjfa-12563 131 50 possible possible ADJ cjfa-12563 131 51 pairs pair NOUN cjfa-12563 131 52 of of ADP cjfa-12563 131 53 the the DET cjfa-12563 131 54 securities security NOUN cjfa-12563 131 55 in in ADP cjfa-12563 131 56 the the DET cjfa-12563 131 57 portfolio portfolio NOUN cjfa-12563 131 58 . . PUNCT cjfa-12563 132 1 the the DET cjfa-12563 132 2 weights weight NOUN cjfa-12563 132 3 are be AUX cjfa-12563 132 4 the the DET cjfa-12563 132 5 percentages percentage NOUN cjfa-12563 132 6 of of ADP cjfa-12563 132 7 an an DET cjfa-12563 132 8 investor investor NOUN cjfa-12563 132 9 's 's PART cjfa-12563 132 10 assets asset NOUN cjfa-12563 132 11 allocated allocate VERB cjfa-12563 132 12 to to ADP cjfa-12563 132 13 each each DET cjfa-12563 132 14 security security NOUN cjfa-12563 132 15 , , PUNCT cjfa-12563 132 16 and and CCONJ cjfa-12563 132 17 the the DET cjfa-12563 132 18 covariances covariance NOUN cjfa-12563 132 19 term term NOUN cjfa-12563 132 20 has have VERB cjfa-12563 132 21 to to PART cjfa-12563 132 22 be be AUX cjfa-12563 132 23 included include VERB cjfa-12563 132 24 twice twice ADV cjfa-12563 132 25 because because SCONJ cjfa-12563 132 26 the the DET cjfa-12563 132 27 covariance covariance NOUN cjfa-12563 132 28 between between ADP cjfa-12563 132 29 stock stock NOUN cjfa-12563 132 30 i i PROPN cjfa-12563 132 31 and and CCONJ cjfa-12563 132 32 stock stock PROPN cjfa-12563 132 33 j j PROPN cjfa-12563 132 34 is be AUX cjfa-12563 132 35 the the DET cjfa-12563 132 36 same same ADJ cjfa-12563 132 37 as as SCONJ cjfa-12563 132 38 the the DET cjfa-12563 132 39 covariance covariance NOUN cjfa-12563 132 40 between between ADP cjfa-12563 132 41 stock stock PROPN cjfa-12563 132 42 j j PROPN cjfa-12563 132 43 and and CCONJ cjfa-12563 132 44 stock stock NOUN cjfa-12563 132 45 i i PROPN cjfa-12563 132 46 � � VERB cjfa-12563 132 47 � � PROPN cjfa-12563 132 48 2 2 NUM cjfa-12563 132 49 = = SYM cjfa-12563 132 50 � � PROPN cjfa-12563 132 51 � � PROPN cjfa-12563 132 52 � � PROPN cjfa-12563 132 53 2 2 NUM cjfa-12563 132 54 � � PROPN cjfa-12563 132 55 � � NOUN cjfa-12563 132 56 2 2 NUM cjfa-12563 132 57 + + SYM cjfa-12563 132 58 2 2 NUM cjfa-12563 132 59 � � PROPN cjfa-12563 132 60 � � PROPN cjfa-12563 132 61 � � PROPN cjfa-12563 132 62 � � PROPN cjfa-12563 132 63 � � PROPN cjfa-12563 132 64 � � PROPN cjfa-12563 132 65 � � PROPN cjfa-12563 132 66 � � PROPN cjfa-12563 132 67 � � PROPN cjfa-12563 132 68 � � PROPN cjfa-12563 132 69 � � PROPN cjfa-12563 132 70 � � PROPN cjfa-12563 132 71 � � PROPN cjfa-12563 132 72 � � PROPN cjfa-12563 132 73 where where SCONJ cjfa-12563 132 74 σij σij NOUN cjfa-12563 132 75 is be AUX cjfa-12563 132 76 the the DET cjfa-12563 132 77 covariance covariance NOUN cjfa-12563 132 78 between between ADP cjfa-12563 132 79 securities security NOUN cjfa-12563 132 80 i i PROPN cjfa-12563 132 81 and and CCONJ cjfa-12563 132 82 j. j. PROPN cjfa-12563 132 83 a a DET cjfa-12563 132 84 standardised standardised ADJ cjfa-12563 132 85 measure measure NOUN cjfa-12563 132 86 of of ADP cjfa-12563 132 87 the the DET cjfa-12563 132 88 covariance covariance NOUN cjfa-12563 132 89 σij σij NOUN cjfa-12563 132 90 is be AUX cjfa-12563 132 91 the the DET cjfa-12563 132 92 correlation correlation NOUN cjfa-12563 132 93 coefficient coefficient NOUN cjfa-12563 132 94 ρij ρij NOUN cjfa-12563 132 95 , , PUNCT cjfa-12563 132 96 with with ADP cjfa-12563 132 97 where where SCONJ cjfa-12563 132 98 � � PROPN cjfa-12563 132 99 � � PROPN cjfa-12563 132 100 � � PROPN cjfa-12563 132 101 is be AUX cjfa-12563 132 102 the the DET cjfa-12563 132 103 covariance covariance NOUN cjfa-12563 132 104 between between ADP cjfa-12563 132 105 securities security NOUN cjfa-12563 132 106 i i PROPN cjfa-12563 132 107 and and CCONJ cjfa-12563 132 108 j. j. PROPN cjfa-12563 132 109 a a DET cjfa-12563 132 110 standardised standardised ADJ cjfa-12563 132 111 measure measure NOUN cjfa-12563 132 112 of of ADP cjfa-12563 132 113 the the DET cjfa-12563 132 114 covariance covariance NOUN cjfa-12563 132 115 � � PROPN cjfa-12563 132 116 � � PROPN cjfa-12563 132 117 � � PROPN cjfa-12563 132 118 is be AUX cjfa-12563 132 119 the the DET cjfa-12563 132 120 correlation correlation NOUN cjfa-12563 132 121 coefficient coefficient NOUN cjfa-12563 132 122 � � PROPN cjfa-12563 132 123 � � PROPN cjfa-12563 132 124 � � PROPN cjfa-12563 132 125 , , PUNCT cjfa-12563 132 126 with with ADP cjfa-12563 132 127 � � PROPN cjfa-12563 132 128 � � PROPN cjfa-12563 132 129 � � PROPN cjfa-12563 132 130 = = SYM cjfa-12563 132 131 � � PROPN cjfa-12563 132 132 � � PROPN cjfa-12563 132 133 � � PROPN cjfa-12563 132 134 � � PROPN cjfa-12563 132 135 � � PROPN cjfa-12563 132 136 � � PROPN cjfa-12563 132 137 � � PROPN cjfa-12563 132 138 � � PROPN cjfa-12563 132 139 and and CCONJ cjfa-12563 132 140 therefore therefore ADV cjfa-12563 132 141 � � PROPN cjfa-12563 132 142 1 1 NUM cjfa-12563 132 143 ≤ ≤ NUM cjfa-12563 132 144 � � PROPN cjfa-12563 132 145 � � PROPN cjfa-12563 132 146 � � PROPN cjfa-12563 132 147 � � PROPN cjfa-12563 132 148 ≤ ≤ PROPN cjfa-12563 132 149 +1 +1 PROPN cjfa-12563 132 150 . . PUNCT cjfa-12563 133 1 the the DET cjfa-12563 133 2 expected expect VERB cjfa-12563 133 3 portfolio portfolio NOUN cjfa-12563 133 4 variance variance NOUN cjfa-12563 133 5 then then ADV cjfa-12563 133 6 becomes become VERB cjfa-12563 133 7 � � PROPN cjfa-12563 133 8 � � PROPN cjfa-12563 133 9 2 2 NUM cjfa-12563 133 10 = = SYM cjfa-12563 133 11 � � PROPN cjfa-12563 133 12 � � PROPN cjfa-12563 133 13 � � PROPN cjfa-12563 133 14 2 2 NUM cjfa-12563 133 15 � � PROPN cjfa-12563 133 16 � � NOUN cjfa-12563 133 17 2 2 NUM cjfa-12563 133 18 + + SYM cjfa-12563 133 19 2 2 NUM cjfa-12563 133 20 � � PROPN cjfa-12563 133 21 � � PROPN cjfa-12563 133 22 � � PROPN cjfa-12563 133 23 � � PROPN cjfa-12563 133 24 � � PROPN cjfa-12563 133 25 � � PROPN cjfa-12563 133 26 � � PROPN cjfa-12563 133 27 � � PROPN cjfa-12563 133 28 � � PROPN cjfa-12563 133 29 � � PROPN cjfa-12563 133 30 � � PROPN cjfa-12563 133 31 � � PROPN cjfa-12563 133 32 � � PROPN cjfa-12563 133 33 � � PROPN cjfa-12563 133 34 � � PROPN cjfa-12563 133 35 � � PROPN cjfa-12563 133 36 � � PROPN cjfa-12563 133 37 � � PROPN cjfa-12563 133 38 the the DET cjfa-12563 133 39 covariances covariance NOUN cjfa-12563 133 40 and and CCONJ cjfa-12563 133 41 hence hence ADV cjfa-12563 133 42 correlation correlation NOUN cjfa-12563 133 43 coefficients coefficient NOUN cjfa-12563 133 44 only only ADV cjfa-12563 133 45 cover cover VERB cjfa-12563 133 46 linear linear ADJ cjfa-12563 133 47 dependencies dependency NOUN cjfa-12563 133 48 between between ADP cjfa-12563 133 49 return return NOUN cjfa-12563 133 50 series series NOUN cjfa-12563 133 51 . . PUNCT cjfa-12563 134 1 as as ADP cjfa-12563 134 2 a a DET cjfa-12563 134 3 result result NOUN cjfa-12563 134 4 , , PUNCT cjfa-12563 134 5 the the DET cjfa-12563 134 6 portfolio portfolio NOUN cjfa-12563 134 7 risk risk NOUN cjfa-12563 134 8 estimate estimate NOUN cjfa-12563 134 9 is be AUX cjfa-12563 134 10 systematically systematically ADV cjfa-12563 134 11 biased bias VERB cjfa-12563 134 12 . . PUNCT cjfa-12563 135 1 moreover moreover ADV cjfa-12563 135 2 , , PUNCT cjfa-12563 135 3 returns return NOUN cjfa-12563 135 4 often often ADV cjfa-12563 135 5 exhibit exhibit VERB cjfa-12563 135 6 positive positive ADJ cjfa-12563 135 7 left left ADJ cjfa-12563 135 8 - - PUNCT cjfa-12563 135 9 tail tail NOUN cjfa-12563 135 10 dependence dependence NOUN cjfa-12563 135 11 , , PUNCT cjfa-12563 135 12 which which PRON cjfa-12563 135 13 means mean VERB cjfa-12563 135 14 that that SCONJ cjfa-12563 135 15 one one NUM cjfa-12563 135 16 return return NOUN cjfa-12563 135 17 will will AUX cjfa-12563 135 18 more more ADV cjfa-12563 135 19 likely likely ADV cjfa-12563 135 20 perform perform VERB cjfa-12563 135 21 poorly poorly ADV cjfa-12563 135 22 when when SCONJ cjfa-12563 135 23 another another PRON cjfa-12563 135 24 already already ADV cjfa-12563 135 25 is be AUX cjfa-12563 135 26 performing perform VERB cjfa-12563 135 27 badly badly ADV cjfa-12563 135 28 . . PUNCT cjfa-12563 136 1 this this DET cjfa-12563 136 2 phenomenon phenomenon NOUN cjfa-12563 136 3 is be AUX cjfa-12563 136 4 neither neither CCONJ cjfa-12563 136 5 covered cover VERB cjfa-12563 136 6 by by ADP cjfa-12563 136 7 the the DET cjfa-12563 136 8 covariance covariance NOUN cjfa-12563 136 9 nor nor CCONJ cjfa-12563 136 10 by by ADP cjfa-12563 136 11 the the DET cjfa-12563 136 12 implicit implicit ADJ cjfa-12563 136 13 normal normal ADJ cjfa-12563 136 14 assumption assumption NOUN cjfa-12563 136 15 . . PUNCT cjfa-12563 137 1 despite despite SCONJ cjfa-12563 137 2 these these DET cjfa-12563 137 3 insights insight NOUN cjfa-12563 137 4 , , PUNCT cjfa-12563 137 5 both both DET cjfa-12563 137 6 basel basel PROPN cjfa-12563 137 7 iii iii PROPN cjfa-12563 137 8 and and CCONJ cjfa-12563 137 9 solvency solvency PROPN cjfa-12563 137 10 ii ii NOUN cjfa-12563 137 11 rely rely VERB cjfa-12563 137 12 on on ADP cjfa-12563 137 13 correlation correlation NOUN cjfa-12563 137 14 coefficients coefficient NOUN cjfa-12563 137 15 to to PART cjfa-12563 137 16 estimate estimate VERB cjfa-12563 137 17 interdependencies interdependency NOUN cjfa-12563 137 18 of of ADP cjfa-12563 137 19 different different ADJ cjfa-12563 137 20 risks risk NOUN cjfa-12563 137 21 . . PUNCT cjfa-12563 138 1 furthermore furthermore ADV cjfa-12563 138 2 , , PUNCT cjfa-12563 138 3 investors investor NOUN cjfa-12563 138 4 ( ( PUNCT cjfa-12563 138 5 or or CCONJ cjfa-12563 138 6 , , PUNCT cjfa-12563 138 7 more more ADV cjfa-12563 138 8 generally generally ADV cjfa-12563 138 9 , , PUNCT cjfa-12563 138 10 stakeholders stakeholder NOUN cjfa-12563 138 11 ) ) PUNCT cjfa-12563 138 12 are be AUX cjfa-12563 138 13 concerned concerned ADJ cjfa-12563 138 14 about about ADP cjfa-12563 138 15 downside downside ADJ cjfa-12563 138 16 risk risk NOUN cjfa-12563 138 17 , , PUNCT cjfa-12563 138 18 whereas whereas SCONJ cjfa-12563 138 19 they they PRON cjfa-12563 138 20 usually usually ADV cjfa-12563 138 21 quite quite ADV cjfa-12563 138 22 enjoy enjoy VERB cjfa-12563 138 23 the the DET cjfa-12563 138 24 results result NOUN cjfa-12563 138 25 of of ADP cjfa-12563 138 26 upside upside ADJ cjfa-12563 138 27 risk risk NOUN cjfa-12563 138 28 . . PUNCT cjfa-12563 139 1 portfolio portfolio NOUN cjfa-12563 139 2 risk risk NOUN cjfa-12563 139 3 treats treat VERB cjfa-12563 139 4 both both DET cjfa-12563 139 5 risk risk NOUN cjfa-12563 139 6 directions direction NOUN cjfa-12563 139 7 equally equally ADV cjfa-12563 139 8 , , PUNCT cjfa-12563 139 9 whereas whereas SCONJ cjfa-12563 139 10 the the DET cjfa-12563 139 11 value value NOUN cjfa-12563 139 12 at at ADP cjfa-12563 139 13 risk risk NOUN cjfa-12563 139 14 is be AUX cjfa-12563 139 15 only only ADV cjfa-12563 139 16 concerned concerned ADJ cjfa-12563 139 17 with with ADP cjfa-12563 139 18 the the DET cjfa-12563 139 19 lower low ADJ cjfa-12563 139 20 tail tail NOUN cjfa-12563 139 21 of of ADP cjfa-12563 139 22 the the DET cjfa-12563 139 23 distribution distribution NOUN cjfa-12563 139 24 . . PUNCT cjfa-12563 140 1 value value NOUN cjfa-12563 140 2 at at ADP cjfa-12563 140 3 risk risk NOUN cjfa-12563 140 4 based base VERB cjfa-12563 140 5 on on ADP cjfa-12563 140 6 historical historical ADJ cjfa-12563 140 7 return return NOUN cjfa-12563 140 8 distribution distribution NOUN cjfa-12563 140 9 the the DET cjfa-12563 140 10 value value NOUN cjfa-12563 140 11 at at ADP cjfa-12563 140 12 risk risk NOUN cjfa-12563 140 13 ( ( PUNCT cjfa-12563 140 14 var var NOUN cjfa-12563 140 15 ) ) PUNCT cjfa-12563 140 16 is be AUX cjfa-12563 140 17 defined define VERB cjfa-12563 140 18 as as ADP cjfa-12563 140 19 the the DET cjfa-12563 140 20 minimum minimum ADJ cjfa-12563 140 21 portfolio portfolio NOUN cjfa-12563 140 22 value value NOUN cjfa-12563 140 23 ( ( PUNCT cjfa-12563 140 24 or or CCONJ cjfa-12563 140 25 maximum maximum ADJ cjfa-12563 140 26 loss loss NOUN cjfa-12563 140 27 ) ) PUNCT cjfa-12563 140 28 over over ADP cjfa-12563 140 29 a a DET cjfa-12563 140 30 given give VERB cjfa-12563 140 31 holding hold VERB cjfa-12563 140 32 period period NOUN cjfa-12563 140 33 and and CCONJ cjfa-12563 140 34 with with ADP cjfa-12563 140 35 a a DET cjfa-12563 140 36 given give VERB cjfa-12563 140 37 level level NOUN cjfa-12563 140 38 of of ADP cjfa-12563 140 39 statistical statistical ADJ cjfa-12563 140 40 significance significance NOUN cjfa-12563 140 41 ( ( PUNCT cjfa-12563 140 42 i.e. i.e. X cjfa-12563 140 43 probability probability NOUN cjfa-12563 140 44 ) ) PUNCT cjfa-12563 140 45 . . PUNCT cjfa-12563 141 1 it it PRON cjfa-12563 141 2 can can AUX cjfa-12563 141 3 be be AUX cjfa-12563 141 4 derived derive VERB cjfa-12563 141 5 based base VERB cjfa-12563 141 6 on on ADP cjfa-12563 141 7 the the DET cjfa-12563 141 8 historical historical ADJ cjfa-12563 141 9 distribution distribution NOUN cjfa-12563 141 10 of of ADP cjfa-12563 141 11 the the DET cjfa-12563 141 12 portfolio portfolio NOUN cjfa-12563 141 13 value value NOUN cjfa-12563 141 14 ( ( PUNCT cjfa-12563 141 15 or or CCONJ cjfa-12563 141 16 the the DET cjfa-12563 141 17 portfolio portfolio NOUN cjfa-12563 141 18 return return NOUN cjfa-12563 141 19 ) ) PUNCT cjfa-12563 141 20 , , PUNCT cjfa-12563 141 21 in in ADP cjfa-12563 141 22 which which DET cjfa-12563 141 23 case case NOUN cjfa-12563 141 24 it it PRON cjfa-12563 141 25 captures capture VERB cjfa-12563 141 26 the the DET cjfa-12563 141 27 covariation covariation NOUN cjfa-12563 141 28 of of ADP cjfa-12563 141 29 different different ADJ cjfa-12563 141 30 portfolio portfolio NOUN cjfa-12563 141 31 components component NOUN cjfa-12563 141 32 , , PUNCT cjfa-12563 141 33 including include VERB cjfa-12563 141 34 non non ADJ cjfa-12563 141 35 - - ADJ cjfa-12563 141 36 linear linear ADJ cjfa-12563 141 37 interdependencies interdependency NOUN cjfa-12563 141 38 . . PUNCT cjfa-12563 142 1 alternatively alternatively ADV cjfa-12563 142 2 , , PUNCT cjfa-12563 142 3 it it PRON cjfa-12563 142 4 can can AUX cjfa-12563 142 5 be be AUX cjfa-12563 142 6 assumed assume VERB cjfa-12563 142 7 that that SCONJ cjfa-12563 142 8 the the DET cjfa-12563 142 9 portfolio portfolio NOUN cjfa-12563 142 10 value value NOUN cjfa-12563 142 11 follows follow VERB cjfa-12563 142 12 a a DET cjfa-12563 142 13 multivariate multivariate NOUN cjfa-12563 142 14 normal normal ADJ cjfa-12563 142 15 distribution distribution NOUN cjfa-12563 142 16 with with ADP cjfa-12563 142 17 only only ADJ cjfa-12563 142 18 linear linear ADJ cjfa-12563 142 19 dependencies dependency NOUN cjfa-12563 142 20 among among ADP cjfa-12563 142 21 the the DET cjfa-12563 142 22 underlying underlie VERB cjfa-12563 142 23 risk risk NOUN cjfa-12563 142 24 factors factor NOUN cjfa-12563 142 25 . . PUNCT cjfa-12563 143 1 this this DET cjfa-12563 143 2 latter latter ADJ cjfa-12563 143 3 version version NOUN cjfa-12563 143 4 is be AUX cjfa-12563 143 5 the the DET cjfa-12563 143 6 original original ADJ cjfa-12563 143 7 jp jp NOUN cjfa-12563 143 8 morgan morgan PROPN cjfa-12563 143 9 approach approach PROPN cjfa-12563 143 10 . . PUNCT cjfa-12563 144 1 however however ADV cjfa-12563 144 2 , , PUNCT cjfa-12563 144 3 given give VERB cjfa-12563 144 4 that that PRON cjfa-12563 144 5 return return NOUN cjfa-12563 144 6 series series NOUN cjfa-12563 144 7 generally generally ADV cjfa-12563 144 8 violate violate VERB cjfa-12563 144 9 the the DET cjfa-12563 144 10 normal normal ADJ cjfa-12563 144 11 assumption assumption NOUN cjfa-12563 144 12 and and CCONJ cjfa-12563 144 13 exhibit exhibit VERB cjfa-12563 144 14 non non ADJ cjfa-12563 144 15 - - ADJ cjfa-12563 144 16 linear linear ADJ cjfa-12563 144 17 dependencies dependency NOUN cjfa-12563 144 18 , , PUNCT cjfa-12563 144 19 we we PRON cjfa-12563 144 20 favour favour VERB cjfa-12563 144 21 the the DET cjfa-12563 144 22 historical historical ADJ cjfa-12563 144 23 distribution distribution NOUN cjfa-12563 144 24 approach approach NOUN cjfa-12563 144 25 , , PUNCT cjfa-12563 144 26 even even ADV cjfa-12563 144 27 though though SCONJ cjfa-12563 144 28 it it PRON cjfa-12563 144 29 requires require VERB cjfa-12563 144 30 a a DET cjfa-12563 144 31 larger large ADJ cjfa-12563 144 32 dataset dataset NOUN cjfa-12563 144 33 and and CCONJ cjfa-12563 144 34 implicitly implicitly ADV cjfa-12563 144 35 assumes assume VERB cjfa-12563 144 36 that that SCONJ cjfa-12563 144 37 the the DET cjfa-12563 144 38 past past NOUN cjfa-12563 144 39 is be AUX cjfa-12563 144 40 an an DET cjfa-12563 144 41 adequate adequate ADJ cjfa-12563 144 42 predictor predictor NOUN cjfa-12563 144 43 of of ADP cjfa-12563 144 44 the the DET cjfa-12563 144 45 future future NOUN cjfa-12563 144 46 . . PUNCT cjfa-12563 145 1 the the DET cjfa-12563 145 2 historical historical ADJ cjfa-12563 145 3 distribution distribution NOUN cjfa-12563 145 4 - - PUNCT cjfa-12563 145 5 based base VERB cjfa-12563 145 6 var var NOUN cjfa-12563 145 7 has have VERB cjfa-12563 145 8 three three NUM cjfa-12563 145 9 major major ADJ cjfa-12563 145 10 advantages advantage NOUN cjfa-12563 145 11 over over ADP cjfa-12563 145 12 the the DET cjfa-12563 145 13 portfolio portfolio NOUN cjfa-12563 145 14 risk risk NOUN cjfa-12563 145 15 measure measure NOUN cjfa-12563 145 16 in in ADP cjfa-12563 145 17 the the DET cjfa-12563 145 18 markowitz markowitz PROPN cjfa-12563 145 19 ( ( PUNCT cjfa-12563 145 20 1952 1952 NUM cjfa-12563 145 21 ) ) PUNCT cjfa-12563 145 22 world world NOUN cjfa-12563 145 23 : : PUNCT cjfa-12563 145 24 1 1 X cjfa-12563 145 25 ) ) PUNCT cjfa-12563 145 26 the the DET cjfa-12563 145 27 var var NOUN cjfa-12563 145 28 covers cover VERB cjfa-12563 145 29 all all DET cjfa-12563 145 30 dependencies dependency NOUN cjfa-12563 145 31 among among ADP cjfa-12563 145 32 the the DET cjfa-12563 145 33 portfolio portfolio NOUN cjfa-12563 145 34 components component NOUN cjfa-12563 145 35 , , PUNCT cjfa-12563 145 36 including include VERB cjfa-12563 145 37 nonlinear nonlinear ADJ cjfa-12563 145 38 covariation covariation NOUN cjfa-12563 145 39 . . PUNCT cjfa-12563 146 1 2 2 NUM cjfa-12563 146 2 ) ) PUNCT cjfa-12563 146 3 the the DET cjfa-12563 146 4 portfolio portfolio NOUN cjfa-12563 146 5 value value NOUN cjfa-12563 146 6 ( ( PUNCT cjfa-12563 146 7 or or CCONJ cjfa-12563 146 8 return return NOUN cjfa-12563 146 9 ) ) PUNCT cjfa-12563 146 10 does do AUX cjfa-12563 146 11 not not PART cjfa-12563 146 12 have have VERB cjfa-12563 146 13 to to PART cjfa-12563 146 14 follow follow VERB cjfa-12563 146 15 a a DET cjfa-12563 146 16 normal normal ADJ cjfa-12563 146 17 distribution distribution NOUN cjfa-12563 146 18 , , PUNCT cjfa-12563 146 19 which which PRON cjfa-12563 146 20 is be AUX cjfa-12563 146 21 implicitly implicitly ADV cjfa-12563 146 22 assumed assume VERB cjfa-12563 146 23 in in ADP cjfa-12563 146 24 the the DET cjfa-12563 146 25 mean mean ADJ cjfa-12563 146 26 - - PUNCT cjfa-12563 146 27 variance variance NOUN cjfa-12563 146 28 - - PUNCT cjfa-12563 146 29 universe universe NOUN cjfa-12563 146 30 of of ADP cjfa-12563 146 31 markowitz markowitz PROPN cjfa-12563 146 32 ( ( PUNCT cjfa-12563 146 33 1952 1952 NUM cjfa-12563 146 34 ) ) PUNCT cjfa-12563 146 35 . . PUNCT cjfa-12563 147 1 empirically empirically ADV cjfa-12563 147 2 , , PUNCT cjfa-12563 147 3 and and CCONJ cjfa-12563 147 4 therefore therefore ADV cjfa-12563 147 5 where where SCONJ cjfa-12563 147 6 � � PROPN cjfa-12563 147 7 � � PROPN cjfa-12563 147 8 � � PROPN cjfa-12563 147 9 is be AUX cjfa-12563 147 10 the the DET cjfa-12563 147 11 covariance covariance NOUN cjfa-12563 147 12 between between ADP cjfa-12563 147 13 securities security NOUN cjfa-12563 147 14 i i PROPN cjfa-12563 147 15 and and CCONJ cjfa-12563 147 16 j. j. PROPN cjfa-12563 147 17 a a DET cjfa-12563 147 18 standardised standardised ADJ cjfa-12563 147 19 measure measure NOUN cjfa-12563 147 20 of of ADP cjfa-12563 147 21 the the DET cjfa-12563 147 22 covariance covariance NOUN cjfa-12563 147 23 � � PROPN cjfa-12563 147 24 � � PROPN cjfa-12563 147 25 � � PROPN cjfa-12563 147 26 is be AUX cjfa-12563 147 27 the the DET cjfa-12563 147 28 correlation correlation NOUN cjfa-12563 147 29 coefficient coefficient NOUN cjfa-12563 147 30 � � PROPN cjfa-12563 147 31 � � PROPN cjfa-12563 147 32 � � PROPN cjfa-12563 147 33 , , PUNCT cjfa-12563 147 34 with with ADP cjfa-12563 147 35 � � PROPN cjfa-12563 147 36 � � PROPN cjfa-12563 147 37 � � PROPN cjfa-12563 147 38 = = SYM cjfa-12563 147 39 � � PROPN cjfa-12563 147 40 � � PROPN cjfa-12563 147 41 � � PROPN cjfa-12563 147 42 � � PROPN cjfa-12563 147 43 � � PROPN cjfa-12563 147 44 � � PROPN cjfa-12563 147 45 � � PROPN cjfa-12563 147 46 � � PROPN cjfa-12563 147 47 and and CCONJ cjfa-12563 147 48 therefore therefore ADV cjfa-12563 147 49 � � PROPN cjfa-12563 147 50 1 1 NUM cjfa-12563 147 51 ≤ ≤ NUM cjfa-12563 147 52 � � PROPN cjfa-12563 147 53 � � PROPN cjfa-12563 147 54 � � PROPN cjfa-12563 147 55 � � PROPN cjfa-12563 147 56 ≤ ≤ PROPN cjfa-12563 147 57 +1 +1 PROPN cjfa-12563 147 58 . . PUNCT cjfa-12563 148 1 the the DET cjfa-12563 148 2 expected expect VERB cjfa-12563 148 3 portfolio portfolio NOUN cjfa-12563 148 4 variance variance NOUN cjfa-12563 148 5 then then ADV cjfa-12563 148 6 becomes become VERB cjfa-12563 148 7 � � PROPN cjfa-12563 148 8 � � PROPN cjfa-12563 148 9 2 2 NUM cjfa-12563 148 10 = = SYM cjfa-12563 148 11 � � PROPN cjfa-12563 148 12 � � PROPN cjfa-12563 148 13 � � PROPN cjfa-12563 148 14 2 2 NUM cjfa-12563 148 15 � � PROPN cjfa-12563 148 16 � � NOUN cjfa-12563 148 17 2 2 NUM cjfa-12563 148 18 + + SYM cjfa-12563 148 19 2 2 NUM cjfa-12563 148 20 � � PROPN cjfa-12563 148 21 � � PROPN cjfa-12563 148 22 � � PROPN cjfa-12563 148 23 � � PROPN cjfa-12563 148 24 � � PROPN cjfa-12563 148 25 � � PROPN cjfa-12563 148 26 � � PROPN cjfa-12563 148 27 � � PROPN cjfa-12563 148 28 � � PROPN cjfa-12563 148 29 � � PROPN cjfa-12563 148 30 � � PROPN cjfa-12563 148 31 � � PROPN cjfa-12563 148 32 � � PROPN cjfa-12563 148 33 � � PROPN cjfa-12563 148 34 � � PROPN cjfa-12563 148 35 � � PROPN cjfa-12563 148 36 � � PROPN cjfa-12563 148 37 � � PROPN cjfa-12563 148 38 the the DET cjfa-12563 148 39 covariances covariance NOUN cjfa-12563 148 40 and and CCONJ cjfa-12563 148 41 hence hence ADV cjfa-12563 148 42 correlation correlation NOUN cjfa-12563 148 43 coefficients coefficient NOUN cjfa-12563 148 44 only only ADV cjfa-12563 148 45 cover cover VERB cjfa-12563 148 46 linear linear ADJ cjfa-12563 148 47 dependencies dependency NOUN cjfa-12563 148 48 between between ADP cjfa-12563 148 49 return return NOUN cjfa-12563 148 50 series series NOUN cjfa-12563 148 51 . . PUNCT cjfa-12563 149 1 as as ADP cjfa-12563 149 2 a a DET cjfa-12563 149 3 result result NOUN cjfa-12563 149 4 , , PUNCT cjfa-12563 149 5 the the DET cjfa-12563 149 6 portfolio portfolio NOUN cjfa-12563 149 7 risk risk NOUN cjfa-12563 149 8 estimate estimate NOUN cjfa-12563 149 9 is be AUX cjfa-12563 149 10 systematically systematically ADV cjfa-12563 149 11 biased bias VERB cjfa-12563 149 12 . . PUNCT cjfa-12563 150 1 moreover moreover ADV cjfa-12563 150 2 , , PUNCT cjfa-12563 150 3 returns return NOUN cjfa-12563 150 4 often often ADV cjfa-12563 150 5 exhibit exhibit VERB cjfa-12563 150 6 positive positive ADJ cjfa-12563 150 7 left left ADJ cjfa-12563 150 8 - - PUNCT cjfa-12563 150 9 tail tail NOUN cjfa-12563 150 10 dependence dependence NOUN cjfa-12563 150 11 , , PUNCT cjfa-12563 150 12 which which PRON cjfa-12563 150 13 means mean VERB cjfa-12563 150 14 that that SCONJ cjfa-12563 150 15 one one NUM cjfa-12563 150 16 return return NOUN cjfa-12563 150 17 will will AUX cjfa-12563 150 18 more more ADV cjfa-12563 150 19 likely likely ADV cjfa-12563 150 20 perform perform VERB cjfa-12563 150 21 poorly poorly ADV cjfa-12563 150 22 when when SCONJ cjfa-12563 150 23 another another PRON cjfa-12563 150 24 already already ADV cjfa-12563 150 25 is be AUX cjfa-12563 150 26 performing perform VERB cjfa-12563 150 27 badly badly ADV cjfa-12563 150 28 . . PUNCT cjfa-12563 151 1 this this DET cjfa-12563 151 2 phenomenon phenomenon NOUN cjfa-12563 151 3 is be AUX cjfa-12563 151 4 neither neither CCONJ cjfa-12563 151 5 covered cover VERB cjfa-12563 151 6 by by ADP cjfa-12563 151 7 the the DET cjfa-12563 151 8 covariance covariance NOUN cjfa-12563 151 9 nor nor CCONJ cjfa-12563 151 10 by by ADP cjfa-12563 151 11 the the DET cjfa-12563 151 12 implicit implicit ADJ cjfa-12563 151 13 normal normal ADJ cjfa-12563 151 14 assumption assumption NOUN cjfa-12563 151 15 . . PUNCT cjfa-12563 152 1 despite despite SCONJ cjfa-12563 152 2 these these DET cjfa-12563 152 3 insights insight NOUN cjfa-12563 152 4 , , PUNCT cjfa-12563 152 5 both both DET cjfa-12563 152 6 basel basel PROPN cjfa-12563 152 7 iii iii PROPN cjfa-12563 152 8 and and CCONJ cjfa-12563 152 9 solvency solvency PROPN cjfa-12563 152 10 ii ii NOUN cjfa-12563 152 11 rely rely VERB cjfa-12563 152 12 on on ADP cjfa-12563 152 13 correlation correlation NOUN cjfa-12563 152 14 coefficients coefficient NOUN cjfa-12563 152 15 to to PART cjfa-12563 152 16 estimate estimate VERB cjfa-12563 152 17 interdependencies interdependency NOUN cjfa-12563 152 18 of of ADP cjfa-12563 152 19 different different ADJ cjfa-12563 152 20 risks risk NOUN cjfa-12563 152 21 . . PUNCT cjfa-12563 153 1 furthermore furthermore ADV cjfa-12563 153 2 , , PUNCT cjfa-12563 153 3 investors investor NOUN cjfa-12563 153 4 ( ( PUNCT cjfa-12563 153 5 or or CCONJ cjfa-12563 153 6 , , PUNCT cjfa-12563 153 7 more more ADV cjfa-12563 153 8 generally generally ADV cjfa-12563 153 9 , , PUNCT cjfa-12563 153 10 stakeholders stakeholder NOUN cjfa-12563 153 11 ) ) PUNCT cjfa-12563 153 12 are be AUX cjfa-12563 153 13 concerned concerned ADJ cjfa-12563 153 14 about about ADP cjfa-12563 153 15 downside downside ADJ cjfa-12563 153 16 risk risk NOUN cjfa-12563 153 17 , , PUNCT cjfa-12563 153 18 whereas whereas SCONJ cjfa-12563 153 19 they they PRON cjfa-12563 153 20 usually usually ADV cjfa-12563 153 21 quite quite ADV cjfa-12563 153 22 enjoy enjoy VERB cjfa-12563 153 23 the the DET cjfa-12563 153 24 results result NOUN cjfa-12563 153 25 of of ADP cjfa-12563 153 26 upside upside ADJ cjfa-12563 153 27 risk risk NOUN cjfa-12563 153 28 . . PUNCT cjfa-12563 154 1 portfolio portfolio NOUN cjfa-12563 154 2 risk risk NOUN cjfa-12563 154 3 treats treat VERB cjfa-12563 154 4 both both DET cjfa-12563 154 5 risk risk NOUN cjfa-12563 154 6 directions direction NOUN cjfa-12563 154 7 equally equally ADV cjfa-12563 154 8 , , PUNCT cjfa-12563 154 9 whereas whereas SCONJ cjfa-12563 154 10 the the DET cjfa-12563 154 11 value value NOUN cjfa-12563 154 12 at at ADP cjfa-12563 154 13 risk risk NOUN cjfa-12563 154 14 is be AUX cjfa-12563 154 15 only only ADV cjfa-12563 154 16 concerned concerned ADJ cjfa-12563 154 17 with with ADP cjfa-12563 154 18 the the DET cjfa-12563 154 19 lower low ADJ cjfa-12563 154 20 tail tail NOUN cjfa-12563 154 21 of of ADP cjfa-12563 154 22 the the DET cjfa-12563 154 23 distribution distribution NOUN cjfa-12563 154 24 . . PUNCT cjfa-12563 155 1 value value NOUN cjfa-12563 155 2 at at ADP cjfa-12563 155 3 risk risk NOUN cjfa-12563 155 4 based base VERB cjfa-12563 155 5 on on ADP cjfa-12563 155 6 historical historical ADJ cjfa-12563 155 7 return return NOUN cjfa-12563 155 8 distribution distribution NOUN cjfa-12563 155 9 the the DET cjfa-12563 155 10 value value NOUN cjfa-12563 155 11 at at ADP cjfa-12563 155 12 risk risk NOUN cjfa-12563 155 13 ( ( PUNCT cjfa-12563 155 14 var var NOUN cjfa-12563 155 15 ) ) PUNCT cjfa-12563 155 16 is be AUX cjfa-12563 155 17 defined define VERB cjfa-12563 155 18 as as ADP cjfa-12563 155 19 the the DET cjfa-12563 155 20 minimum minimum ADJ cjfa-12563 155 21 portfolio portfolio NOUN cjfa-12563 155 22 value value NOUN cjfa-12563 155 23 ( ( PUNCT cjfa-12563 155 24 or or CCONJ cjfa-12563 155 25 maximum maximum ADJ cjfa-12563 155 26 loss loss NOUN cjfa-12563 155 27 ) ) PUNCT cjfa-12563 155 28 over over ADP cjfa-12563 155 29 a a DET cjfa-12563 155 30 given give VERB cjfa-12563 155 31 holding hold VERB cjfa-12563 155 32 period period NOUN cjfa-12563 155 33 and and CCONJ cjfa-12563 155 34 with with ADP cjfa-12563 155 35 a a DET cjfa-12563 155 36 given give VERB cjfa-12563 155 37 level level NOUN cjfa-12563 155 38 of of ADP cjfa-12563 155 39 statistical statistical ADJ cjfa-12563 155 40 significance significance NOUN cjfa-12563 155 41 ( ( PUNCT cjfa-12563 155 42 i.e. i.e. X cjfa-12563 155 43 probability probability NOUN cjfa-12563 155 44 ) ) PUNCT cjfa-12563 155 45 . . PUNCT cjfa-12563 156 1 it it PRON cjfa-12563 156 2 can can AUX cjfa-12563 156 3 be be AUX cjfa-12563 156 4 derived derive VERB cjfa-12563 156 5 based base VERB cjfa-12563 156 6 on on ADP cjfa-12563 156 7 the the DET cjfa-12563 156 8 historical historical ADJ cjfa-12563 156 9 distribution distribution NOUN cjfa-12563 156 10 of of ADP cjfa-12563 156 11 the the DET cjfa-12563 156 12 portfolio portfolio NOUN cjfa-12563 156 13 value value NOUN cjfa-12563 156 14 ( ( PUNCT cjfa-12563 156 15 or or CCONJ cjfa-12563 156 16 the the DET cjfa-12563 156 17 portfolio portfolio NOUN cjfa-12563 156 18 return return NOUN cjfa-12563 156 19 ) ) PUNCT cjfa-12563 156 20 , , PUNCT cjfa-12563 156 21 in in ADP cjfa-12563 156 22 which which DET cjfa-12563 156 23 case case NOUN cjfa-12563 156 24 it it PRON cjfa-12563 156 25 captures capture VERB cjfa-12563 156 26 the the DET cjfa-12563 156 27 covariation covariation NOUN cjfa-12563 156 28 of of ADP cjfa-12563 156 29 different different ADJ cjfa-12563 156 30 portfolio portfolio NOUN cjfa-12563 156 31 components component NOUN cjfa-12563 156 32 , , PUNCT cjfa-12563 156 33 including include VERB cjfa-12563 156 34 non non ADJ cjfa-12563 156 35 - - ADJ cjfa-12563 156 36 linear linear ADJ cjfa-12563 156 37 interdependencies interdependency NOUN cjfa-12563 156 38 . . PUNCT cjfa-12563 157 1 alternatively alternatively ADV cjfa-12563 157 2 , , PUNCT cjfa-12563 157 3 it it PRON cjfa-12563 157 4 can can AUX cjfa-12563 157 5 be be AUX cjfa-12563 157 6 assumed assume VERB cjfa-12563 157 7 that that SCONJ cjfa-12563 157 8 the the DET cjfa-12563 157 9 portfolio portfolio NOUN cjfa-12563 157 10 value value NOUN cjfa-12563 157 11 follows follow VERB cjfa-12563 157 12 a a DET cjfa-12563 157 13 multivariate multivariate NOUN cjfa-12563 157 14 normal normal ADJ cjfa-12563 157 15 distribution distribution NOUN cjfa-12563 157 16 with with ADP cjfa-12563 157 17 only only ADJ cjfa-12563 157 18 linear linear ADJ cjfa-12563 157 19 dependencies dependency NOUN cjfa-12563 157 20 among among ADP cjfa-12563 157 21 the the DET cjfa-12563 157 22 underlying underlie VERB cjfa-12563 157 23 risk risk NOUN cjfa-12563 157 24 factors factor NOUN cjfa-12563 157 25 . . PUNCT cjfa-12563 158 1 this this DET cjfa-12563 158 2 latter latter ADJ cjfa-12563 158 3 version version NOUN cjfa-12563 158 4 is be AUX cjfa-12563 158 5 the the DET cjfa-12563 158 6 original original ADJ cjfa-12563 158 7 jp jp NOUN cjfa-12563 158 8 morgan morgan PROPN cjfa-12563 158 9 approach approach PROPN cjfa-12563 158 10 . . PUNCT cjfa-12563 159 1 however however ADV cjfa-12563 159 2 , , PUNCT cjfa-12563 159 3 given give VERB cjfa-12563 159 4 that that PRON cjfa-12563 159 5 return return NOUN cjfa-12563 159 6 series series NOUN cjfa-12563 159 7 generally generally ADV cjfa-12563 159 8 violate violate VERB cjfa-12563 159 9 the the DET cjfa-12563 159 10 normal normal ADJ cjfa-12563 159 11 assumption assumption NOUN cjfa-12563 159 12 and and CCONJ cjfa-12563 159 13 exhibit exhibit VERB cjfa-12563 159 14 non non ADJ cjfa-12563 159 15 - - ADJ cjfa-12563 159 16 linear linear ADJ cjfa-12563 159 17 dependencies dependency NOUN cjfa-12563 159 18 , , PUNCT cjfa-12563 159 19 we we PRON cjfa-12563 159 20 favour favour VERB cjfa-12563 159 21 the the DET cjfa-12563 159 22 historical historical ADJ cjfa-12563 159 23 distribution distribution NOUN cjfa-12563 159 24 approach approach NOUN cjfa-12563 159 25 , , PUNCT cjfa-12563 159 26 even even ADV cjfa-12563 159 27 though though SCONJ cjfa-12563 159 28 it it PRON cjfa-12563 159 29 requires require VERB cjfa-12563 159 30 a a DET cjfa-12563 159 31 larger large ADJ cjfa-12563 159 32 dataset dataset NOUN cjfa-12563 159 33 and and CCONJ cjfa-12563 159 34 implicitly implicitly ADV cjfa-12563 159 35 assumes assume VERB cjfa-12563 159 36 that that SCONJ cjfa-12563 159 37 the the DET cjfa-12563 159 38 past past NOUN cjfa-12563 159 39 is be AUX cjfa-12563 159 40 an an DET cjfa-12563 159 41 adequate adequate ADJ cjfa-12563 159 42 predictor predictor NOUN cjfa-12563 159 43 of of ADP cjfa-12563 159 44 the the DET cjfa-12563 159 45 future future NOUN cjfa-12563 159 46 . . PUNCT cjfa-12563 160 1 the the DET cjfa-12563 160 2 historical historical ADJ cjfa-12563 160 3 distribution distribution NOUN cjfa-12563 160 4 - - PUNCT cjfa-12563 160 5 based base VERB cjfa-12563 160 6 var var NOUN cjfa-12563 160 7 has have VERB cjfa-12563 160 8 three three NUM cjfa-12563 160 9 major major ADJ cjfa-12563 160 10 advantages advantage NOUN cjfa-12563 160 11 over over ADP cjfa-12563 160 12 the the DET cjfa-12563 160 13 portfolio portfolio NOUN cjfa-12563 160 14 risk risk NOUN cjfa-12563 160 15 measure measure NOUN cjfa-12563 160 16 in in ADP cjfa-12563 160 17 the the DET cjfa-12563 160 18 markowitz markowitz PROPN cjfa-12563 160 19 ( ( PUNCT cjfa-12563 160 20 1952 1952 NUM cjfa-12563 160 21 ) ) PUNCT cjfa-12563 160 22 world world NOUN cjfa-12563 160 23 : : PUNCT cjfa-12563 160 24 1 1 X cjfa-12563 160 25 ) ) PUNCT cjfa-12563 160 26 the the DET cjfa-12563 160 27 var var NOUN cjfa-12563 160 28 covers cover VERB cjfa-12563 160 29 all all DET cjfa-12563 160 30 dependencies dependency NOUN cjfa-12563 160 31 among among ADP cjfa-12563 160 32 the the DET cjfa-12563 160 33 portfolio portfolio NOUN cjfa-12563 160 34 components component NOUN cjfa-12563 160 35 , , PUNCT cjfa-12563 160 36 including include VERB cjfa-12563 160 37 nonlinear nonlinear ADJ cjfa-12563 160 38 covariation covariation NOUN cjfa-12563 160 39 . . PUNCT cjfa-12563 161 1 2 2 NUM cjfa-12563 161 2 ) ) PUNCT cjfa-12563 161 3 the the DET cjfa-12563 161 4 portfolio portfolio NOUN cjfa-12563 161 5 value value NOUN cjfa-12563 161 6 ( ( PUNCT cjfa-12563 161 7 or or CCONJ cjfa-12563 161 8 return return NOUN cjfa-12563 161 9 ) ) PUNCT cjfa-12563 161 10 does do AUX cjfa-12563 161 11 not not PART cjfa-12563 161 12 have have VERB cjfa-12563 161 13 to to PART cjfa-12563 161 14 follow follow VERB cjfa-12563 161 15 a a DET cjfa-12563 161 16 normal normal ADJ cjfa-12563 161 17 distribution distribution NOUN cjfa-12563 161 18 , , PUNCT cjfa-12563 161 19 which which PRON cjfa-12563 161 20 is be AUX cjfa-12563 161 21 implicitly implicitly ADV cjfa-12563 161 22 assumed assume VERB cjfa-12563 161 23 in in ADP cjfa-12563 161 24 the the DET cjfa-12563 161 25 mean mean ADJ cjfa-12563 161 26 - - PUNCT cjfa-12563 161 27 variance variance NOUN cjfa-12563 161 28 - - PUNCT cjfa-12563 161 29 universe universe NOUN cjfa-12563 161 30 of of ADP cjfa-12563 161 31 markowitz markowitz PROPN cjfa-12563 161 32 ( ( PUNCT cjfa-12563 161 33 1952 1952 NUM cjfa-12563 161 34 ) ) PUNCT cjfa-12563 161 35 . . PUNCT cjfa-12563 162 1 empirically empirically ADV cjfa-12563 162 2 , , PUNCT cjfa-12563 162 3 . . PUNCT cjfa-12563 163 1 the the DET cjfa-12563 163 2 expected expect VERB cjfa-12563 163 3 portfolio portfolio NOUN cjfa-12563 163 4 variance variance NOUN cjfa-12563 163 5 then then ADV cjfa-12563 163 6 becomes become VERB cjfa-12563 163 7 : : PUNCT cjfa-12563 163 8 where where SCONJ cjfa-12563 163 9 � � PROPN cjfa-12563 163 10 � � PROPN cjfa-12563 163 11 � � PROPN cjfa-12563 163 12 is be AUX cjfa-12563 163 13 the the DET cjfa-12563 163 14 covariance covariance NOUN cjfa-12563 163 15 between between ADP cjfa-12563 163 16 securities security NOUN cjfa-12563 163 17 i i PROPN cjfa-12563 163 18 and and CCONJ cjfa-12563 163 19 j. j. PROPN cjfa-12563 163 20 a a DET cjfa-12563 163 21 standardised standardised ADJ cjfa-12563 163 22 measure measure NOUN cjfa-12563 163 23 of of ADP cjfa-12563 163 24 the the DET cjfa-12563 163 25 covariance covariance NOUN cjfa-12563 163 26 � � PROPN cjfa-12563 163 27 � � PROPN cjfa-12563 163 28 � � PROPN cjfa-12563 163 29 is be AUX cjfa-12563 163 30 the the DET cjfa-12563 163 31 correlation correlation NOUN cjfa-12563 163 32 coefficient coefficient NOUN cjfa-12563 163 33 � � PROPN cjfa-12563 163 34 � � PROPN cjfa-12563 163 35 � � PROPN cjfa-12563 163 36 , , PUNCT cjfa-12563 163 37 with with ADP cjfa-12563 163 38 � � PROPN cjfa-12563 163 39 � � PROPN cjfa-12563 163 40 � � PROPN cjfa-12563 163 41 = = SYM cjfa-12563 163 42 � � PROPN cjfa-12563 163 43 � � PROPN cjfa-12563 163 44 � � PROPN cjfa-12563 163 45 � � PROPN cjfa-12563 163 46 � � PROPN cjfa-12563 163 47 � � PROPN cjfa-12563 163 48 � � PROPN cjfa-12563 163 49 � � PROPN cjfa-12563 163 50 and and CCONJ cjfa-12563 163 51 therefore therefore ADV cjfa-12563 163 52 � � PROPN cjfa-12563 163 53 1 1 NUM cjfa-12563 163 54 ≤ ≤ NUM cjfa-12563 163 55 � � PROPN cjfa-12563 163 56 � � PROPN cjfa-12563 163 57 � � PROPN cjfa-12563 163 58 � � PROPN cjfa-12563 163 59 ≤ ≤ PROPN cjfa-12563 163 60 +1 +1 PROPN cjfa-12563 163 61 . . PUNCT cjfa-12563 164 1 the the DET cjfa-12563 164 2 expected expect VERB cjfa-12563 164 3 portfolio portfolio NOUN cjfa-12563 164 4 variance variance NOUN cjfa-12563 164 5 then then ADV cjfa-12563 164 6 becomes become VERB cjfa-12563 164 7 � � PROPN cjfa-12563 164 8 � � PROPN cjfa-12563 164 9 2 2 NUM cjfa-12563 164 10 = = SYM cjfa-12563 164 11 � � PROPN cjfa-12563 164 12 � � PROPN cjfa-12563 164 13 � � PROPN cjfa-12563 164 14 2 2 NUM cjfa-12563 164 15 � � PROPN cjfa-12563 164 16 � � NOUN cjfa-12563 164 17 2 2 NUM cjfa-12563 164 18 + + SYM cjfa-12563 164 19 2 2 NUM cjfa-12563 164 20 � � PROPN cjfa-12563 164 21 � � PROPN cjfa-12563 164 22 � � PROPN cjfa-12563 164 23 � � PROPN cjfa-12563 164 24 � � PROPN cjfa-12563 164 25 � � PROPN cjfa-12563 164 26 � � PROPN cjfa-12563 164 27 � � PROPN cjfa-12563 164 28 � � PROPN cjfa-12563 164 29 � � PROPN cjfa-12563 164 30 � � PROPN cjfa-12563 164 31 � � PROPN cjfa-12563 164 32 � � PROPN cjfa-12563 164 33 � � PROPN cjfa-12563 164 34 � � PROPN cjfa-12563 164 35 � � PROPN cjfa-12563 164 36 � � PROPN cjfa-12563 164 37 � � PROPN cjfa-12563 164 38 the the DET cjfa-12563 164 39 covariances covariance NOUN cjfa-12563 164 40 and and CCONJ cjfa-12563 164 41 hence hence ADV cjfa-12563 164 42 correlation correlation NOUN cjfa-12563 164 43 coefficients coefficient NOUN cjfa-12563 164 44 only only ADV cjfa-12563 164 45 cover cover VERB cjfa-12563 164 46 linear linear ADJ cjfa-12563 164 47 dependencies dependency NOUN cjfa-12563 164 48 between between ADP cjfa-12563 164 49 return return NOUN cjfa-12563 164 50 series series NOUN cjfa-12563 164 51 . . PUNCT cjfa-12563 165 1 as as ADP cjfa-12563 165 2 a a DET cjfa-12563 165 3 result result NOUN cjfa-12563 165 4 , , PUNCT cjfa-12563 165 5 the the DET cjfa-12563 165 6 portfolio portfolio NOUN cjfa-12563 165 7 risk risk NOUN cjfa-12563 165 8 estimate estimate NOUN cjfa-12563 165 9 is be AUX cjfa-12563 165 10 systematically systematically ADV cjfa-12563 165 11 biased bias VERB cjfa-12563 165 12 . . PUNCT cjfa-12563 166 1 moreover moreover ADV cjfa-12563 166 2 , , PUNCT cjfa-12563 166 3 returns return NOUN cjfa-12563 166 4 often often ADV cjfa-12563 166 5 exhibit exhibit VERB cjfa-12563 166 6 positive positive ADJ cjfa-12563 166 7 left left ADJ cjfa-12563 166 8 - - PUNCT cjfa-12563 166 9 tail tail NOUN cjfa-12563 166 10 dependence dependence NOUN cjfa-12563 166 11 , , PUNCT cjfa-12563 166 12 which which PRON cjfa-12563 166 13 means mean VERB cjfa-12563 166 14 that that SCONJ cjfa-12563 166 15 one one NUM cjfa-12563 166 16 return return NOUN cjfa-12563 166 17 will will AUX cjfa-12563 166 18 more more ADV cjfa-12563 166 19 likely likely ADV cjfa-12563 166 20 perform perform VERB cjfa-12563 166 21 poorly poorly ADV cjfa-12563 166 22 when when SCONJ cjfa-12563 166 23 another another PRON cjfa-12563 166 24 already already ADV cjfa-12563 166 25 is be AUX cjfa-12563 166 26 performing perform VERB cjfa-12563 166 27 badly badly ADV cjfa-12563 166 28 . . PUNCT cjfa-12563 167 1 this this DET cjfa-12563 167 2 phenomenon phenomenon NOUN cjfa-12563 167 3 is be AUX cjfa-12563 167 4 neither neither CCONJ cjfa-12563 167 5 covered cover VERB cjfa-12563 167 6 by by ADP cjfa-12563 167 7 the the DET cjfa-12563 167 8 covariance covariance NOUN cjfa-12563 167 9 nor nor CCONJ cjfa-12563 167 10 by by ADP cjfa-12563 167 11 the the DET cjfa-12563 167 12 implicit implicit ADJ cjfa-12563 167 13 normal normal ADJ cjfa-12563 167 14 assumption assumption NOUN cjfa-12563 167 15 . . PUNCT cjfa-12563 168 1 despite despite SCONJ cjfa-12563 168 2 these these DET cjfa-12563 168 3 insights insight NOUN cjfa-12563 168 4 , , PUNCT cjfa-12563 168 5 both both DET cjfa-12563 168 6 basel basel PROPN cjfa-12563 168 7 iii iii PROPN cjfa-12563 168 8 and and CCONJ cjfa-12563 168 9 solvency solvency PROPN cjfa-12563 168 10 ii ii NOUN cjfa-12563 168 11 rely rely VERB cjfa-12563 168 12 on on ADP cjfa-12563 168 13 correlation correlation NOUN cjfa-12563 168 14 coefficients coefficient NOUN cjfa-12563 168 15 to to PART cjfa-12563 168 16 estimate estimate VERB cjfa-12563 168 17 interdependencies interdependency NOUN cjfa-12563 168 18 of of ADP cjfa-12563 168 19 different different ADJ cjfa-12563 168 20 risks risk NOUN cjfa-12563 168 21 . . PUNCT cjfa-12563 169 1 furthermore furthermore ADV cjfa-12563 169 2 , , PUNCT cjfa-12563 169 3 investors investor NOUN cjfa-12563 169 4 ( ( PUNCT cjfa-12563 169 5 or or CCONJ cjfa-12563 169 6 , , PUNCT cjfa-12563 169 7 more more ADV cjfa-12563 169 8 generally generally ADV cjfa-12563 169 9 , , PUNCT cjfa-12563 169 10 stakeholders stakeholder NOUN cjfa-12563 169 11 ) ) PUNCT cjfa-12563 169 12 are be AUX cjfa-12563 169 13 concerned concerned ADJ cjfa-12563 169 14 about about ADP cjfa-12563 169 15 downside downside ADJ cjfa-12563 169 16 risk risk NOUN cjfa-12563 169 17 , , PUNCT cjfa-12563 169 18 whereas whereas SCONJ cjfa-12563 169 19 they they PRON cjfa-12563 169 20 usually usually ADV cjfa-12563 169 21 quite quite ADV cjfa-12563 169 22 enjoy enjoy VERB cjfa-12563 169 23 the the DET cjfa-12563 169 24 results result NOUN cjfa-12563 169 25 of of ADP cjfa-12563 169 26 upside upside ADJ cjfa-12563 169 27 risk risk NOUN cjfa-12563 169 28 . . PUNCT cjfa-12563 170 1 portfolio portfolio NOUN cjfa-12563 170 2 risk risk NOUN cjfa-12563 170 3 treats treat VERB cjfa-12563 170 4 both both DET cjfa-12563 170 5 risk risk NOUN cjfa-12563 170 6 directions direction NOUN cjfa-12563 170 7 equally equally ADV cjfa-12563 170 8 , , PUNCT cjfa-12563 170 9 whereas whereas SCONJ cjfa-12563 170 10 the the DET cjfa-12563 170 11 value value NOUN cjfa-12563 170 12 at at ADP cjfa-12563 170 13 risk risk NOUN cjfa-12563 170 14 is be AUX cjfa-12563 170 15 only only ADV cjfa-12563 170 16 concerned concerned ADJ cjfa-12563 170 17 with with ADP cjfa-12563 170 18 the the DET cjfa-12563 170 19 lower low ADJ cjfa-12563 170 20 tail tail NOUN cjfa-12563 170 21 of of ADP cjfa-12563 170 22 the the DET cjfa-12563 170 23 distribution distribution NOUN cjfa-12563 170 24 . . PUNCT cjfa-12563 171 1 value value NOUN cjfa-12563 171 2 at at ADP cjfa-12563 171 3 risk risk NOUN cjfa-12563 171 4 based base VERB cjfa-12563 171 5 on on ADP cjfa-12563 171 6 historical historical ADJ cjfa-12563 171 7 return return NOUN cjfa-12563 171 8 distribution distribution NOUN cjfa-12563 171 9 the the DET cjfa-12563 171 10 value value NOUN cjfa-12563 171 11 at at ADP cjfa-12563 171 12 risk risk NOUN cjfa-12563 171 13 ( ( PUNCT cjfa-12563 171 14 var var NOUN cjfa-12563 171 15 ) ) PUNCT cjfa-12563 171 16 is be AUX cjfa-12563 171 17 defined define VERB cjfa-12563 171 18 as as ADP cjfa-12563 171 19 the the DET cjfa-12563 171 20 minimum minimum ADJ cjfa-12563 171 21 portfolio portfolio NOUN cjfa-12563 171 22 value value NOUN cjfa-12563 171 23 ( ( PUNCT cjfa-12563 171 24 or or CCONJ cjfa-12563 171 25 maximum maximum ADJ cjfa-12563 171 26 loss loss NOUN cjfa-12563 171 27 ) ) PUNCT cjfa-12563 171 28 over over ADP cjfa-12563 171 29 a a DET cjfa-12563 171 30 given give VERB cjfa-12563 171 31 holding hold VERB cjfa-12563 171 32 period period NOUN cjfa-12563 171 33 and and CCONJ cjfa-12563 171 34 with with ADP cjfa-12563 171 35 a a DET cjfa-12563 171 36 given give VERB cjfa-12563 171 37 level level NOUN cjfa-12563 171 38 of of ADP cjfa-12563 171 39 statistical statistical ADJ cjfa-12563 171 40 significance significance NOUN cjfa-12563 171 41 ( ( PUNCT cjfa-12563 171 42 i.e. i.e. X cjfa-12563 171 43 probability probability NOUN cjfa-12563 171 44 ) ) PUNCT cjfa-12563 171 45 . . PUNCT cjfa-12563 172 1 it it PRON cjfa-12563 172 2 can can AUX cjfa-12563 172 3 be be AUX cjfa-12563 172 4 derived derive VERB cjfa-12563 172 5 based base VERB cjfa-12563 172 6 on on ADP cjfa-12563 172 7 the the DET cjfa-12563 172 8 historical historical ADJ cjfa-12563 172 9 distribution distribution NOUN cjfa-12563 172 10 of of ADP cjfa-12563 172 11 the the DET cjfa-12563 172 12 portfolio portfolio NOUN cjfa-12563 172 13 value value NOUN cjfa-12563 172 14 ( ( PUNCT cjfa-12563 172 15 or or CCONJ cjfa-12563 172 16 the the DET cjfa-12563 172 17 portfolio portfolio NOUN cjfa-12563 172 18 return return NOUN cjfa-12563 172 19 ) ) PUNCT cjfa-12563 172 20 , , PUNCT cjfa-12563 172 21 in in ADP cjfa-12563 172 22 which which DET cjfa-12563 172 23 case case NOUN cjfa-12563 172 24 it it PRON cjfa-12563 172 25 captures capture VERB cjfa-12563 172 26 the the DET cjfa-12563 172 27 covariation covariation NOUN cjfa-12563 172 28 of of ADP cjfa-12563 172 29 different different ADJ cjfa-12563 172 30 portfolio portfolio NOUN cjfa-12563 172 31 components component NOUN cjfa-12563 172 32 , , PUNCT cjfa-12563 172 33 including include VERB cjfa-12563 172 34 non non ADJ cjfa-12563 172 35 - - ADJ cjfa-12563 172 36 linear linear ADJ cjfa-12563 172 37 interdependencies interdependency NOUN cjfa-12563 172 38 . . PUNCT cjfa-12563 173 1 alternatively alternatively ADV cjfa-12563 173 2 , , PUNCT cjfa-12563 173 3 it it PRON cjfa-12563 173 4 can can AUX cjfa-12563 173 5 be be AUX cjfa-12563 173 6 assumed assume VERB cjfa-12563 173 7 that that SCONJ cjfa-12563 173 8 the the DET cjfa-12563 173 9 portfolio portfolio NOUN cjfa-12563 173 10 value value NOUN cjfa-12563 173 11 follows follow VERB cjfa-12563 173 12 a a DET cjfa-12563 173 13 multivariate multivariate NOUN cjfa-12563 173 14 normal normal ADJ cjfa-12563 173 15 distribution distribution NOUN cjfa-12563 173 16 with with ADP cjfa-12563 173 17 only only ADJ cjfa-12563 173 18 linear linear ADJ cjfa-12563 173 19 dependencies dependency NOUN cjfa-12563 173 20 among among ADP cjfa-12563 173 21 the the DET cjfa-12563 173 22 underlying underlie VERB cjfa-12563 173 23 risk risk NOUN cjfa-12563 173 24 factors factor NOUN cjfa-12563 173 25 . . PUNCT cjfa-12563 174 1 this this DET cjfa-12563 174 2 latter latter ADJ cjfa-12563 174 3 version version NOUN cjfa-12563 174 4 is be AUX cjfa-12563 174 5 the the DET cjfa-12563 174 6 original original ADJ cjfa-12563 174 7 jp jp NOUN cjfa-12563 174 8 morgan morgan PROPN cjfa-12563 174 9 approach approach PROPN cjfa-12563 174 10 . . PUNCT cjfa-12563 175 1 however however ADV cjfa-12563 175 2 , , PUNCT cjfa-12563 175 3 given give VERB cjfa-12563 175 4 that that PRON cjfa-12563 175 5 return return NOUN cjfa-12563 175 6 series series NOUN cjfa-12563 175 7 generally generally ADV cjfa-12563 175 8 violate violate VERB cjfa-12563 175 9 the the DET cjfa-12563 175 10 normal normal ADJ cjfa-12563 175 11 assumption assumption NOUN cjfa-12563 175 12 and and CCONJ cjfa-12563 175 13 exhibit exhibit VERB cjfa-12563 175 14 non non ADJ cjfa-12563 175 15 - - ADJ cjfa-12563 175 16 linear linear ADJ cjfa-12563 175 17 dependencies dependency NOUN cjfa-12563 175 18 , , PUNCT cjfa-12563 175 19 we we PRON cjfa-12563 175 20 favour favour VERB cjfa-12563 175 21 the the DET cjfa-12563 175 22 historical historical ADJ cjfa-12563 175 23 distribution distribution NOUN cjfa-12563 175 24 approach approach NOUN cjfa-12563 175 25 , , PUNCT cjfa-12563 175 26 even even ADV cjfa-12563 175 27 though though SCONJ cjfa-12563 175 28 it it PRON cjfa-12563 175 29 requires require VERB cjfa-12563 175 30 a a DET cjfa-12563 175 31 larger large ADJ cjfa-12563 175 32 dataset dataset NOUN cjfa-12563 175 33 and and CCONJ cjfa-12563 175 34 implicitly implicitly ADV cjfa-12563 175 35 assumes assume VERB cjfa-12563 175 36 that that SCONJ cjfa-12563 175 37 the the DET cjfa-12563 175 38 past past NOUN cjfa-12563 175 39 is be AUX cjfa-12563 175 40 an an DET cjfa-12563 175 41 adequate adequate ADJ cjfa-12563 175 42 predictor predictor NOUN cjfa-12563 175 43 of of ADP cjfa-12563 175 44 the the DET cjfa-12563 175 45 future future NOUN cjfa-12563 175 46 . . PUNCT cjfa-12563 176 1 the the DET cjfa-12563 176 2 historical historical ADJ cjfa-12563 176 3 distribution distribution NOUN cjfa-12563 176 4 - - PUNCT cjfa-12563 176 5 based base VERB cjfa-12563 176 6 var var NOUN cjfa-12563 176 7 has have VERB cjfa-12563 176 8 three three NUM cjfa-12563 176 9 major major ADJ cjfa-12563 176 10 advantages advantage NOUN cjfa-12563 176 11 over over ADP cjfa-12563 176 12 the the DET cjfa-12563 176 13 portfolio portfolio NOUN cjfa-12563 176 14 risk risk NOUN cjfa-12563 176 15 measure measure NOUN cjfa-12563 176 16 in in ADP cjfa-12563 176 17 the the DET cjfa-12563 176 18 markowitz markowitz PROPN cjfa-12563 176 19 ( ( PUNCT cjfa-12563 176 20 1952 1952 NUM cjfa-12563 176 21 ) ) PUNCT cjfa-12563 176 22 world world NOUN cjfa-12563 176 23 : : PUNCT cjfa-12563 176 24 1 1 X cjfa-12563 176 25 ) ) PUNCT cjfa-12563 176 26 the the DET cjfa-12563 176 27 var var NOUN cjfa-12563 176 28 covers cover VERB cjfa-12563 176 29 all all DET cjfa-12563 176 30 dependencies dependency NOUN cjfa-12563 176 31 among among ADP cjfa-12563 176 32 the the DET cjfa-12563 176 33 portfolio portfolio NOUN cjfa-12563 176 34 components component NOUN cjfa-12563 176 35 , , PUNCT cjfa-12563 176 36 including include VERB cjfa-12563 176 37 nonlinear nonlinear ADJ cjfa-12563 176 38 covariation covariation NOUN cjfa-12563 176 39 . . PUNCT cjfa-12563 177 1 2 2 NUM cjfa-12563 177 2 ) ) PUNCT cjfa-12563 177 3 the the DET cjfa-12563 177 4 portfolio portfolio NOUN cjfa-12563 177 5 value value NOUN cjfa-12563 177 6 ( ( PUNCT cjfa-12563 177 7 or or CCONJ cjfa-12563 177 8 return return NOUN cjfa-12563 177 9 ) ) PUNCT cjfa-12563 177 10 does do AUX cjfa-12563 177 11 not not PART cjfa-12563 177 12 have have VERB cjfa-12563 177 13 to to PART cjfa-12563 177 14 follow follow VERB cjfa-12563 177 15 a a DET cjfa-12563 177 16 normal normal ADJ cjfa-12563 177 17 distribution distribution NOUN cjfa-12563 177 18 , , PUNCT cjfa-12563 177 19 which which PRON cjfa-12563 177 20 is be AUX cjfa-12563 177 21 implicitly implicitly ADV cjfa-12563 177 22 assumed assume VERB cjfa-12563 177 23 in in ADP cjfa-12563 177 24 the the DET cjfa-12563 177 25 mean mean ADJ cjfa-12563 177 26 - - PUNCT cjfa-12563 177 27 variance variance NOUN cjfa-12563 177 28 - - PUNCT cjfa-12563 177 29 universe universe NOUN cjfa-12563 177 30 of of ADP cjfa-12563 177 31 markowitz markowitz PROPN cjfa-12563 177 32 ( ( PUNCT cjfa-12563 177 33 1952 1952 NUM cjfa-12563 177 34 ) ) PUNCT cjfa-12563 177 35 . . PUNCT cjfa-12563 178 1 empirically empirically ADV cjfa-12563 178 2 , , PUNCT cjfa-12563 178 3 . . PUNCT cjfa-12563 179 1 the the DET cjfa-12563 179 2 covariances covariance NOUN cjfa-12563 179 3 and and CCONJ cjfa-12563 179 4 hence hence ADV cjfa-12563 179 5 correlation correlation NOUN cjfa-12563 179 6 coefficients coefficient NOUN cjfa-12563 179 7 only only ADV cjfa-12563 179 8 cover cover VERB cjfa-12563 179 9 linear linear ADJ cjfa-12563 179 10 dependencies dependency NOUN cjfa-12563 179 11 between between ADP cjfa-12563 179 12 return return NOUN cjfa-12563 179 13 series series NOUN cjfa-12563 179 14 . . PUNCT cjfa-12563 180 1 as as ADP cjfa-12563 180 2 a a DET cjfa-12563 180 3 result result NOUN cjfa-12563 180 4 , , PUNCT cjfa-12563 180 5 the the DET cjfa-12563 180 6 portfolio portfolio NOUN cjfa-12563 180 7 risk risk NOUN cjfa-12563 180 8 estimate estimate NOUN cjfa-12563 180 9 is be AUX cjfa-12563 180 10 systematically systematically ADV cjfa-12563 180 11 biased bias VERB cjfa-12563 180 12 . . PUNCT cjfa-12563 181 1 moreover moreover ADV cjfa-12563 181 2 , , PUNCT cjfa-12563 181 3 returns return NOUN cjfa-12563 181 4 often often ADV cjfa-12563 181 5 exhibit exhibit VERB cjfa-12563 181 6 positive positive ADJ cjfa-12563 181 7 left left ADJ cjfa-12563 181 8 - - PUNCT cjfa-12563 181 9 tail tail NOUN cjfa-12563 181 10 dependence dependence NOUN cjfa-12563 181 11 , , PUNCT cjfa-12563 181 12 which which PRON cjfa-12563 181 13 means mean VERB cjfa-12563 181 14 that that SCONJ cjfa-12563 181 15 one one NUM cjfa-12563 181 16 return return NOUN cjfa-12563 181 17 will will AUX cjfa-12563 181 18 more more ADV cjfa-12563 181 19 likely likely ADV cjfa-12563 181 20 perform perform VERB cjfa-12563 181 21 poorly poorly ADV cjfa-12563 181 22 when when SCONJ cjfa-12563 181 23 another another PRON cjfa-12563 181 24 already already ADV cjfa-12563 181 25 is be AUX cjfa-12563 181 26 performing perform VERB cjfa-12563 181 27 badly badly ADV cjfa-12563 181 28 . . PUNCT cjfa-12563 182 1 this this DET cjfa-12563 182 2 phenomenon phenomenon NOUN cjfa-12563 182 3 is be AUX cjfa-12563 182 4 neither neither CCONJ cjfa-12563 182 5 covered cover VERB cjfa-12563 182 6 by by ADP cjfa-12563 182 7 the the DET cjfa-12563 182 8 covariance covariance NOUN cjfa-12563 182 9 nor nor CCONJ cjfa-12563 182 10 by by ADP cjfa-12563 182 11 the the DET cjfa-12563 182 12 implicit implicit ADJ cjfa-12563 182 13 normal normal ADJ cjfa-12563 182 14 assumption assumption NOUN cjfa-12563 182 15 . . PUNCT cjfa-12563 183 1 despite despite SCONJ cjfa-12563 183 2 these these DET cjfa-12563 183 3 insights insight NOUN cjfa-12563 183 4 , , PUNCT cjfa-12563 183 5 both both DET cjfa-12563 183 6 basel basel PROPN cjfa-12563 183 7 iii iii PROPN cjfa-12563 183 8 and and CCONJ cjfa-12563 183 9 solvency solvency PROPN cjfa-12563 183 10 ii ii NOUN cjfa-12563 183 11 rely rely VERB cjfa-12563 183 12 on on ADP cjfa-12563 183 13 correlation correlation NOUN cjfa-12563 183 14 coefficients coefficient NOUN cjfa-12563 183 15 to to PART cjfa-12563 183 16 estimate estimate VERB cjfa-12563 183 17 interdependencies interdependency NOUN cjfa-12563 183 18 of of ADP cjfa-12563 183 19 different different ADJ cjfa-12563 183 20 risks risk NOUN cjfa-12563 183 21 . . PUNCT cjfa-12563 184 1 furthermore furthermore ADV cjfa-12563 184 2 , , PUNCT cjfa-12563 184 3 investors investor NOUN cjfa-12563 184 4 ( ( PUNCT cjfa-12563 184 5 or or CCONJ cjfa-12563 184 6 , , PUNCT cjfa-12563 184 7 more more ADV cjfa-12563 184 8 generally generally ADV cjfa-12563 184 9 , , PUNCT cjfa-12563 184 10 stakeholders stakeholder NOUN cjfa-12563 184 11 ) ) PUNCT cjfa-12563 184 12 are be AUX cjfa-12563 184 13 concerned concerned ADJ cjfa-12563 184 14 about about ADP cjfa-12563 184 15 downside downside ADJ cjfa-12563 184 16 risk risk NOUN cjfa-12563 184 17 , , PUNCT cjfa-12563 184 18 whereas whereas SCONJ cjfa-12563 184 19 they they PRON cjfa-12563 184 20 usually usually ADV cjfa-12563 184 21 quite quite ADV cjfa-12563 184 22 enjoy enjoy VERB cjfa-12563 184 23 the the DET cjfa-12563 184 24 results result NOUN cjfa-12563 184 25 of of ADP cjfa-12563 184 26 upside upside ADJ cjfa-12563 184 27 risk risk NOUN cjfa-12563 184 28 . . PUNCT cjfa-12563 185 1 portfolio portfolio NOUN cjfa-12563 185 2 risk risk NOUN cjfa-12563 185 3 treats treat VERB cjfa-12563 185 4 both both DET cjfa-12563 185 5 risk risk NOUN cjfa-12563 185 6 directions direction NOUN cjfa-12563 185 7 equally equally ADV cjfa-12563 185 8 , , PUNCT cjfa-12563 185 9 whereas whereas SCONJ cjfa-12563 185 10 the the DET cjfa-12563 185 11 value value NOUN cjfa-12563 185 12 at at ADP cjfa-12563 185 13 risk risk NOUN cjfa-12563 185 14 is be AUX cjfa-12563 185 15 only only ADV cjfa-12563 185 16 concerned concerned ADJ cjfa-12563 185 17 with with ADP cjfa-12563 185 18 the the DET cjfa-12563 185 19 lower low ADJ cjfa-12563 185 20 tail tail NOUN cjfa-12563 185 21 of of ADP cjfa-12563 185 22 the the DET cjfa-12563 185 23 distribution distribution NOUN cjfa-12563 185 24 . . PUNCT cjfa-12563 186 1 value value NOUN cjfa-12563 186 2 at at ADP cjfa-12563 186 3 risk risk NOUN cjfa-12563 186 4 based base VERB cjfa-12563 186 5 on on ADP cjfa-12563 186 6 historical historical ADJ cjfa-12563 186 7 return return NOUN cjfa-12563 186 8 distribution distribution NOUN cjfa-12563 186 9 the the DET cjfa-12563 186 10 value value NOUN cjfa-12563 186 11 at at ADP cjfa-12563 186 12 risk risk NOUN cjfa-12563 186 13 ( ( PUNCT cjfa-12563 186 14 var var NOUN cjfa-12563 186 15 ) ) PUNCT cjfa-12563 186 16 is be AUX cjfa-12563 186 17 defined define VERB cjfa-12563 186 18 as as ADP cjfa-12563 186 19 the the DET cjfa-12563 186 20 minimum minimum ADJ cjfa-12563 186 21 portfolio portfolio NOUN cjfa-12563 186 22 value value NOUN cjfa-12563 186 23 ( ( PUNCT cjfa-12563 186 24 or or CCONJ cjfa-12563 186 25 maximum maximum ADJ cjfa-12563 186 26 loss loss NOUN cjfa-12563 186 27 ) ) PUNCT cjfa-12563 186 28 over over ADP cjfa-12563 186 29 a a DET cjfa-12563 186 30 given give VERB cjfa-12563 186 31 holding hold VERB cjfa-12563 186 32 period period NOUN cjfa-12563 186 33 and and CCONJ cjfa-12563 186 34 with with ADP cjfa-12563 186 35 a a DET cjfa-12563 186 36 given give VERB cjfa-12563 186 37 level level NOUN cjfa-12563 186 38 of of ADP cjfa-12563 186 39 statistical statistical ADJ cjfa-12563 186 40 significance significance NOUN cjfa-12563 186 41 ( ( PUNCT cjfa-12563 186 42 i.e. i.e. X cjfa-12563 186 43 probability probability NOUN cjfa-12563 186 44 ) ) PUNCT cjfa-12563 186 45 . . PUNCT cjfa-12563 187 1 it it PRON cjfa-12563 187 2 can can AUX cjfa-12563 187 3 be be AUX cjfa-12563 187 4 derived derive VERB cjfa-12563 187 5 based base VERB cjfa-12563 187 6 on on ADP cjfa-12563 187 7 the the DET cjfa-12563 187 8 historical historical ADJ cjfa-12563 187 9 distribution distribution NOUN cjfa-12563 187 10 of of ADP cjfa-12563 187 11 the the DET cjfa-12563 187 12 portfolio portfolio NOUN cjfa-12563 187 13 value value NOUN cjfa-12563 187 14 ( ( PUNCT cjfa-12563 187 15 or or CCONJ cjfa-12563 187 16 the the DET cjfa-12563 187 17 portfolio portfolio NOUN cjfa-12563 187 18 return return NOUN cjfa-12563 187 19 ) ) PUNCT cjfa-12563 187 20 , , PUNCT cjfa-12563 187 21 in in ADP cjfa-12563 187 22 which which DET cjfa-12563 187 23 case case NOUN cjfa-12563 187 24 it it PRON cjfa-12563 187 25 captures capture VERB cjfa-12563 187 26 the the DET cjfa-12563 187 27 covariation covariation NOUN cjfa-12563 187 28 of of ADP cjfa-12563 187 29 different different ADJ cjfa-12563 187 30 portfolio portfolio NOUN cjfa-12563 187 31 components component NOUN cjfa-12563 187 32 , , PUNCT cjfa-12563 187 33 including include VERB cjfa-12563 187 34 non non ADJ cjfa-12563 187 35 - - ADJ cjfa-12563 187 36 linear linear ADJ cjfa-12563 187 37 interchristiane interchristiane NOUN cjfa-12563 187 38 goodfellow goodfellow PROPN cjfa-12563 187 39 , , PUNCT cjfa-12563 187 40 christian christian PROPN cjfa-12563 187 41 salm90 salm90 NOUN cjfa-12563 187 42 dependencies dependency NOUN cjfa-12563 187 43 . . PUNCT cjfa-12563 188 1 alternatively alternatively ADV cjfa-12563 188 2 , , PUNCT cjfa-12563 188 3 it it PRON cjfa-12563 188 4 can can AUX cjfa-12563 188 5 be be AUX cjfa-12563 188 6 assumed assume VERB cjfa-12563 188 7 that that SCONJ cjfa-12563 188 8 the the DET cjfa-12563 188 9 portfolio portfolio NOUN cjfa-12563 188 10 value value NOUN cjfa-12563 188 11 follows follow VERB cjfa-12563 188 12 a a DET cjfa-12563 188 13 multivariate multivariate NOUN cjfa-12563 188 14 normal normal ADJ cjfa-12563 188 15 distribution distribution NOUN cjfa-12563 188 16 with with ADP cjfa-12563 188 17 only only ADJ cjfa-12563 188 18 linear linear ADJ cjfa-12563 188 19 dependencies dependency NOUN cjfa-12563 188 20 among among ADP cjfa-12563 188 21 the the DET cjfa-12563 188 22 underlying underlie VERB cjfa-12563 188 23 risk risk NOUN cjfa-12563 188 24 factors factor NOUN cjfa-12563 188 25 . . PUNCT cjfa-12563 189 1 this this DET cjfa-12563 189 2 latter latter ADJ cjfa-12563 189 3 version version NOUN cjfa-12563 189 4 is be AUX cjfa-12563 189 5 the the DET cjfa-12563 189 6 original original ADJ cjfa-12563 189 7 jp jp NOUN cjfa-12563 189 8 morgan morgan PROPN cjfa-12563 189 9 approach approach PROPN cjfa-12563 189 10 . . PUNCT cjfa-12563 190 1 however however ADV cjfa-12563 190 2 , , PUNCT cjfa-12563 190 3 given give VERB cjfa-12563 190 4 that that PRON cjfa-12563 190 5 return return NOUN cjfa-12563 190 6 series series NOUN cjfa-12563 190 7 generally generally ADV cjfa-12563 190 8 violate violate VERB cjfa-12563 190 9 the the DET cjfa-12563 190 10 normal normal ADJ cjfa-12563 190 11 assumption assumption NOUN cjfa-12563 190 12 and and CCONJ cjfa-12563 190 13 exhibit exhibit VERB cjfa-12563 190 14 non non ADJ cjfa-12563 190 15 - - ADJ cjfa-12563 190 16 linear linear ADJ cjfa-12563 190 17 dependencies dependency NOUN cjfa-12563 190 18 , , PUNCT cjfa-12563 190 19 we we PRON cjfa-12563 190 20 favour favour VERB cjfa-12563 190 21 the the DET cjfa-12563 190 22 historical historical ADJ cjfa-12563 190 23 distribution distribution NOUN cjfa-12563 190 24 approach approach NOUN cjfa-12563 190 25 , , PUNCT cjfa-12563 190 26 even even ADV cjfa-12563 190 27 though though SCONJ cjfa-12563 190 28 it it PRON cjfa-12563 190 29 requires require VERB cjfa-12563 190 30 a a DET cjfa-12563 190 31 larger large ADJ cjfa-12563 190 32 dataset dataset NOUN cjfa-12563 190 33 and and CCONJ cjfa-12563 190 34 implicitly implicitly ADV cjfa-12563 190 35 assumes assume VERB cjfa-12563 190 36 that that SCONJ cjfa-12563 190 37 the the DET cjfa-12563 190 38 past past NOUN cjfa-12563 190 39 is be AUX cjfa-12563 190 40 an an DET cjfa-12563 190 41 adequate adequate ADJ cjfa-12563 190 42 predictor predictor NOUN cjfa-12563 190 43 of of ADP cjfa-12563 190 44 the the DET cjfa-12563 190 45 future future NOUN cjfa-12563 190 46 . . PUNCT cjfa-12563 191 1 the the DET cjfa-12563 191 2 historical historical ADJ cjfa-12563 191 3 distribution distribution NOUN cjfa-12563 191 4 - - PUNCT cjfa-12563 191 5 based base VERB cjfa-12563 191 6 var var NOUN cjfa-12563 191 7 has have VERB cjfa-12563 191 8 three three NUM cjfa-12563 191 9 major major ADJ cjfa-12563 191 10 advantages advantage NOUN cjfa-12563 191 11 over over ADP cjfa-12563 191 12 the the DET cjfa-12563 191 13 portfolio portfolio NOUN cjfa-12563 191 14 risk risk NOUN cjfa-12563 191 15 measure measure NOUN cjfa-12563 191 16 in in ADP cjfa-12563 191 17 the the DET cjfa-12563 191 18 markowitz markowitz PROPN cjfa-12563 191 19 ( ( PUNCT cjfa-12563 191 20 1952 1952 NUM cjfa-12563 191 21 ) ) PUNCT cjfa-12563 191 22 world world NOUN cjfa-12563 191 23 : : PUNCT cjfa-12563 191 24 1 1 X cjfa-12563 191 25 ) ) PUNCT cjfa-12563 191 26 the the DET cjfa-12563 191 27 var var NOUN cjfa-12563 191 28 covers cover VERB cjfa-12563 191 29 all all DET cjfa-12563 191 30 dependencies dependency NOUN cjfa-12563 191 31 among among ADP cjfa-12563 191 32 the the DET cjfa-12563 191 33 portfolio portfolio NOUN cjfa-12563 191 34 components component NOUN cjfa-12563 191 35 , , PUNCT cjfa-12563 191 36 including include VERB cjfa-12563 191 37 non non ADJ cjfa-12563 191 38 - - ADJ cjfa-12563 191 39 linear linear ADJ cjfa-12563 191 40 covariation covariation NOUN cjfa-12563 191 41 . . PUNCT cjfa-12563 192 1 2 2 NUM cjfa-12563 192 2 ) ) PUNCT cjfa-12563 192 3 the the DET cjfa-12563 192 4 portfolio portfolio NOUN cjfa-12563 192 5 value value NOUN cjfa-12563 192 6 ( ( PUNCT cjfa-12563 192 7 or or CCONJ cjfa-12563 192 8 return return NOUN cjfa-12563 192 9 ) ) PUNCT cjfa-12563 192 10 does do AUX cjfa-12563 192 11 not not PART cjfa-12563 192 12 have have VERB cjfa-12563 192 13 to to PART cjfa-12563 192 14 follow follow VERB cjfa-12563 192 15 a a DET cjfa-12563 192 16 normal normal ADJ cjfa-12563 192 17 distribution distribution NOUN cjfa-12563 192 18 , , PUNCT cjfa-12563 192 19 which which PRON cjfa-12563 192 20 is be AUX cjfa-12563 192 21 implicitly implicitly ADV cjfa-12563 192 22 assumed assume VERB cjfa-12563 192 23 in in ADP cjfa-12563 192 24 the the DET cjfa-12563 192 25 mean mean ADJ cjfa-12563 192 26 - - PUNCT cjfa-12563 192 27 variance variance NOUN cjfa-12563 192 28 - - PUNCT cjfa-12563 192 29 universe universe NOUN cjfa-12563 192 30 of of ADP cjfa-12563 192 31 markowitz markowitz PROPN cjfa-12563 192 32 ( ( PUNCT cjfa-12563 192 33 1952 1952 NUM cjfa-12563 192 34 ) ) PUNCT cjfa-12563 192 35 . . PUNCT cjfa-12563 193 1 empirically empirically ADV cjfa-12563 193 2 , , PUNCT cjfa-12563 193 3 return return NOUN cjfa-12563 193 4 distributions distribution NOUN cjfa-12563 193 5 have have VERB cjfa-12563 193 6 fatter fat ADJ cjfa-12563 193 7 tails tail NOUN cjfa-12563 193 8 than than ADP cjfa-12563 193 9 the the DET cjfa-12563 193 10 normal normal ADJ cjfa-12563 193 11 distribution distribution NOUN cjfa-12563 193 12 ( ( PUNCT cjfa-12563 193 13 e.g. e.g. ADV cjfa-12563 193 14 mandelbrot mandelbrot NOUN cjfa-12563 193 15 , , PUNCT cjfa-12563 193 16 1963 1963 NUM cjfa-12563 193 17 ; ; PUNCT cjfa-12563 193 18 fama fama PROPN cjfa-12563 193 19 , , PUNCT cjfa-12563 193 20 1965 1965 NUM cjfa-12563 193 21 ; ; PUNCT cjfa-12563 193 22 peters peters PROPN cjfa-12563 193 23 , , PUNCT cjfa-12563 193 24 1996 1996 NUM cjfa-12563 193 25 ) ) PUNCT cjfa-12563 193 26 , , PUNCT cjfa-12563 193 27 which which PRON cjfa-12563 193 28 is be AUX cjfa-12563 193 29 often often ADV cjfa-12563 193 30 addressed address VERB cjfa-12563 193 31 by by ADP cjfa-12563 193 32 using use VERB cjfa-12563 193 33 the the DET cjfa-12563 193 34 student student NOUN cjfa-12563 193 35 ’s ’s PART cjfa-12563 193 36 t t NOUN cjfa-12563 193 37 distribution distribution NOUN cjfa-12563 193 38 . . PUNCT cjfa-12563 194 1 3 3 X cjfa-12563 194 2 ) ) PUNCT cjfa-12563 194 3 it it PRON cjfa-12563 194 4 evidently evidently ADV cjfa-12563 194 5 only only ADV cjfa-12563 194 6 captures capture VERB cjfa-12563 194 7 downside downside ADJ cjfa-12563 194 8 risk risk NOUN cjfa-12563 194 9 , , PUNCT cjfa-12563 194 10 which which PRON cjfa-12563 194 11 is be AUX cjfa-12563 194 12 what what PRON cjfa-12563 194 13 investors investor NOUN cjfa-12563 194 14 wish wish VERB cjfa-12563 194 15 to to PART cjfa-12563 194 16 be be AUX cjfa-12563 194 17 compensated compensate VERB cjfa-12563 194 18 for for ADP cjfa-12563 194 19 , , PUNCT cjfa-12563 194 20 rather rather ADV cjfa-12563 194 21 than than ADP cjfa-12563 194 22 including include VERB cjfa-12563 194 23 upside upside ADJ cjfa-12563 194 24 risk risk NOUN cjfa-12563 194 25 in in ADP cjfa-12563 194 26 the the DET cjfa-12563 194 27 risk risk NOUN cjfa-12563 194 28 measure measure NOUN cjfa-12563 194 29 assuming assume VERB cjfa-12563 194 30 equal equal ADJ cjfa-12563 194 31 investor investor NOUN cjfa-12563 194 32 aversion aversion NOUN cjfa-12563 194 33 . . PUNCT cjfa-12563 195 1 given give VERB cjfa-12563 195 2 that that SCONJ cjfa-12563 195 3 the the DET cjfa-12563 195 4 var var NOUN cjfa-12563 195 5 is be AUX cjfa-12563 195 6 intuitive intuitive ADJ cjfa-12563 195 7 to to PART cjfa-12563 195 8 understand understand VERB cjfa-12563 195 9 , , PUNCT cjfa-12563 195 10 it it PRON cjfa-12563 195 11 has have AUX cjfa-12563 195 12 been be AUX cjfa-12563 195 13 popular popular ADJ cjfa-12563 195 14 especially especially ADV cjfa-12563 195 15 among among ADP cjfa-12563 195 16 practitioners practitioner NOUN cjfa-12563 195 17 . . PUNCT cjfa-12563 196 1 but but CCONJ cjfa-12563 196 2 there there PRON cjfa-12563 196 3 are be VERB cjfa-12563 196 4 also also ADV cjfa-12563 196 5 downsides downside NOUN cjfa-12563 196 6 to to ADP cjfa-12563 196 7 the the DET cjfa-12563 196 8 var var NOUN cjfa-12563 196 9 . . PUNCT cjfa-12563 197 1 first first ADV cjfa-12563 197 2 , , PUNCT cjfa-12563 197 3 it it PRON cjfa-12563 197 4 is be AUX cjfa-12563 197 5 just just ADV cjfa-12563 197 6 one one NUM cjfa-12563 197 7 figure figure NOUN cjfa-12563 197 8 , , PUNCT cjfa-12563 197 9 usually usually ADV cjfa-12563 197 10 a a DET cjfa-12563 197 11 loss loss NOUN cjfa-12563 197 12 that that PRON cjfa-12563 197 13 will will AUX cjfa-12563 197 14 only only ADV cjfa-12563 197 15 be be AUX cjfa-12563 197 16 exceeded exceed VERB cjfa-12563 197 17 with with ADP cjfa-12563 197 18 a a DET cjfa-12563 197 19 very very ADV cjfa-12563 197 20 small small ADJ cjfa-12563 197 21 probability probability NOUN cjfa-12563 197 22 over over ADP cjfa-12563 197 23 a a DET cjfa-12563 197 24 certain certain ADJ cjfa-12563 197 25 period period NOUN cjfa-12563 197 26 , , PUNCT cjfa-12563 197 27 which which PRON cjfa-12563 197 28 does do AUX cjfa-12563 197 29 not not PART cjfa-12563 197 30 provide provide VERB cjfa-12563 197 31 information information NOUN cjfa-12563 197 32 on on ADP cjfa-12563 197 33 the the DET cjfa-12563 197 34 shape shape NOUN cjfa-12563 197 35 of of ADP cjfa-12563 197 36 the the DET cjfa-12563 197 37 distribution distribution NOUN cjfa-12563 197 38 in in ADP cjfa-12563 197 39 the the DET cjfa-12563 197 40 tail tail NOUN cjfa-12563 197 41 , , PUNCT cjfa-12563 197 42 i.e. i.e. X cjfa-12563 197 43 if if SCONJ cjfa-12563 197 44 the the DET cjfa-12563 197 45 low low ADJ cjfa-12563 197 46 - - PUNCT cjfa-12563 197 47 probability probability NOUN cjfa-12563 197 48 scenario scenario NOUN cjfa-12563 197 49 materialises materialise NOUN cjfa-12563 197 50 and and CCONJ cjfa-12563 197 51 the the DET cjfa-12563 197 52 loss loss NOUN cjfa-12563 197 53 happens happen VERB cjfa-12563 197 54 to to PART cjfa-12563 197 55 be be AUX cjfa-12563 197 56 larger large ADJ cjfa-12563 197 57 , , PUNCT cjfa-12563 197 58 how how SCONJ cjfa-12563 197 59 quickly quickly ADV cjfa-12563 197 60 does do AUX cjfa-12563 197 61 it it PRON cjfa-12563 197 62 become become VERB cjfa-12563 197 63 how how SCONJ cjfa-12563 197 64 large large ADJ cjfa-12563 197 65 ? ? PUNCT cjfa-12563 198 1 one one NUM cjfa-12563 198 2 solution solution NOUN cjfa-12563 198 3 to to ADP cjfa-12563 198 4 this this DET cjfa-12563 198 5 problem problem NOUN cjfa-12563 198 6 is be AUX cjfa-12563 198 7 to to PART cjfa-12563 198 8 rely rely VERB cjfa-12563 198 9 on on ADP cjfa-12563 198 10 a a DET cjfa-12563 198 11 supplement supplement NOUN cjfa-12563 198 12 to to ADP cjfa-12563 198 13 the the DET cjfa-12563 198 14 var var NOUN cjfa-12563 198 15 which which PRON cjfa-12563 198 16 provides provide VERB cjfa-12563 198 17 information information NOUN cjfa-12563 198 18 on on ADP cjfa-12563 198 19 the the DET cjfa-12563 198 20 tail tail NOUN cjfa-12563 198 21 . . PUNCT cjfa-12563 199 1 one one NUM cjfa-12563 199 2 of of ADP cjfa-12563 199 3 these these DET cjfa-12563 199 4 supplements supplement NOUN cjfa-12563 199 5 is be AUX cjfa-12563 199 6 the the DET cjfa-12563 199 7 expected expected ADJ cjfa-12563 199 8 shortfall shortfall NOUN cjfa-12563 199 9 , , PUNCT cjfa-12563 199 10 which which PRON cjfa-12563 199 11 is be AUX cjfa-12563 199 12 the the DET cjfa-12563 199 13 expected expect VERB cjfa-12563 199 14 loss loss NOUN cjfa-12563 199 15 given give VERB cjfa-12563 199 16 that that SCONJ cjfa-12563 199 17 this this DET cjfa-12563 199 18 loss loss NOUN cjfa-12563 199 19 is be AUX cjfa-12563 199 20 larger large ADJ cjfa-12563 199 21 than than ADP cjfa-12563 199 22 a a DET cjfa-12563 199 23 certain certain ADJ cjfa-12563 199 24 benchmark benchmark NOUN cjfa-12563 199 25 ( ( PUNCT cjfa-12563 199 26 rachev rachev VERB cjfa-12563 199 27 et et PROPN cjfa-12563 199 28 al al PROPN cjfa-12563 199 29 . . PROPN cjfa-12563 199 30 , , PUNCT cjfa-12563 199 31 2010 2010 NUM cjfa-12563 199 32 ) ) PUNCT cjfa-12563 199 33 . . PUNCT cjfa-12563 200 1 another another PRON cjfa-12563 200 2 , , PUNCT cjfa-12563 200 3 rather rather ADV cjfa-12563 200 4 similar similar ADJ cjfa-12563 200 5 , , PUNCT cjfa-12563 200 6 supplement supplement NOUN cjfa-12563 200 7 to to ADP cjfa-12563 200 8 the the DET cjfa-12563 200 9 var var NOUN cjfa-12563 200 10 are be AUX cjfa-12563 200 11 lower low ADJ cjfa-12563 200 12 partial partial ADJ cjfa-12563 200 13 moments moment NOUN cjfa-12563 200 14 ( ( PUNCT cjfa-12563 200 15 lpm lpm NOUN cjfa-12563 200 16 ) ) PUNCT cjfa-12563 200 17 . . PUNCT cjfa-12563 201 1 these these PRON cjfa-12563 201 2 are be AUX cjfa-12563 201 3 characteristics characteristic NOUN cjfa-12563 201 4 of of ADP cjfa-12563 201 5 specifically specifically ADV cjfa-12563 201 6 the the DET cjfa-12563 201 7 tail tail NOUN cjfa-12563 201 8 to to ADP cjfa-12563 201 9 the the DET cjfa-12563 201 10 left left NOUN cjfa-12563 201 11 of of ADP cjfa-12563 201 12 the the DET cjfa-12563 201 13 var var NOUN cjfa-12563 201 14 . . PUNCT cjfa-12563 202 1 lpm lpm PROPN cjfa-12563 202 2 1 1 NUM cjfa-12563 202 3 is be AUX cjfa-12563 202 4 the the DET cjfa-12563 202 5 average average NOUN cjfa-12563 202 6 across across ADP cjfa-12563 202 7 all all DET cjfa-12563 202 8 negative negative ADJ cjfa-12563 202 9 deviations deviation NOUN cjfa-12563 202 10 from from ADP cjfa-12563 202 11 the the DET cjfa-12563 202 12 pre pre ADJ cjfa-12563 202 13 - - ADJ cjfa-12563 202 14 defined define VERB cjfa-12563 202 15 var var NOUN cjfa-12563 202 16 , , PUNCT cjfa-12563 202 17 while while SCONJ cjfa-12563 202 18 lpm lpm NOUN cjfa-12563 202 19 2 2 NUM cjfa-12563 202 20 is be AUX cjfa-12563 202 21 the the DET cjfa-12563 202 22 variance variance NOUN cjfa-12563 202 23 of of ADP cjfa-12563 202 24 the the DET cjfa-12563 202 25 negative negative ADJ cjfa-12563 202 26 deviations deviation NOUN cjfa-12563 202 27 from from ADP cjfa-12563 202 28 the the DET cjfa-12563 202 29 pre pre ADJ cjfa-12563 202 30 - - ADJ cjfa-12563 202 31 defined define VERB cjfa-12563 202 32 var var NOUN cjfa-12563 202 33 . . PUNCT cjfa-12563 203 1 lpm lpm NOUN cjfa-12563 203 2 2 2 NUM cjfa-12563 203 3 thus thus ADV cjfa-12563 203 4 places place VERB cjfa-12563 203 5 a a DET cjfa-12563 203 6 heavier heavy ADJ cjfa-12563 203 7 weight weight NOUN cjfa-12563 203 8 on on ADP cjfa-12563 203 9 larger large ADJ cjfa-12563 203 10 deviations deviation NOUN cjfa-12563 203 11 than than ADP cjfa-12563 203 12 on on ADP cjfa-12563 203 13 smaller small ADJ cjfa-12563 203 14 ones one NOUN cjfa-12563 203 15 , , PUNCT cjfa-12563 203 16 reflecting reflect VERB cjfa-12563 203 17 that that SCONJ cjfa-12563 203 18 investors investor NOUN cjfa-12563 203 19 perceive perceive VERB cjfa-12563 203 20 high high ADJ cjfa-12563 203 21 losses loss NOUN cjfa-12563 203 22 on on ADP cjfa-12563 203 23 rare rare ADJ cjfa-12563 203 24 occasions occasion NOUN cjfa-12563 203 25 as as ADV cjfa-12563 203 26 worse bad ADJ cjfa-12563 203 27 than than ADP cjfa-12563 203 28 smaller small ADJ cjfa-12563 203 29 losses loss NOUN cjfa-12563 203 30 more more ADV cjfa-12563 203 31 often often ADV cjfa-12563 203 32 . . PUNCT cjfa-12563 204 1 risky risky ADJ cjfa-12563 204 2 risk risk NOUN cjfa-12563 204 3 measures measure NOUN cjfa-12563 204 4 … … PUNCT cjfa-12563 204 5 91 91 NUM cjfa-12563 204 6 related relate VERB cjfa-12563 204 7 to to ADP cjfa-12563 204 8 this this DET cjfa-12563 204 9 lack lack NOUN cjfa-12563 204 10 of of ADP cjfa-12563 204 11 information information NOUN cjfa-12563 204 12 about about ADP cjfa-12563 204 13 the the DET cjfa-12563 204 14 tail tail NOUN cjfa-12563 204 15 is be AUX cjfa-12563 204 16 the the DET cjfa-12563 204 17 fact fact NOUN cjfa-12563 204 18 that that SCONJ cjfa-12563 204 19 one one PRON cjfa-12563 204 20 can can AUX cjfa-12563 204 21 construct construct VERB cjfa-12563 204 22 two two NUM cjfa-12563 204 23 normal normal ADJ cjfa-12563 204 24 distributions distribution NOUN cjfa-12563 204 25 with with ADP cjfa-12563 204 26 different different ADJ cjfa-12563 204 27 parameter parameter NOUN cjfa-12563 204 28 values value NOUN cjfa-12563 204 29 but but CCONJ cjfa-12563 204 30 the the DET cjfa-12563 204 31 same same ADJ cjfa-12563 204 32 α α NOUN cjfa-12563 204 33     SPACE cjfa-12563 204 34 quantile quantile NOUN cjfa-12563 204 35     SPACE cjfa-12563 204 36 and and CCONJ cjfa-12563 204 37     SPACE cjfa-12563 204 38 hence hence ADV cjfa-12563 204 39     SPACE cjfa-12563 204 40 the the DET cjfa-12563 204 41     SPACE cjfa-12563 204 42 same same ADJ cjfa-12563 204 43     SPACE cjfa-12563 204 44 var var NOUN cjfa-12563 204 45 , , PUNCT cjfa-12563 204 46     SPACE cjfa-12563 204 47 but but CCONJ cjfa-12563 204 48     SPACE cjfa-12563 204 49 differently differently ADV cjfa-12563 204 50     SPACE cjfa-12563 204 51 fat fat ADJ cjfa-12563 204 52     SPACE cjfa-12563 204 53 tails tail NOUN cjfa-12563 204 54 . . PUNCT cjfa-12563 204 55     SPACE cjfa-12563 205 1 furthermore furthermore ADV cjfa-12563 205 2 , , PUNCT cjfa-12563 205 3     SPACE cjfa-12563 205 4 the the DET cjfa-12563 205 5     SPACE cjfa-12563 205 6 var var NOUN cjfa-12563 205 7 is be AUX cjfa-12563 205 8 based base VERB cjfa-12563 205 9 on on ADP cjfa-12563 205 10 a a DET cjfa-12563 205 11 statistical statistical ADJ cjfa-12563 205 12 distribution distribution NOUN cjfa-12563 205 13 . . PUNCT cjfa-12563 206 1 this this PRON cjfa-12563 206 2 can can AUX cjfa-12563 206 3 either either CCONJ cjfa-12563 206 4 be be AUX cjfa-12563 206 5 assumed assume VERB cjfa-12563 206 6 ( ( PUNCT cjfa-12563 206 7 e.g. e.g. ADV cjfa-12563 206 8 normal normal ADJ cjfa-12563 206 9 , , PUNCT cjfa-12563 206 10 which which PRON cjfa-12563 206 11 we we PRON cjfa-12563 206 12 know know VERB cjfa-12563 206 13 is be AUX cjfa-12563 206 14 wrong wrong ADJ cjfa-12563 206 15 ) ) PUNCT cjfa-12563 206 16 , , PUNCT cjfa-12563 206 17 or or CCONJ cjfa-12563 206 18 estimated estimate VERB cjfa-12563 206 19 from from ADP cjfa-12563 206 20 historical historical ADJ cjfa-12563 206 21 data datum NOUN cjfa-12563 206 22 ( ( PUNCT cjfa-12563 206 23 which which PRON cjfa-12563 206 24 requires require VERB cjfa-12563 206 25 a a DET cjfa-12563 206 26 large large ADJ cjfa-12563 206 27 dataset dataset NOUN cjfa-12563 206 28 and and CCONJ cjfa-12563 206 29 assumes assume VERB cjfa-12563 206 30 that that SCONJ cjfa-12563 206 31 the the DET cjfa-12563 206 32 past past NOUN cjfa-12563 206 33 can can AUX cjfa-12563 206 34 predict predict VERB cjfa-12563 206 35 the the DET cjfa-12563 206 36 future future NOUN cjfa-12563 206 37 ) ) PUNCT cjfa-12563 206 38 , , PUNCT cjfa-12563 206 39 or or CCONJ cjfa-12563 206 40 obtained obtain VERB cjfa-12563 206 41 through through ADP cjfa-12563 206 42 a a DET cjfa-12563 206 43 monte monte PROPN cjfa-12563 206 44 carlo carlo PROPN cjfa-12563 206 45 simulation simulation PROPN cjfa-12563 206 46 ( ( PUNCT cjfa-12563 206 47 requiring require VERB cjfa-12563 206 48 substantial substantial ADJ cjfa-12563 206 49 calculations calculation NOUN cjfa-12563 206 50 ) ) PUNCT cjfa-12563 206 51 . . PUNCT cjfa-12563 207 1 if if SCONJ cjfa-12563 207 2 the the DET cjfa-12563 207 3 return return NOUN cjfa-12563 207 4 data datum NOUN cjfa-12563 207 5 are be AUX cjfa-12563 207 6 assumed assume VERB cjfa-12563 207 7 to to PART cjfa-12563 207 8 follow follow VERB cjfa-12563 207 9 a a DET cjfa-12563 207 10 normal normal ADJ cjfa-12563 207 11 distribution distribution NOUN cjfa-12563 207 12 while while SCONJ cjfa-12563 207 13 in in ADP cjfa-12563 207 14 fact fact NOUN cjfa-12563 207 15 they they PRON cjfa-12563 207 16 are be AUX cjfa-12563 207 17 student student NOUN cjfa-12563 207 18 ’s ’s PART cjfa-12563 207 19 t t NOUN cjfa-12563 207 20 distributed distribute VERB cjfa-12563 207 21 , , PUNCT cjfa-12563 207 22 for for ADP cjfa-12563 207 23 example example NOUN cjfa-12563 207 24 , , PUNCT cjfa-12563 207 25 the the DET cjfa-12563 207 26 normal normal ADV cjfa-12563 207 27 - - PUNCT cjfa-12563 207 28 based base VERB cjfa-12563 207 29 var var NOUN cjfa-12563 207 30 will will AUX cjfa-12563 207 31 underestimate underestimate VERB cjfa-12563 207 32 the the DET cjfa-12563 207 33 potential potential ADJ cjfa-12563 207 34 loss loss NOUN cjfa-12563 207 35 in in ADP cjfa-12563 207 36 portfolio portfolio NOUN cjfa-12563 207 37 value value NOUN cjfa-12563 207 38 substantially substantially ADV cjfa-12563 207 39 . . PUNCT cjfa-12563 208 1 there there PRON cjfa-12563 208 2 is be VERB cjfa-12563 208 3 thus thus ADV cjfa-12563 208 4 a a DET cjfa-12563 208 5 certain certain ADJ cjfa-12563 208 6 modelling modelling NOUN cjfa-12563 208 7 risk risk NOUN cjfa-12563 208 8 associated associate VERB cjfa-12563 208 9 with with ADP cjfa-12563 208 10 this this DET cjfa-12563 208 11 risk risk NOUN cjfa-12563 208 12 metric metric NOUN cjfa-12563 208 13 . . PUNCT cjfa-12563 209 1 finally finally ADV cjfa-12563 209 2 , , PUNCT cjfa-12563 209 3 for for ADP cjfa-12563 209 4 completeness completeness NOUN cjfa-12563 209 5 , , PUNCT cjfa-12563 209 6 a a DET cjfa-12563 209 7 few few ADJ cjfa-12563 209 8 closely closely ADV cjfa-12563 209 9 related relate VERB cjfa-12563 209 10 risk risk NOUN cjfa-12563 209 11 metrics metric NOUN cjfa-12563 209 12 should should AUX cjfa-12563 209 13 be be AUX cjfa-12563 209 14 mentioned mention VERB cjfa-12563 209 15 that that PRON cjfa-12563 209 16 also also ADV cjfa-12563 209 17 focus focus VERB cjfa-12563 209 18 specifically specifically ADV cjfa-12563 209 19 on on ADP cjfa-12563 209 20 downside downside ADJ cjfa-12563 209 21 risk risk NOUN cjfa-12563 209 22 . . PUNCT cjfa-12563 210 1 none none NOUN cjfa-12563 210 2 of of ADP cjfa-12563 210 3 these these PRON cjfa-12563 210 4 are be AUX cjfa-12563 210 5 calculated calculate VERB cjfa-12563 210 6 in in ADP cjfa-12563 210 7 this this DET cjfa-12563 210 8 paper paper NOUN cjfa-12563 210 9 as as SCONJ cjfa-12563 210 10 we we PRON cjfa-12563 210 11 focus focus VERB cjfa-12563 210 12 on on ADP cjfa-12563 210 13 the the DET cjfa-12563 210 14 copula copula NOUN cjfa-12563 210 15 methodology methodology NOUN cjfa-12563 210 16 . . PUNCT cjfa-12563 211 1 the the DET cjfa-12563 211 2 conditional conditional ADJ cjfa-12563 211 3 value value NOUN cjfa-12563 211 4 at at ADP cjfa-12563 211 5 risk risk NOUN cjfa-12563 211 6 ( ( PUNCT cjfa-12563 211 7 cvar cvar NOUN cjfa-12563 211 8 ) ) PUNCT cjfa-12563 211 9 , , PUNCT cjfa-12563 211 10 also also ADV cjfa-12563 211 11 called call VERB cjfa-12563 211 12 mean mean ADJ cjfa-12563 211 13 shortfall shortfall NOUN cjfa-12563 211 14 or or CCONJ cjfa-12563 211 15 expected expect VERB cjfa-12563 211 16 tail tail NOUN cjfa-12563 211 17 loss loss NOUN cjfa-12563 211 18 , , PUNCT cjfa-12563 211 19 is be AUX cjfa-12563 211 20 calculated calculate VERB cjfa-12563 211 21 as as ADP cjfa-12563 211 22 the the DET cjfa-12563 211 23 average average ADJ cjfa-12563 211 24 loss loss NOUN cjfa-12563 211 25 , , PUNCT cjfa-12563 211 26 conditional conditional ADJ cjfa-12563 211 27 on on ADP cjfa-12563 211 28 the the DET cjfa-12563 211 29 losses loss NOUN cjfa-12563 211 30 being be AUX cjfa-12563 211 31 at at ADV cjfa-12563 211 32 least least ADJ cjfa-12563 211 33 as as ADV cjfa-12563 211 34 large large ADJ cjfa-12563 211 35 as as ADP cjfa-12563 211 36 the the DET cjfa-12563 211 37 losses loss NOUN cjfa-12563 211 38 under under ADP cjfa-12563 211 39 a a DET cjfa-12563 211 40 normal normal ADJ cjfa-12563 211 41 distribution distribution NOUN cjfa-12563 211 42 var var NOUN cjfa-12563 211 43 would would AUX cjfa-12563 211 44 be be AUX cjfa-12563 211 45 ( ( PUNCT cjfa-12563 211 46 xiong xiong PROPN cjfa-12563 211 47 et et PROPN cjfa-12563 211 48 al al PROPN cjfa-12563 211 49 . . PROPN cjfa-12563 211 50 , , PUNCT cjfa-12563 211 51 2014 2014 NUM cjfa-12563 211 52 ; ; PUNCT cjfa-12563 211 53 rockafellar rockafellar ADJ cjfa-12563 211 54 & & CCONJ cjfa-12563 211 55 uryasev uryasev PROPN cjfa-12563 211 56 , , PUNCT cjfa-12563 211 57 2000 2000 NUM cjfa-12563 211 58 ) ) PUNCT cjfa-12563 211 59 . . PUNCT cjfa-12563 212 1 this this DET cjfa-12563 212 2 average average NOUN cjfa-12563 212 3 is be AUX cjfa-12563 212 4 probability probability NOUN cjfa-12563 212 5 - - PUNCT cjfa-12563 212 6 weighted weight VERB cjfa-12563 212 7 . . PUNCT cjfa-12563 213 1 a a DET cjfa-12563 213 2 close close ADJ cjfa-12563 213 3 relative relative NOUN cjfa-12563 213 4 to to ADP cjfa-12563 213 5 the the DET cjfa-12563 213 6 cvar cvar NOUN cjfa-12563 213 7 is be AUX cjfa-12563 213 8 the the DET cjfa-12563 213 9 excess excess ADJ cjfa-12563 213 10 conditional conditional ADJ cjfa-12563 213 11 value value NOUN cjfa-12563 213 12 at at ADP cjfa-12563 213 13 risk risk NOUN cjfa-12563 213 14 ( ( PUNCT cjfa-12563 213 15 ecvar ecvar NOUN cjfa-12563 213 16 ) ) PUNCT cjfa-12563 213 17 , , PUNCT cjfa-12563 213 18 which which PRON cjfa-12563 213 19 is be AUX cjfa-12563 213 20 the the DET cjfa-12563 213 21 cvar cvar NOUN cjfa-12563 213 22 in in ADP cjfa-12563 213 23 excess excess NOUN cjfa-12563 213 24 of of ADP cjfa-12563 213 25 the the DET cjfa-12563 213 26 implied imply VERB cjfa-12563 213 27 normal normal ADJ cjfa-12563 213 28 distribution distribution NOUN cjfa-12563 213 29 cvar cvar NOUN cjfa-12563 213 30 . . PUNCT cjfa-12563 214 1 another another DET cjfa-12563 214 2 tail tail NOUN cjfa-12563 214 3 risk risk NOUN cjfa-12563 214 4 measure measure NOUN cjfa-12563 214 5 is be AUX cjfa-12563 214 6 coskewness coskewness NOUN cjfa-12563 214 7 . . PUNCT cjfa-12563 215 1 skewness skewness NOUN cjfa-12563 215 2 in in ADP cjfa-12563 215 3 general general ADJ cjfa-12563 215 4 captures capture NOUN cjfa-12563 215 5 how how SCONJ cjfa-12563 215 6 asymmetric asymmetric ADJ cjfa-12563 215 7 the the DET cjfa-12563 215 8 data datum NOUN cjfa-12563 215 9 are be AUX cjfa-12563 215 10 , , PUNCT cjfa-12563 215 11 while while SCONJ cjfa-12563 215 12 co co ADJ cjfa-12563 215 13 - - NOUN cjfa-12563 215 14 skewness skewness NOUN cjfa-12563 215 15 addresses address VERB cjfa-12563 215 16 the the DET cjfa-12563 215 17 question question NOUN cjfa-12563 215 18 ‘ ' PUNCT cjfa-12563 215 19 if if SCONJ cjfa-12563 215 20 a a DET cjfa-12563 215 21 particular particular ADJ cjfa-12563 215 22 financial financial ADJ cjfa-12563 215 23 asset asset NOUN cjfa-12563 215 24 is be AUX cjfa-12563 215 25 added add VERB cjfa-12563 215 26 to to ADP cjfa-12563 215 27 the the DET cjfa-12563 215 28 portfolio portfolio NOUN cjfa-12563 215 29 , , PUNCT cjfa-12563 215 30 how how SCONJ cjfa-12563 215 31 does do AUX cjfa-12563 215 32 this this PRON cjfa-12563 215 33 change change VERB cjfa-12563 215 34 the the DET cjfa-12563 215 35 portfolio portfolio NOUN cjfa-12563 215 36 ’s ’s PART cjfa-12563 215 37 skewness skewness NOUN cjfa-12563 215 38 ? ? PUNCT cjfa-12563 215 39 ’ ' PUNCT cjfa-12563 215 40 . . PUNCT cjfa-12563 216 1 the the DET cjfa-12563 216 2 decision decision NOUN cjfa-12563 216 3 on on ADP cjfa-12563 216 4 whether whether SCONJ cjfa-12563 216 5 to to PART cjfa-12563 216 6 purchase purchase VERB cjfa-12563 216 7 a a DET cjfa-12563 216 8 particular particular ADJ cjfa-12563 216 9 financial financial ADJ cjfa-12563 216 10 asset asset NOUN cjfa-12563 216 11 should should AUX cjfa-12563 216 12 hinge hinge VERB cjfa-12563 216 13 on on ADP cjfa-12563 216 14 how how SCONJ cjfa-12563 216 15 this this DET cjfa-12563 216 16 marginal marginal ADJ cjfa-12563 216 17 instrument instrument NOUN cjfa-12563 216 18 affects affect VERB cjfa-12563 216 19 the the DET cjfa-12563 216 20 statistical statistical ADJ cjfa-12563 216 21 distribution distribution NOUN cjfa-12563 216 22 of of ADP cjfa-12563 216 23 the the DET cjfa-12563 216 24 portfolio portfolio NOUN cjfa-12563 216 25 value value NOUN cjfa-12563 216 26 ( ( PUNCT cjfa-12563 216 27 and and CCONJ cjfa-12563 216 28 its its PRON cjfa-12563 216 29 central central ADJ cjfa-12563 216 30 moments moment NOUN cjfa-12563 216 31 ) ) PUNCT cjfa-12563 216 32 , , PUNCT cjfa-12563 216 33 rather rather ADV cjfa-12563 216 34 than than ADP cjfa-12563 216 35 on on ADP cjfa-12563 216 36 a a DET cjfa-12563 216 37 stand stand VERB cjfa-12563 216 38 - - PUNCT cjfa-12563 216 39 alone alone ADV cjfa-12563 216 40 evaluation evaluation NOUN cjfa-12563 216 41 of of ADP cjfa-12563 216 42 that that DET cjfa-12563 216 43 particular particular ADJ cjfa-12563 216 44 instrument instrument NOUN cjfa-12563 216 45 ’s ’s PART cjfa-12563 216 46 features feature NOUN cjfa-12563 216 47 ( ( PUNCT cjfa-12563 216 48 this this PRON cjfa-12563 216 49 is be AUX cjfa-12563 216 50 the the DET cjfa-12563 216 51 markowitz markowitz PROPN cjfa-12563 216 52 , , PUNCT cjfa-12563 216 53 1952 1952 NUM cjfa-12563 216 54 idea idea NOUN cjfa-12563 216 55 ) ) PUNCT cjfa-12563 216 56 . . PUNCT cjfa-12563 217 1 xiong xiong PROPN cjfa-12563 217 2 et et PROPN cjfa-12563 217 3 al al PROPN cjfa-12563 217 4 . . PROPN cjfa-12563 218 1 ( ( PUNCT cjfa-12563 218 2 2014 2014 NUM cjfa-12563 218 3 ) ) PUNCT cjfa-12563 218 4 apply apply VERB cjfa-12563 218 5 both both DET cjfa-12563 218 6 the the DET cjfa-12563 218 7 ecvar ecvar NOUN cjfa-12563 218 8 and and CCONJ cjfa-12563 218 9 the the DET cjfa-12563 218 10 co co NOUN cjfa-12563 218 11 - - NOUN cjfa-12563 218 12 skewness skewness NOUN cjfa-12563 218 13 with with ADP cjfa-12563 218 14 similar similar ADJ cjfa-12563 218 15 empirical empirical ADJ cjfa-12563 218 16 results result NOUN cjfa-12563 218 17 . . PUNCT cjfa-12563 219 1 value value NOUN cjfa-12563 219 2 at at ADP cjfa-12563 219 3 risk risk NOUN cjfa-12563 219 4 based base VERB cjfa-12563 219 5 on on ADP cjfa-12563 219 6 copulas copula NOUN cjfa-12563 219 7 the the DET cjfa-12563 219 8 var var NOUN cjfa-12563 219 9 is be AUX cjfa-12563 219 10 a a DET cjfa-12563 219 11 quantile quantile NOUN cjfa-12563 219 12 of of ADP cjfa-12563 219 13 the the DET cjfa-12563 219 14 statistical statistical ADJ cjfa-12563 219 15 distribution distribution NOUN cjfa-12563 219 16 of of ADP cjfa-12563 219 17 the the DET cjfa-12563 219 18 portfolio portfolio NOUN cjfa-12563 219 19 value value NOUN cjfa-12563 219 20 or or CCONJ cjfa-12563 219 21 the the DET cjfa-12563 219 22 portfolio portfolio NOUN cjfa-12563 219 23 return return NOUN cjfa-12563 219 24 . . PUNCT cjfa-12563 220 1 copulas copula NOUN cjfa-12563 220 2 ( ( PUNCT cjfa-12563 220 3 or or CCONJ cjfa-12563 220 4 ‘ ' PUNCT cjfa-12563 220 5 copulae copulae NOUN cjfa-12563 220 6 ’ ' PUNCT cjfa-12563 220 7 ) ) PUNCT cjfa-12563 220 8 are be AUX cjfa-12563 220 9 an an DET cjfa-12563 220 10 alternative alternative ADJ cjfa-12563 220 11 way way NOUN cjfa-12563 220 12 to to PART cjfa-12563 220 13 present present VERB cjfa-12563 220 14 a a DET cjfa-12563 220 15 multivariate multivariate NOUN cjfa-12563 220 16 model model NOUN cjfa-12563 220 17 , , PUNCT cjfa-12563 220 18 which which PRON cjfa-12563 220 19 in in ADP cjfa-12563 220 20 turn turn NOUN cjfa-12563 220 21 can can AUX cjfa-12563 220 22 be be AUX cjfa-12563 220 23 used use VERB cjfa-12563 220 24 to to PART cjfa-12563 220 25 derive derive VERB cjfa-12563 220 26 a a DET cjfa-12563 220 27 value value NOUN cjfa-12563 220 28 at at ADP cjfa-12563 220 29 risk risk NOUN cjfa-12563 220 30 . . PUNCT cjfa-12563 221 1 copulas copula NOUN cjfa-12563 221 2 are be AUX cjfa-12563 221 3 particularly particularly ADV cjfa-12563 221 4 useful useful ADJ cjfa-12563 221 5 in in ADP cjfa-12563 221 6 modelling model VERB cjfa-12563 221 7 tail tail NOUN cjfa-12563 221 8 dependencies dependency NOUN cjfa-12563 221 9 . . PUNCT cjfa-12563 222 1 tail tail NOUN cjfa-12563 222 2 dependence dependence NOUN cjfa-12563 222 3 means mean VERB cjfa-12563 222 4 that that SCONJ cjfa-12563 222 5 dependencies dependency NOUN cjfa-12563 222 6 in in ADP cjfa-12563 222 7 the the DET cjfa-12563 222 8 data datum NOUN cjfa-12563 222 9 vary vary VERB cjfa-12563 222 10 across across ADP cjfa-12563 222 11 the the DET cjfa-12563 222 12 observations observation NOUN cjfa-12563 222 13 , , PUNCT cjfa-12563 222 14 e.g. e.g. ADV cjfa-12563 222 15 extremely extremely ADV cjfa-12563 222 16 low low ADJ cjfa-12563 222 17 values value NOUN cjfa-12563 222 18 tend tend VERB cjfa-12563 222 19 to to PART cjfa-12563 222 20 be be AUX cjfa-12563 222 21 realised realise VERB cjfa-12563 222 22 jointly jointly ADV cjfa-12563 222 23 more more ADV cjfa-12563 222 24 often often ADV cjfa-12563 222 25 than than ADP cjfa-12563 222 26 other other ADJ cjfa-12563 222 27 values value NOUN cjfa-12563 222 28 . . PUNCT cjfa-12563 223 1 christiane christiane PROPN cjfa-12563 223 2 goodfellow goodfellow PROPN cjfa-12563 223 3 , , PUNCT cjfa-12563 223 4 christian christian PROPN cjfa-12563 223 5 salm92 salm92 PROPN cjfa-12563 223 6 if if SCONJ cjfa-12563 223 7 this this PRON cjfa-12563 223 8 is be AUX cjfa-12563 223 9 equally equally ADV cjfa-12563 223 10 true true ADJ cjfa-12563 223 11 for for ADP cjfa-12563 223 12 both both DET cjfa-12563 223 13 tails tail NOUN cjfa-12563 223 14 of of ADP cjfa-12563 223 15 the the DET cjfa-12563 223 16 distribution distribution NOUN cjfa-12563 223 17 , , PUNCT cjfa-12563 223 18 the the DET cjfa-12563 223 19 tail tail NOUN cjfa-12563 223 20 dependence dependence NOUN cjfa-12563 223 21 is be AUX cjfa-12563 223 22 symmetric symmetric ADJ cjfa-12563 223 23 , , PUNCT cjfa-12563 223 24 and and CCONJ cjfa-12563 223 25 the the DET cjfa-12563 223 26 student student NOUN cjfa-12563 223 27 ’s ’s PART cjfa-12563 223 28 t t NOUN cjfa-12563 223 29 distribution distribution NOUN cjfa-12563 223 30 is be AUX cjfa-12563 223 31 , , PUNCT cjfa-12563 223 32 in in ADP cjfa-12563 223 33 general general ADJ cjfa-12563 223 34 , , PUNCT cjfa-12563 223 35 a a DET cjfa-12563 223 36 reasonable reasonable ADJ cjfa-12563 223 37 choice choice NOUN cjfa-12563 223 38 of of ADP cjfa-12563 223 39 marginal marginal ADJ cjfa-12563 223 40 distribution distribution NOUN cjfa-12563 223 41 . . PUNCT cjfa-12563 224 1 if if SCONJ cjfa-12563 224 2 , , PUNCT cjfa-12563 224 3 on on ADP cjfa-12563 224 4 the the DET cjfa-12563 224 5 other other ADJ cjfa-12563 224 6 hand hand NOUN cjfa-12563 224 7 , , PUNCT cjfa-12563 224 8 this this DET cjfa-12563 224 9 dependence dependence NOUN cjfa-12563 224 10 is be AUX cjfa-12563 224 11 stronger strong ADJ cjfa-12563 224 12 in in ADP cjfa-12563 224 13 the the DET cjfa-12563 224 14 lower low ADJ cjfa-12563 224 15 tail tail NOUN cjfa-12563 224 16 of of ADP cjfa-12563 224 17 the the DET cjfa-12563 224 18 distribution distribution NOUN cjfa-12563 224 19 ( ( PUNCT cjfa-12563 224 20 or or CCONJ cjfa-12563 224 21 vice vice NOUN cjfa-12563 224 22 versa versa ADV cjfa-12563 224 23 ) ) PUNCT cjfa-12563 224 24 , , PUNCT cjfa-12563 224 25 which which PRON cjfa-12563 224 26 is be AUX cjfa-12563 224 27 common common ADJ cjfa-12563 224 28 in in ADP cjfa-12563 224 29 financial financial ADJ cjfa-12563 224 30 data datum NOUN cjfa-12563 224 31 , , PUNCT cjfa-12563 224 32 the the DET cjfa-12563 224 33 tail tail NOUN cjfa-12563 224 34 dependence dependence NOUN cjfa-12563 224 35 is be AUX cjfa-12563 224 36 asymmetric asymmetric ADJ cjfa-12563 224 37 , , PUNCT cjfa-12563 224 38 and and CCONJ cjfa-12563 224 39 so so ADV cjfa-12563 224 40 an an DET cjfa-12563 224 41 extreme extreme ADJ cjfa-12563 224 42 value value NOUN cjfa-12563 224 43 copula copula NOUN cjfa-12563 224 44 should should AUX cjfa-12563 224 45 be be AUX cjfa-12563 224 46 used use VERB cjfa-12563 224 47 ( ( PUNCT cjfa-12563 224 48 gumbel gumbel PROPN cjfa-12563 224 49 is be AUX cjfa-12563 224 50 an an DET cjfa-12563 224 51 example example NOUN cjfa-12563 224 52 , , PUNCT cjfa-12563 224 53 although although SCONJ cjfa-12563 224 54 this this PRON cjfa-12563 224 55 only only ADJ cjfa-12563 224 56 works work VERB cjfa-12563 224 57 for for ADP cjfa-12563 224 58 positive positive ADJ cjfa-12563 224 59 correlations correlation NOUN cjfa-12563 224 60 ) ) PUNCT cjfa-12563 224 61 . . PUNCT cjfa-12563 225 1 our our PRON cjfa-12563 225 2 analysis analysis NOUN cjfa-12563 225 3 is be AUX cjfa-12563 225 4 centred centre VERB cjfa-12563 225 5 around around ADP cjfa-12563 225 6 the the DET cjfa-12563 225 7 current current ADJ cjfa-12563 225 8 supervisory supervisory ADJ cjfa-12563 225 9 requirement requirement NOUN cjfa-12563 225 10 : : PUNCT cjfa-12563 225 11 risk risk NOUN cjfa-12563 225 12 measures measure NOUN cjfa-12563 225 13 based base VERB cjfa-12563 225 14 on on ADP cjfa-12563 225 15 the the DET cjfa-12563 225 16 normal normal ADJ cjfa-12563 225 17 assumption assumption NOUN cjfa-12563 225 18 . . PUNCT cjfa-12563 226 1 we we PRON cjfa-12563 226 2 therefore therefore ADV cjfa-12563 226 3 do do AUX cjfa-12563 226 4 not not PART cjfa-12563 226 5 endlessly endlessly ADV cjfa-12563 226 6 refine refine VERB cjfa-12563 226 7 our our PRON cjfa-12563 226 8 copula copula NOUN cjfa-12563 226 9 calculation calculation NOUN cjfa-12563 226 10 , , PUNCT cjfa-12563 226 11 but but CCONJ cjfa-12563 226 12 rather rather ADV cjfa-12563 226 13 argue argue VERB cjfa-12563 226 14 that that SCONJ cjfa-12563 226 15 a a DET cjfa-12563 226 16 t t NOUN cjfa-12563 226 17 copula copula NOUN cjfa-12563 226 18 risk risk NOUN cjfa-12563 226 19 calculation calculation NOUN cjfa-12563 226 20 will will AUX cjfa-12563 226 21 be be AUX cjfa-12563 226 22 more more ADV cjfa-12563 226 23 accurate accurate ADJ cjfa-12563 226 24 than than ADP cjfa-12563 226 25 any any DET cjfa-12563 226 26 conventional conventional ADJ cjfa-12563 226 27 , , PUNCT cjfa-12563 226 28 normal normal ADJ cjfa-12563 226 29 distribution distribution NOUN cjfa-12563 226 30 based base VERB cjfa-12563 226 31 measure measure NOUN cjfa-12563 226 32 that that SCONJ cjfa-12563 226 33 supervisors supervisor NOUN cjfa-12563 226 34 will will AUX cjfa-12563 226 35 accept accept VERB cjfa-12563 226 36 . . PUNCT cjfa-12563 227 1 let let VERB cjfa-12563 227 2 x x PRON cjfa-12563 227 3 and and CCONJ cjfa-12563 227 4 y y PROPN cjfa-12563 227 5 be be AUX cjfa-12563 227 6 two two NUM cjfa-12563 227 7 random random ADJ cjfa-12563 227 8 variables variable NOUN cjfa-12563 227 9 , , PUNCT cjfa-12563 227 10 e.g. e.g. ADV cjfa-12563 227 11 the the DET cjfa-12563 227 12 values value NOUN cjfa-12563 227 13 of of ADP cjfa-12563 227 14 two two NUM cjfa-12563 227 15 stocks stock NOUN cjfa-12563 227 16 or or CCONJ cjfa-12563 227 17 their their PRON cjfa-12563 227 18 returns return NOUN cjfa-12563 227 19 , , PUNCT cjfa-12563 227 20 with with ADP cjfa-12563 227 21 the the DET cjfa-12563 227 22 joint joint ADJ cjfa-12563 227 23 continuous continuous ADJ cjfa-12563 227 24 probability probability NOUN cjfa-12563 227 25 density density NOUN cjfa-12563 227 26 function function VERB cjfa-12563 227 27 f(x f(x PROPN cjfa-12563 227 28 , , PUNCT cjfa-12563 227 29 y y PROPN cjfa-12563 227 30 ) ) PUNCT cjfa-12563 227 31 and and CCONJ cjfa-12563 227 32 the the DET cjfa-12563 227 33 joint joint ADJ cjfa-12563 227 34 cumulative cumulative ADJ cjfa-12563 227 35 distribution distribution NOUN cjfa-12563 227 36 function function NOUN cjfa-12563 227 37 ( ( PUNCT cjfa-12563 227 38 cdf cdf PROPN cjfa-12563 227 39 ) ) PUNCT cjfa-12563 227 40 f(x f(x PROPN cjfa-12563 227 41 , , PUNCT cjfa-12563 227 42 y y PROPN cjfa-12563 227 43 ) ) PUNCT cjfa-12563 227 44 . . PUNCT cjfa-12563 228 1 the the DET cjfa-12563 228 2 marginal marginal ADJ cjfa-12563 228 3 probability probability NOUN cjfa-12563 228 4 density density NOUN cjfa-12563 228 5 functions function NOUN cjfa-12563 228 6 are be AUX cjfa-12563 228 7 f(x f(x PROPN cjfa-12563 228 8 ) ) PUNCT cjfa-12563 228 9 and and CCONJ cjfa-12563 228 10 f(y f(y NOUN cjfa-12563 228 11 ) ) PUNCT cjfa-12563 228 12 , , PUNCT cjfa-12563 228 13 respectively respectively ADV cjfa-12563 228 14 . . PUNCT cjfa-12563 229 1 likewise likewise ADV cjfa-12563 229 2 , , PUNCT cjfa-12563 229 3 the the DET cjfa-12563 229 4 individual individual ADJ cjfa-12563 229 5 cumulative cumulative ADJ cjfa-12563 229 6 distribution distribution NOUN cjfa-12563 229 7 functions function NOUN cjfa-12563 229 8 are be AUX cjfa-12563 229 9 f(x f(x PROPN cjfa-12563 229 10 ) ) PUNCT cjfa-12563 229 11 and and CCONJ cjfa-12563 229 12 f(y f(y NOUN cjfa-12563 229 13 ) ) PUNCT cjfa-12563 229 14 . . PUNCT cjfa-12563 230 1 according accord VERB cjfa-12563 230 2 to to ADP cjfa-12563 230 3 sklar sklar PROPN cjfa-12563 230 4 ( ( PUNCT cjfa-12563 230 5 1959 1959 NUM cjfa-12563 230 6 ) ) PUNCT cjfa-12563 230 7 , , PUNCT cjfa-12563 230 8 there there PRON cjfa-12563 230 9 is be VERB cjfa-12563 230 10 a a DET cjfa-12563 230 11 function function NOUN cjfa-12563 230 12 : : PUNCT cjfa-12563 230 13 � � PROPN cjfa-12563 230 14 � � PROPN cjfa-12563 230 15 , , PUNCT cjfa-12563 230 16 � � PROPN cjfa-12563 230 17 � � PROPN cjfa-12563 230 18 � � PROPN cjfa-12563 230 19 ( ( PUNCT cjfa-12563 230 20 � � PROPN cjfa-12563 230 21 ) ) PUNCT cjfa-12563 230 22 , , PUNCT cjfa-12563 230 23 � � PROPN cjfa-12563 230 24 ( ( PUNCT cjfa-12563 230 25 � � PROPN cjfa-12563 230 26 ) ) PUNCT cjfa-12563 230 27 � � PROPN cjfa-12563 230 28 � � PROPN cjfa-12563 230 29 � � PROPN cjfa-12563 230 30 ( ( PUNCT cjfa-12563 230 31 � � PROPN cjfa-12563 230 32 , , PUNCT cjfa-12563 230 33 � � PROPN cjfa-12563 230 34 ) ) PUNCT cjfa-12563 230 35 with with ADP cjfa-12563 230 36 � � PROPN cjfa-12563 230 37 � � PROPN cjfa-12563 230 38 , , PUNCT cjfa-12563 230 39 � � PROPN cjfa-12563 230 40 : : PUNCT cjfa-12563 231 1 [ [ X cjfa-12563 231 2 0,1 0,1 NUM cjfa-12563 231 3 ] ] X cjfa-12563 231 4 × × NOUN cjfa-12563 232 1 [ [ X cjfa-12563 232 2 0,1 0,1 NUM cjfa-12563 232 3 ] ] PUNCT cjfa-12563 232 4 → → PUNCT cjfa-12563 232 5 [ [ X cjfa-12563 232 6 0,1 0,1 NUM cjfa-12563 232 7 ] ] PUNCT cjfa-12563 232 8 . . PUNCT cjfa-12563 233 1 in in ADP cjfa-12563 233 2 other other ADJ cjfa-12563 233 3 words word NOUN cjfa-12563 233 4 , , PUNCT cjfa-12563 233 5 the the DET cjfa-12563 233 6 joint joint ADJ cjfa-12563 233 7 cumulative cumulative ADJ cjfa-12563 233 8 distribution distribution NOUN cjfa-12563 233 9 function function NOUN cjfa-12563 233 10 can can AUX cjfa-12563 233 11 be be AUX cjfa-12563 233 12 split split VERB cjfa-12563 233 13 into into ADP cjfa-12563 233 14 ( ( PUNCT cjfa-12563 233 15 i i NOUN cjfa-12563 233 16 ) ) PUNCT cjfa-12563 233 17 the the DET cjfa-12563 233 18 marginal marginal ADJ cjfa-12563 233 19 cumulative cumulative ADJ cjfa-12563 233 20 distribution distribution NOUN cjfa-12563 233 21 functions function NOUN cjfa-12563 233 22 representing represent VERB cjfa-12563 233 23 the the DET cjfa-12563 233 24 univariate univariate ADJ cjfa-12563 233 25 features feature NOUN cjfa-12563 233 26 , , PUNCT cjfa-12563 233 27 and and CCONJ cjfa-12563 233 28 ( ( PUNCT cjfa-12563 233 29 ii ii NOUN cjfa-12563 233 30 ) ) PUNCT cjfa-12563 233 31 the the DET cjfa-12563 233 32 copula copula NOUN cjfa-12563 233 33 c c PROPN cjfa-12563 233 34 capturing capture VERB cjfa-12563 233 35 the the DET cjfa-12563 233 36 joint joint ADJ cjfa-12563 233 37 characteristics characteristic NOUN cjfa-12563 233 38 of of ADP cjfa-12563 233 39 the the DET cjfa-12563 233 40 joint joint ADJ cjfa-12563 233 41 cumulative cumulative ADJ cjfa-12563 233 42 distribution distribution NOUN cjfa-12563 233 43 function function NOUN cjfa-12563 233 44 . . PUNCT cjfa-12563 234 1 thus thus ADV cjfa-12563 234 2 , , PUNCT cjfa-12563 234 3 the the DET cjfa-12563 234 4 copula copula NOUN cjfa-12563 234 5 only only ADV cjfa-12563 234 6 contains contain VERB cjfa-12563 234 7 information information NOUN cjfa-12563 234 8 on on ADP cjfa-12563 234 9 the the DET cjfa-12563 234 10 dependencies dependency NOUN cjfa-12563 234 11 between between ADP cjfa-12563 234 12 x x PUNCT cjfa-12563 234 13 and and CCONJ cjfa-12563 234 14 y. y. NOUN cjfa-12563 234 15 the the DET cjfa-12563 234 16 marginal marginal ADJ cjfa-12563 234 17 distributions distribution NOUN cjfa-12563 234 18 do do AUX cjfa-12563 234 19 not not PART cjfa-12563 234 20 have have VERB cjfa-12563 234 21 to to PART cjfa-12563 234 22 be be AUX cjfa-12563 234 23 identical identical ADJ cjfa-12563 234 24 . . PUNCT cjfa-12563 235 1 the the DET cjfa-12563 235 2 copula copula NOUN cjfa-12563 235 3 is be AUX cjfa-12563 235 4 the the DET cjfa-12563 235 5 joint joint ADJ cjfa-12563 235 6 cumulative cumulative ADJ cjfa-12563 235 7 distribution distribution NOUN cjfa-12563 235 8 function function NOUN cjfa-12563 235 9 with with ADP cjfa-12563 235 10 the the DET cjfa-12563 235 11 individual individual ADJ cjfa-12563 235 12 quantile quantile PROPN cjfa-12563 235 13 functions function NOUN cjfa-12563 235 14 � � PROPN cjfa-12563 235 15 ( ( PUNCT cjfa-12563 235 16 � � PROPN cjfa-12563 235 17 , , PUNCT cjfa-12563 235 18 � � PROPN cjfa-12563 235 19 ) ) PUNCT cjfa-12563 235 20 � � PROPN cjfa-12563 235 21 � � PROPN cjfa-12563 235 22 � � PROPN cjfa-12563 235 23 , , PUNCT cjfa-12563 235 24 � � PROPN cjfa-12563 235 25 ( ( PUNCT cjfa-12563 235 26 � � PROPN cjfa-12563 235 27 � � PROPN cjfa-12563 235 28 � � PROPN cjfa-12563 235 29 � � PROPN cjfa-12563 235 30 ( ( PUNCT cjfa-12563 235 31 � � PROPN cjfa-12563 235 32 ) ) PUNCT cjfa-12563 235 33 , , PUNCT cjfa-12563 235 34 � � PROPN cjfa-12563 235 35 � � PROPN cjfa-12563 235 36 � � PROPN cjfa-12563 235 37 � � PROPN cjfa-12563 235 38 ( ( PUNCT cjfa-12563 235 39 � � PROPN cjfa-12563 235 40 ) ) PUNCT cjfa-12563 235 41 ) ) PUNCT cjfa-12563 235 42 as as ADP cjfa-12563 235 43 marginal marginal ADJ cjfa-12563 235 44 cumulative cumulative ADJ cjfa-12563 235 45 distribution distribution NOUN cjfa-12563 235 46 functions function NOUN cjfa-12563 235 47 , , PUNCT cjfa-12563 235 48 we we PRON cjfa-12563 235 49 choose choose VERB cjfa-12563 235 50 student student NOUN cjfa-12563 235 51 's 's PART cjfa-12563 235 52 t t NOUN cjfa-12563 235 53 distribution distribution NOUN cjfa-12563 235 54 as as ADV cjfa-12563 235 55 well well ADV cjfa-12563 235 56 as as ADP cjfa-12563 235 57 the the DET cjfa-12563 235 58 normal normal ADJ cjfa-12563 235 59 distribution distribution NOUN cjfa-12563 235 60 . . PUNCT cjfa-12563 236 1 we we PRON cjfa-12563 236 2 expect expect VERB cjfa-12563 236 3 that that SCONJ cjfa-12563 236 4 the the DET cjfa-12563 236 5 normal normal ADJ cjfa-12563 236 6 distributions distribution NOUN cjfa-12563 236 7 will will AUX cjfa-12563 236 8 underestimate underestimate VERB cjfa-12563 236 9 risk risk NOUN cjfa-12563 236 10 , , PUNCT cjfa-12563 236 11 unless unless SCONJ cjfa-12563 236 12 the the DET cjfa-12563 236 13 return return NOUN cjfa-12563 236 14 series series NOUN cjfa-12563 236 15 are be AUX cjfa-12563 236 16 normally normally ADV cjfa-12563 236 17 distributed distribute VERB cjfa-12563 236 18 . . PUNCT cjfa-12563 237 1 we we PRON cjfa-12563 237 2 include include VERB cjfa-12563 237 3 the the DET cjfa-12563 237 4 normal normal ADJ cjfa-12563 237 5 based base VERB cjfa-12563 237 6 risk risk NOUN cjfa-12563 237 7 measures measure NOUN cjfa-12563 237 8 in in ADP cjfa-12563 237 9 our our PRON cjfa-12563 237 10 analysis analysis NOUN cjfa-12563 237 11 , , PUNCT cjfa-12563 237 12 however however ADV cjfa-12563 237 13 , , PUNCT cjfa-12563 237 14 to to PART cjfa-12563 237 15 show show VERB cjfa-12563 237 16 exactly exactly ADV cjfa-12563 237 17 by by ADP cjfa-12563 237 18 how how SCONJ cjfa-12563 237 19 much much ADJ cjfa-12563 237 20 it it PRON cjfa-12563 237 21 underestimates underestimate VERB cjfa-12563 237 22 risk risk NOUN cjfa-12563 237 23 compared compare VERB cjfa-12563 237 24 to to ADP cjfa-12563 237 25 the the DET cjfa-12563 237 26 t t NOUN cjfa-12563 237 27 distributed distribute VERB cjfa-12563 237 28 marginal marginal ADJ cjfa-12563 237 29 functions function NOUN cjfa-12563 237 30 . . PUNCT cjfa-12563 238 1 for for ADP cjfa-12563 238 2 the the DET cjfa-12563 238 3 normal normal ADJ cjfa-12563 238 4 distribution distribution NOUN cjfa-12563 238 5 , , PUNCT cjfa-12563 238 6 the the DET cjfa-12563 238 7 corresponding corresponding ADJ cjfa-12563 238 8 copula copula NOUN cjfa-12563 238 9 is be AUX cjfa-12563 238 10 the the DET cjfa-12563 238 11 gaussian gaussian ADJ cjfa-12563 238 12 copula copula NOUN cjfa-12563 238 13 : : PUNCT cjfa-12563 238 14 � � PROPN cjfa-12563 238 15 ( ( PUNCT cjfa-12563 238 16 � � PROPN cjfa-12563 238 17 , , PUNCT cjfa-12563 238 18 � � PROPN cjfa-12563 238 19 � � PROPN cjfa-12563 238 20 � � PROPN cjfa-12563 238 21 ) ) PUNCT cjfa-12563 238 22 � � PROPN cjfa-12563 238 23 � � PROPN cjfa-12563 238 24 � � PROPN cjfa-12563 238 25 � � PROPN cjfa-12563 238 26 � � PROPN cjfa-12563 238 27 � � PROPN cjfa-12563 238 28 � � PROPN cjfa-12563 238 29 ( ( PUNCT cjfa-12563 238 30 � � PROPN cjfa-12563 238 31 ) ) PUNCT cjfa-12563 238 32 , , PUNCT cjfa-12563 238 33 � � PROPN cjfa-12563 238 34 � � PROPN cjfa-12563 238 35 � � PROPN cjfa-12563 238 36 ( ( PUNCT cjfa-12563 238 37 � � PROPN cjfa-12563 238 38 ) ) PUNCT cjfa-12563 238 39 � � PROPN cjfa-12563 238 40 � � PROPN cjfa-12563 238 41 � � PROPN cjfa-12563 238 42 � � PROPN cjfa-12563 238 43 � � PROPN cjfa-12563 238 44 � � PROPN cjfa-12563 238 45 ( ( PUNCT cjfa-12563 238 46 � � PROPN cjfa-12563 238 47 ) ) PUNCT cjfa-12563 238 48 � � PROPN cjfa-12563 238 49 � � PROPN cjfa-12563 238 50 � � PROPN cjfa-12563 238 51 1 1 NUM cjfa-12563 238 52 � � PROPN cjfa-12563 238 53 � � PROPN cjfa-12563 238 54 ( ( PUNCT cjfa-12563 238 55 1 1 NUM cjfa-12563 238 56 � � PROPN cjfa-12563 238 57 � � PROPN cjfa-12563 238 58 � � PROPN cjfa-12563 238 59 ) ) PUNCT cjfa-12563 238 60 � � PROPN cjfa-12563 238 61 � � PROPN cjfa-12563 238 62 � � PROPN cjfa-12563 238 63 ( ( PUNCT cjfa-12563 238 64 � � PROPN cjfa-12563 238 65 ) ) PUNCT cjfa-12563 238 66 � � PROPN cjfa-12563 238 67 � � PROPN cjfa-12563 238 68 � � PROPN cjfa-12563 238 69 � � PROPN cjfa-12563 238 70 � � PROPN cjfa-12563 238 71 � � PROPN cjfa-12563 238 72 � � PROPN cjfa-12563 238 73 � � PROPN cjfa-12563 238 74 ( ( PUNCT cjfa-12563 238 75 � � PROPN cjfa-12563 238 76 � � PROPN cjfa-12563 238 77 � � PROPN cjfa-12563 238 78 � � PROPN cjfa-12563 238 79 � � PROPN cjfa-12563 238 80 � � PROPN cjfa-12563 238 81 � � PROPN cjfa-12563 238 82 � � PROPN cjfa-12563 238 83 � � PROPN cjfa-12563 238 84 � � PROPN cjfa-12563 238 85 ) ) PUNCT cjfa-12563 238 86 � � PROPN cjfa-12563 238 87 ( ( PUNCT cjfa-12563 238 88 1 1 NUM cjfa-12563 238 89 � � PROPN cjfa-12563 238 90 � � PROPN cjfa-12563 238 91 � � PROPN cjfa-12563 238 92 ) ) PUNCT cjfa-12563 238 93 � � PROPN cjfa-12563 238 94 � � PROPN cjfa-12563 238 95 � � PROPN cjfa-12563 238 96 � � PROPN cjfa-12563 238 97 � � PROPN cjfa-12563 238 98 with with ADP cjfa-12563 238 99 � � PROPN cjfa-12563 238 100 being be AUX cjfa-12563 238 101 the the DET cjfa-12563 238 102 cumulative cumulative ADJ cjfa-12563 238 103 distribution distribution NOUN cjfa-12563 238 104 function function NOUN cjfa-12563 238 105 of of ADP cjfa-12563 238 106 the the DET cjfa-12563 238 107 univariate univariate ADJ cjfa-12563 238 108 standard standard ADJ cjfa-12563 238 109 normal normal ADJ cjfa-12563 238 110 distribution distribution NOUN cjfa-12563 238 111 and and CCONJ cjfa-12563 238 112 � � PROPN cjfa-12563 238 113 � � PROPN cjfa-12563 238 114 the the DET cjfa-12563 238 115 cumulative cumulative ADJ cjfa-12563 238 116 distribution distribution NOUN cjfa-12563 238 117 function function NOUN cjfa-12563 238 118 of of ADP cjfa-12563 238 119 the the DET cjfa-12563 238 120 joint joint ADJ cjfa-12563 238 121 , , PUNCT cjfa-12563 238 122 bivariate bivariate ADJ cjfa-12563 238 123 standard standard ADJ cjfa-12563 238 124 normal normal ADJ cjfa-12563 238 125 distribution distribution NOUN cjfa-12563 238 126 with with ADP cjfa-12563 238 127 parameter parameter PROPN cjfa-12563 238 128 � � PROPN cjfa-12563 238 129 ( ( PUNCT cjfa-12563 238 130 � � PROPN cjfa-12563 238 131 1 1 NUM cjfa-12563 238 132 � � PROPN cjfa-12563 238 133 � � PROPN cjfa-12563 238 134 � � PROPN cjfa-12563 238 135 1 1 NUM cjfa-12563 238 136 ) ) PUNCT cjfa-12563 238 137 . . PUNCT cjfa-12563 239 1 the the DET cjfa-12563 239 2 gaussian gaussian ADJ cjfa-12563 239 3 copula copula NOUN cjfa-12563 239 4 is be AUX cjfa-12563 239 5 completely completely ADV cjfa-12563 239 6 specified specify VERB cjfa-12563 239 7 by by ADP cjfa-12563 239 8 the the DET cjfa-12563 239 9 correlation correlation NOUN cjfa-12563 239 10 matrix matrix NOUN cjfa-12563 239 11 , , PUNCT cjfa-12563 239 12 which which PRON cjfa-12563 239 13 confirms confirm VERB cjfa-12563 239 14 the the DET cjfa-12563 239 15 argument argument NOUN cjfa-12563 239 16 that that SCONJ cjfa-12563 239 17 the the DET cjfa-12563 239 18 covariance covariance NOUN cjfa-12563 239 19 or or CCONJ cjfa-12563 239 20 correlation correlation NOUN cjfa-12563 239 21 matrix matrix NOUN cjfa-12563 239 22 is be AUX cjfa-12563 239 23 a a DET cjfa-12563 239 24 comprehensive comprehensive ADJ cjfa-12563 239 25 enough enough ADJ cjfa-12563 239 26 risk risk NOUN cjfa-12563 239 27 metric metric NOUN cjfa-12563 239 28 only only ADV cjfa-12563 239 29 if if SCONJ cjfa-12563 239 30 the the DET cjfa-12563 239 31 returns return NOUN cjfa-12563 239 32 follow follow VERB cjfa-12563 239 33 a a DET cjfa-12563 239 34 normal normal ADJ cjfa-12563 239 35 distribution distribution NOUN cjfa-12563 239 36 . . PUNCT cjfa-12563 240 1 for for ADP cjfa-12563 240 2 the the DET cjfa-12563 240 3 student student NOUN cjfa-12563 240 4 's 's PART cjfa-12563 240 5 t t NOUN cjfa-12563 240 6 distribution distribution NOUN cjfa-12563 240 7 , , PUNCT cjfa-12563 240 8 the the DET cjfa-12563 240 9 corresponding corresponding ADJ cjfa-12563 240 10 copula copula NOUN cjfa-12563 240 11 is be AUX cjfa-12563 240 12 the the DET cjfa-12563 240 13 t t PROPN cjfa-12563 240 14 copula copula NOUN cjfa-12563 240 15 : : PUNCT cjfa-12563 240 16 � � PROPN cjfa-12563 240 17 ( ( PUNCT cjfa-12563 240 18 � � PROPN cjfa-12563 240 19 , , PUNCT cjfa-12563 240 20 � � PROPN cjfa-12563 240 21 � � PROPN cjfa-12563 240 22 � � PROPN cjfa-12563 240 23 , , PUNCT cjfa-12563 240 24 � � PROPN cjfa-12563 240 25 ) ) PUNCT cjfa-12563 240 26 � � PROPN cjfa-12563 240 27 � � PROPN cjfa-12563 240 28 � � PROPN cjfa-12563 240 29 � � PROPN cjfa-12563 240 30 � � PROPN cjfa-12563 240 31 � � PROPN cjfa-12563 240 32 ( ( PUNCT cjfa-12563 240 33 � � PROPN cjfa-12563 240 34 ) ) PUNCT cjfa-12563 240 35 � � PROPN cjfa-12563 240 36 � � PROPN cjfa-12563 240 37 � � PROPN cjfa-12563 240 38 1 1 NUM cjfa-12563 240 39 � � PROPN cjfa-12563 240 40 � � PROPN cjfa-12563 240 41 � � PROPN cjfa-12563 240 42 1 1 NUM cjfa-12563 240 43 � � PROPN cjfa-12563 240 44 � � PROPN cjfa-12563 240 45 � � PROPN cjfa-12563 240 46 � � PROPN cjfa-12563 240 47 � � PROPN cjfa-12563 240 48 � � PROPN cjfa-12563 240 49 � � PROPN cjfa-12563 240 50 ( ( PUNCT cjfa-12563 240 51 � � PROPN cjfa-12563 240 52 ) ) PUNCT cjfa-12563 240 53 � � PROPN cjfa-12563 240 54 � � PROPN cjfa-12563 240 55 � � PROPN cjfa-12563 240 56 � � PROPN cjfa-12563 240 57 1 1 NUM cjfa-12563 240 58 � � PROPN cjfa-12563 240 59 ( ( PUNCT cjfa-12563 240 60 � � PROPN cjfa-12563 240 61 � � PROPN cjfa-12563 240 62 � � PROPN cjfa-12563 240 63 � � PROPN cjfa-12563 240 64 � � PROPN cjfa-12563 240 65 � � PROPN cjfa-12563 240 66 � � PROPN cjfa-12563 240 67 � � PROPN cjfa-12563 240 68 � � PROPN cjfa-12563 240 69 � � PROPN cjfa-12563 240 70 ) ) PUNCT cjfa-12563 240 71 � � PROPN cjfa-12563 240 72 ( ( PUNCT cjfa-12563 240 73 1 1 NUM cjfa-12563 240 74 � � PROPN cjfa-12563 240 75 � � PROPN cjfa-12563 240 76 � � PROPN cjfa-12563 240 77 ) ) PUNCT cjfa-12563 240 78 � � PROPN cjfa-12563 240 79 � � PROPN cjfa-12563 240 80 ( ( PUNCT cjfa-12563 240 81 � � PROPN cjfa-12563 240 82 � � PROPN cjfa-12563 240 83 � � PROPN cjfa-12563 240 84 ) ) PUNCT cjfa-12563 240 85 � � PROPN cjfa-12563 240 86 � � PROPN cjfa-12563 240 87 � � PROPN cjfa-12563 240 88 � � PROPN cjfa-12563 240 89 � � PROPN cjfa-12563 240 90 with with ADP cjfa-12563 240 91 � � PROPN cjfa-12563 240 92 � � PROPN cjfa-12563 240 93 being be AUX cjfa-12563 240 94 the the DET cjfa-12563 240 95 univariate univariate ADJ cjfa-12563 240 96 cumulative cumulative ADJ cjfa-12563 240 97 distribution distribution NOUN cjfa-12563 240 98 function function NOUN cjfa-12563 240 99 of of ADP cjfa-12563 240 100 the the DET cjfa-12563 240 101 student student NOUN cjfa-12563 240 102 's 's PART cjfa-12563 240 103 t t NOUN cjfa-12563 240 104 distribution distribution NOUN cjfa-12563 240 105 with with ADP cjfa-12563 240 106 � � PROPN cjfa-12563 240 107 � � PROPN cjfa-12563 240 108 0 0 NUM cjfa-12563 240 109 degrees degree NOUN cjfa-12563 240 110 of of ADP cjfa-12563 240 111 freedom freedom NOUN cjfa-12563 240 112 and and CCONJ cjfa-12563 240 113 ( ( PUNCT cjfa-12563 240 114 � � PROPN cjfa-12563 240 115 1 1 NUM cjfa-12563 240 116 � � PROPN cjfa-12563 240 117 � � PROPN cjfa-12563 240 118 � � PROPN cjfa-12563 240 119 1 1 NUM cjfa-12563 240 120 ) ) PUNCT cjfa-12563 240 121 . . PUNCT cjfa-12563 241 1 the the DET cjfa-12563 241 2 number number NOUN cjfa-12563 241 3 of of ADP cjfa-12563 241 4 degrees degree NOUN cjfa-12563 241 5 of of ADP cjfa-12563 241 6 freedom freedom NOUN cjfa-12563 241 7 controls control VERB cjfa-12563 241 8 the the DET cjfa-12563 241 9 probability probability NOUN cjfa-12563 241 10 of of ADP cjfa-12563 241 11 joint joint ADJ cjfa-12563 241 12 movements movement NOUN cjfa-12563 241 13 . . PUNCT cjfa-12563 242 1 for for ADP cjfa-12563 242 2 � � PROPN cjfa-12563 242 3 � � PROPN cjfa-12563 242 4 → → SYM cjfa-12563 242 5 � � PROPN cjfa-12563 242 6 � � PROPN cjfa-12563 242 7 , , PUNCT cjfa-12563 242 8 the the DET cjfa-12563 242 9 t t NOUN cjfa-12563 242 10 copula copula NOUN cjfa-12563 242 11 approaches approach VERB cjfa-12563 242 12 the the DET cjfa-12563 242 13 gaussian gaussian ADJ cjfa-12563 242 14 copula copula NOUN cjfa-12563 242 15 . . PUNCT cjfa-12563 243 1 both both DET cjfa-12563 243 2 copulas copula NOUN cjfa-12563 243 3 only only ADV cjfa-12563 243 4 model model VERB cjfa-12563 243 5 symmetric symmetric ADJ cjfa-12563 243 6 tail tail NOUN cjfa-12563 243 7 dependence dependence NOUN cjfa-12563 243 8 , , PUNCT cjfa-12563 243 9 as as SCONJ cjfa-12563 243 10 they they PRON cjfa-12563 243 11 are be AUX cjfa-12563 243 12 both both PRON cjfa-12563 243 13 symmetric symmetric ADJ cjfa-12563 243 14 distributions distribution NOUN cjfa-12563 243 15 . . PUNCT cjfa-12563 244 1 since since SCONJ cjfa-12563 244 2 the the DET cjfa-12563 244 3 bivariate bivariate ADJ cjfa-12563 244 4 cumulative cumulative ADJ cjfa-12563 244 5 distribution distribution NOUN cjfa-12563 244 6 function function NOUN cjfa-12563 244 7 � � PROPN cjfa-12563 244 8 ( ( PUNCT cjfa-12563 244 9 � � PROPN cjfa-12563 244 10 , , PUNCT cjfa-12563 244 11 � � PROPN cjfa-12563 244 12 ) ) PUNCT cjfa-12563 244 13 is be AUX cjfa-12563 244 14 estimated estimate VERB cjfa-12563 244 15 with with ADP cjfa-12563 244 16 � � PROPN cjfa-12563 244 17 � � PROPN cjfa-12563 244 18 , , PUNCT cjfa-12563 244 19 � � PROPN cjfa-12563 244 20 � � PROPN cjfa-12563 244 21 � � PROPN cjfa-12563 244 22 ( ( PUNCT cjfa-12563 244 23 � � PROPN cjfa-12563 244 24 ) ) PUNCT cjfa-12563 244 25 , , PUNCT cjfa-12563 244 26 � � PROPN cjfa-12563 244 27 ( ( PUNCT cjfa-12563 244 28 � � PROPN cjfa-12563 244 29 ) ) PUNCT cjfa-12563 244 30 � � PROPN cjfa-12563 244 31 � � PROPN cjfa-12563 244 32 � � PROPN cjfa-12563 244 33 ( ( PUNCT cjfa-12563 244 34 � � PROPN cjfa-12563 244 35 , , PUNCT cjfa-12563 244 36 � � PROPN cjfa-12563 244 37 ) ) PUNCT cjfa-12563 244 38 with with ADP cjfa-12563 244 39 � � PROPN cjfa-12563 244 40 � � PROPN cjfa-12563 244 41 , , PUNCT cjfa-12563 244 42 � � PROPN cjfa-12563 244 43 : : PUNCT cjfa-12563 245 1 [ [ X cjfa-12563 245 2 0,1 0,1 NUM cjfa-12563 245 3 ] ] X cjfa-12563 245 4 × × NOUN cjfa-12563 246 1 [ [ X cjfa-12563 246 2 0,1 0,1 NUM cjfa-12563 246 3 ] ] PUNCT cjfa-12563 246 4 → → PUNCT cjfa-12563 246 5 [ [ X cjfa-12563 246 6 0,1 0,1 NUM cjfa-12563 246 7 ] ] PUNCT cjfa-12563 246 8 . . PUNCT cjfa-12563 247 1 in in ADP cjfa-12563 247 2 other other ADJ cjfa-12563 247 3 words word NOUN cjfa-12563 247 4 , , PUNCT cjfa-12563 247 5 the the DET cjfa-12563 247 6 joint joint ADJ cjfa-12563 247 7 cumulative cumulative ADJ cjfa-12563 247 8 distribution distribution NOUN cjfa-12563 247 9 function function NOUN cjfa-12563 247 10 can can AUX cjfa-12563 247 11 be be AUX cjfa-12563 247 12 split split VERB cjfa-12563 247 13 into into ADP cjfa-12563 247 14 ( ( PUNCT cjfa-12563 247 15 i i NOUN cjfa-12563 247 16 ) ) PUNCT cjfa-12563 247 17 the the DET cjfa-12563 247 18 marginal marginal ADJ cjfa-12563 247 19 cumulative cumulative ADJ cjfa-12563 247 20 distribution distribution NOUN cjfa-12563 247 21 functions function NOUN cjfa-12563 247 22 representing represent VERB cjfa-12563 247 23 the the DET cjfa-12563 247 24 univariate univariate ADJ cjfa-12563 247 25 features feature NOUN cjfa-12563 247 26 , , PUNCT cjfa-12563 247 27 and and CCONJ cjfa-12563 247 28 ( ( PUNCT cjfa-12563 247 29 ii ii NOUN cjfa-12563 247 30 ) ) PUNCT cjfa-12563 247 31 the the DET cjfa-12563 247 32 copula copula NOUN cjfa-12563 247 33 c c PROPN cjfa-12563 247 34 capturing capture VERB cjfa-12563 247 35 the the DET cjfa-12563 247 36 joint joint ADJ cjfa-12563 247 37 characteristics characteristic NOUN cjfa-12563 247 38 of of ADP cjfa-12563 247 39 the the DET cjfa-12563 247 40 joint joint ADJ cjfa-12563 247 41 cumulative cumulative ADJ cjfa-12563 247 42 distribution distribution NOUN cjfa-12563 247 43 function function NOUN cjfa-12563 247 44 . . PUNCT cjfa-12563 248 1 thus thus ADV cjfa-12563 248 2 , , PUNCT cjfa-12563 248 3 the the DET cjfa-12563 248 4 copula copula NOUN cjfa-12563 248 5 only only ADV cjfa-12563 248 6 contains contain VERB cjfa-12563 248 7 information information NOUN cjfa-12563 248 8 on on ADP cjfa-12563 248 9 the the DET cjfa-12563 248 10 dependencies dependency NOUN cjfa-12563 248 11 between between ADP cjfa-12563 248 12 x x PUNCT cjfa-12563 248 13 and and CCONJ cjfa-12563 248 14 y. y. NOUN cjfa-12563 248 15 the the DET cjfa-12563 248 16 marginal marginal ADJ cjfa-12563 248 17 distributions distribution NOUN cjfa-12563 248 18 do do AUX cjfa-12563 248 19 not not PART cjfa-12563 248 20 have have VERB cjfa-12563 248 21 to to PART cjfa-12563 248 22 be be AUX cjfa-12563 248 23 identical identical ADJ cjfa-12563 248 24 . . PUNCT cjfa-12563 249 1 the the DET cjfa-12563 249 2 copula copula NOUN cjfa-12563 249 3 is be AUX cjfa-12563 249 4 the the DET cjfa-12563 249 5 joint joint ADJ cjfa-12563 249 6 cumulative cumulative ADJ cjfa-12563 249 7 distribution distribution NOUN cjfa-12563 249 8 function function NOUN cjfa-12563 249 9 with with ADP cjfa-12563 249 10 the the DET cjfa-12563 249 11 individual individual ADJ cjfa-12563 249 12 quantile quantile PROPN cjfa-12563 249 13 functions function NOUN cjfa-12563 249 14 � � PROPN cjfa-12563 249 15 ( ( PUNCT cjfa-12563 249 16 � � PROPN cjfa-12563 249 17 , , PUNCT cjfa-12563 249 18 � � PROPN cjfa-12563 249 19 ) ) PUNCT cjfa-12563 249 20 � � PROPN cjfa-12563 249 21 � � PROPN cjfa-12563 249 22 � � PROPN cjfa-12563 249 23 , , PUNCT cjfa-12563 249 24 � � PROPN cjfa-12563 249 25 ( ( PUNCT cjfa-12563 249 26 � � PROPN cjfa-12563 249 27 � � PROPN cjfa-12563 249 28 � � PROPN cjfa-12563 249 29 � � PROPN cjfa-12563 249 30 ( ( PUNCT cjfa-12563 249 31 � � PROPN cjfa-12563 249 32 ) ) PUNCT cjfa-12563 249 33 , , PUNCT cjfa-12563 249 34 � � PROPN cjfa-12563 249 35 � � PROPN cjfa-12563 249 36 � � PROPN cjfa-12563 249 37 � � PROPN cjfa-12563 249 38 ( ( PUNCT cjfa-12563 249 39 � � PROPN cjfa-12563 249 40 ) ) PUNCT cjfa-12563 249 41 ) ) PUNCT cjfa-12563 249 42 as as ADP cjfa-12563 249 43 marginal marginal ADJ cjfa-12563 249 44 cumulative cumulative ADJ cjfa-12563 249 45 distribution distribution NOUN cjfa-12563 249 46 functions function NOUN cjfa-12563 249 47 , , PUNCT cjfa-12563 249 48 we we PRON cjfa-12563 249 49 choose choose VERB cjfa-12563 249 50 student student NOUN cjfa-12563 249 51 's 's PART cjfa-12563 249 52 t t NOUN cjfa-12563 249 53 distribution distribution NOUN cjfa-12563 249 54 as as ADV cjfa-12563 249 55 well well ADV cjfa-12563 249 56 as as ADP cjfa-12563 249 57 the the DET cjfa-12563 249 58 normal normal ADJ cjfa-12563 249 59 distribution distribution NOUN cjfa-12563 249 60 . . PUNCT cjfa-12563 250 1 we we PRON cjfa-12563 250 2 expect expect VERB cjfa-12563 250 3 that that SCONJ cjfa-12563 250 4 the the DET cjfa-12563 250 5 normal normal ADJ cjfa-12563 250 6 distributions distribution NOUN cjfa-12563 250 7 will will AUX cjfa-12563 250 8 underestimate underestimate VERB cjfa-12563 250 9 risk risk NOUN cjfa-12563 250 10 , , PUNCT cjfa-12563 250 11 unless unless SCONJ cjfa-12563 250 12 the the DET cjfa-12563 250 13 return return NOUN cjfa-12563 250 14 series series NOUN cjfa-12563 250 15 are be AUX cjfa-12563 250 16 normally normally ADV cjfa-12563 250 17 distributed distribute VERB cjfa-12563 250 18 . . PUNCT cjfa-12563 251 1 we we PRON cjfa-12563 251 2 include include VERB cjfa-12563 251 3 the the DET cjfa-12563 251 4 normal normal ADJ cjfa-12563 251 5 based base VERB cjfa-12563 251 6 risk risk NOUN cjfa-12563 251 7 measures measure NOUN cjfa-12563 251 8 in in ADP cjfa-12563 251 9 our our PRON cjfa-12563 251 10 analysis analysis NOUN cjfa-12563 251 11 , , PUNCT cjfa-12563 251 12 however however ADV cjfa-12563 251 13 , , PUNCT cjfa-12563 251 14 to to PART cjfa-12563 251 15 show show VERB cjfa-12563 251 16 exactly exactly ADV cjfa-12563 251 17 by by ADP cjfa-12563 251 18 how how SCONJ cjfa-12563 251 19 much much ADJ cjfa-12563 251 20 it it PRON cjfa-12563 251 21 underestimates underestimate VERB cjfa-12563 251 22 risk risk NOUN cjfa-12563 251 23 compared compare VERB cjfa-12563 251 24 to to ADP cjfa-12563 251 25 the the DET cjfa-12563 251 26 t t NOUN cjfa-12563 251 27 distributed distribute VERB cjfa-12563 251 28 marginal marginal ADJ cjfa-12563 251 29 functions function NOUN cjfa-12563 251 30 . . PUNCT cjfa-12563 252 1 for for ADP cjfa-12563 252 2 the the DET cjfa-12563 252 3 normal normal ADJ cjfa-12563 252 4 distribution distribution NOUN cjfa-12563 252 5 , , PUNCT cjfa-12563 252 6 the the DET cjfa-12563 252 7 corresponding corresponding ADJ cjfa-12563 252 8 copula copula NOUN cjfa-12563 252 9 is be AUX cjfa-12563 252 10 the the DET cjfa-12563 252 11 gaussian gaussian ADJ cjfa-12563 252 12 copula copula NOUN cjfa-12563 252 13 : : PUNCT cjfa-12563 252 14 � � PROPN cjfa-12563 252 15 ( ( PUNCT cjfa-12563 252 16 � � PROPN cjfa-12563 252 17 , , PUNCT cjfa-12563 252 18 � � PROPN cjfa-12563 252 19 � � PROPN cjfa-12563 252 20 � � PROPN cjfa-12563 252 21 ) ) PUNCT cjfa-12563 252 22 � � PROPN cjfa-12563 252 23 � � PROPN cjfa-12563 252 24 � � PROPN cjfa-12563 252 25 � � PROPN cjfa-12563 252 26 � � PROPN cjfa-12563 252 27 � � PROPN cjfa-12563 252 28 � � PROPN cjfa-12563 252 29 ( ( PUNCT cjfa-12563 252 30 � � PROPN cjfa-12563 252 31 ) ) PUNCT cjfa-12563 252 32 , , PUNCT cjfa-12563 252 33 � � PROPN cjfa-12563 252 34 � � PROPN cjfa-12563 252 35 � � PROPN cjfa-12563 252 36 ( ( PUNCT cjfa-12563 252 37 � � PROPN cjfa-12563 252 38 ) ) PUNCT cjfa-12563 252 39 � � PROPN cjfa-12563 252 40 � � PROPN cjfa-12563 252 41 � � PROPN cjfa-12563 252 42 � � PROPN cjfa-12563 252 43 � � PROPN cjfa-12563 252 44 � � PROPN cjfa-12563 252 45 ( ( PUNCT cjfa-12563 252 46 � � PROPN cjfa-12563 252 47 ) ) PUNCT cjfa-12563 252 48 � � PROPN cjfa-12563 252 49 � � PROPN cjfa-12563 252 50 � � PROPN cjfa-12563 252 51 1 1 NUM cjfa-12563 252 52 � � PROPN cjfa-12563 252 53 � � PROPN cjfa-12563 252 54 ( ( PUNCT cjfa-12563 252 55 1 1 NUM cjfa-12563 252 56 � � PROPN cjfa-12563 252 57 � � PROPN cjfa-12563 252 58 � � PROPN cjfa-12563 252 59 ) ) PUNCT cjfa-12563 252 60 � � PROPN cjfa-12563 252 61 � � PROPN cjfa-12563 252 62 � � PROPN cjfa-12563 252 63 ( ( PUNCT cjfa-12563 252 64 � � PROPN cjfa-12563 252 65 ) ) PUNCT cjfa-12563 252 66 � � PROPN cjfa-12563 252 67 � � PROPN cjfa-12563 252 68 � � PROPN cjfa-12563 252 69 � � PROPN cjfa-12563 252 70 � � PROPN cjfa-12563 252 71 � � PROPN cjfa-12563 252 72 � � PROPN cjfa-12563 252 73 � � PROPN cjfa-12563 252 74 ( ( PUNCT cjfa-12563 252 75 � � PROPN cjfa-12563 252 76 � � PROPN cjfa-12563 252 77 � � PROPN cjfa-12563 252 78 � � PROPN cjfa-12563 252 79 � � PROPN cjfa-12563 252 80 � � PROPN cjfa-12563 252 81 � � PROPN cjfa-12563 252 82 � � PROPN cjfa-12563 252 83 � � PROPN cjfa-12563 252 84 � � PROPN cjfa-12563 252 85 ) ) PUNCT cjfa-12563 252 86 � � PROPN cjfa-12563 252 87 ( ( PUNCT cjfa-12563 252 88 1 1 NUM cjfa-12563 252 89 � � PROPN cjfa-12563 252 90 � � PROPN cjfa-12563 252 91 � � PROPN cjfa-12563 252 92 ) ) PUNCT cjfa-12563 252 93 � � PROPN cjfa-12563 252 94 � � PROPN cjfa-12563 252 95 � � PROPN cjfa-12563 252 96 � � PROPN cjfa-12563 252 97 � � PROPN cjfa-12563 252 98 with with ADP cjfa-12563 252 99 � � PROPN cjfa-12563 252 100 being be AUX cjfa-12563 252 101 the the DET cjfa-12563 252 102 cumulative cumulative ADJ cjfa-12563 252 103 distribution distribution NOUN cjfa-12563 252 104 function function NOUN cjfa-12563 252 105 of of ADP cjfa-12563 252 106 the the DET cjfa-12563 252 107 univariate univariate ADJ cjfa-12563 252 108 standard standard ADJ cjfa-12563 252 109 normal normal ADJ cjfa-12563 252 110 distribution distribution NOUN cjfa-12563 252 111 and and CCONJ cjfa-12563 252 112 � � PROPN cjfa-12563 252 113 � � PROPN cjfa-12563 252 114 the the DET cjfa-12563 252 115 cumulative cumulative ADJ cjfa-12563 252 116 distribution distribution NOUN cjfa-12563 252 117 function function NOUN cjfa-12563 252 118 of of ADP cjfa-12563 252 119 the the DET cjfa-12563 252 120 joint joint ADJ cjfa-12563 252 121 , , PUNCT cjfa-12563 252 122 bivariate bivariate ADJ cjfa-12563 252 123 standard standard ADJ cjfa-12563 252 124 normal normal ADJ cjfa-12563 252 125 distribution distribution NOUN cjfa-12563 252 126 with with ADP cjfa-12563 252 127 parameter parameter PROPN cjfa-12563 252 128 � � PROPN cjfa-12563 252 129 ( ( PUNCT cjfa-12563 252 130 � � PROPN cjfa-12563 252 131 1 1 NUM cjfa-12563 252 132 � � PROPN cjfa-12563 252 133 � � PROPN cjfa-12563 252 134 � � PROPN cjfa-12563 252 135 1 1 NUM cjfa-12563 252 136 ) ) PUNCT cjfa-12563 252 137 . . PUNCT cjfa-12563 253 1 the the DET cjfa-12563 253 2 gaussian gaussian ADJ cjfa-12563 253 3 copula copula NOUN cjfa-12563 253 4 is be AUX cjfa-12563 253 5 completely completely ADV cjfa-12563 253 6 specified specify VERB cjfa-12563 253 7 by by ADP cjfa-12563 253 8 the the DET cjfa-12563 253 9 correlation correlation NOUN cjfa-12563 253 10 matrix matrix NOUN cjfa-12563 253 11 , , PUNCT cjfa-12563 253 12 which which PRON cjfa-12563 253 13 confirms confirm VERB cjfa-12563 253 14 the the DET cjfa-12563 253 15 argument argument NOUN cjfa-12563 253 16 that that SCONJ cjfa-12563 253 17 the the DET cjfa-12563 253 18 covariance covariance NOUN cjfa-12563 253 19 or or CCONJ cjfa-12563 253 20 correlation correlation NOUN cjfa-12563 253 21 matrix matrix NOUN cjfa-12563 253 22 is be AUX cjfa-12563 253 23 a a DET cjfa-12563 253 24 comprehensive comprehensive ADJ cjfa-12563 253 25 enough enough ADJ cjfa-12563 253 26 risk risk NOUN cjfa-12563 253 27 metric metric NOUN cjfa-12563 253 28 only only ADV cjfa-12563 253 29 if if SCONJ cjfa-12563 253 30 the the DET cjfa-12563 253 31 returns return NOUN cjfa-12563 253 32 follow follow VERB cjfa-12563 253 33 a a DET cjfa-12563 253 34 normal normal ADJ cjfa-12563 253 35 distribution distribution NOUN cjfa-12563 253 36 . . PUNCT cjfa-12563 254 1 for for ADP cjfa-12563 254 2 the the DET cjfa-12563 254 3 student student NOUN cjfa-12563 254 4 's 's PART cjfa-12563 254 5 t t NOUN cjfa-12563 254 6 distribution distribution NOUN cjfa-12563 254 7 , , PUNCT cjfa-12563 254 8 the the DET cjfa-12563 254 9 corresponding corresponding ADJ cjfa-12563 254 10 copula copula NOUN cjfa-12563 254 11 is be AUX cjfa-12563 254 12 the the DET cjfa-12563 254 13 t t PROPN cjfa-12563 254 14 copula copula NOUN cjfa-12563 254 15 : : PUNCT cjfa-12563 254 16 � � PROPN cjfa-12563 254 17 ( ( PUNCT cjfa-12563 254 18 � � PROPN cjfa-12563 254 19 , , PUNCT cjfa-12563 254 20 � � PROPN cjfa-12563 254 21 � � PROPN cjfa-12563 254 22 � � PROPN cjfa-12563 254 23 , , PUNCT cjfa-12563 254 24 � � PROPN cjfa-12563 254 25 ) ) PUNCT cjfa-12563 254 26 � � PROPN cjfa-12563 254 27 � � PROPN cjfa-12563 254 28 � � PROPN cjfa-12563 254 29 � � PROPN cjfa-12563 254 30 � � PROPN cjfa-12563 254 31 � � PROPN cjfa-12563 254 32 ( ( PUNCT cjfa-12563 254 33 � � PROPN cjfa-12563 254 34 ) ) PUNCT cjfa-12563 254 35 � � PROPN cjfa-12563 254 36 � � PROPN cjfa-12563 254 37 � � PROPN cjfa-12563 254 38 1 1 NUM cjfa-12563 254 39 � � PROPN cjfa-12563 254 40 � � PROPN cjfa-12563 254 41 � � PROPN cjfa-12563 254 42 1 1 NUM cjfa-12563 254 43 � � PROPN cjfa-12563 254 44 � � PROPN cjfa-12563 254 45 � � PROPN cjfa-12563 254 46 � � PROPN cjfa-12563 254 47 � � PROPN cjfa-12563 254 48 � � PROPN cjfa-12563 254 49 � � PROPN cjfa-12563 254 50 ( ( PUNCT cjfa-12563 254 51 � � PROPN cjfa-12563 254 52 ) ) PUNCT cjfa-12563 254 53 � � PROPN cjfa-12563 254 54 � � PROPN cjfa-12563 254 55 � � PROPN cjfa-12563 254 56 � � PROPN cjfa-12563 254 57 1 1 NUM cjfa-12563 254 58 � � PROPN cjfa-12563 254 59 ( ( PUNCT cjfa-12563 254 60 � � PROPN cjfa-12563 254 61 � � PROPN cjfa-12563 254 62 � � PROPN cjfa-12563 254 63 � � PROPN cjfa-12563 254 64 � � PROPN cjfa-12563 254 65 � � PROPN cjfa-12563 254 66 � � PROPN cjfa-12563 254 67 � � PROPN cjfa-12563 254 68 � � PROPN cjfa-12563 254 69 � � PROPN cjfa-12563 254 70 ) ) PUNCT cjfa-12563 254 71 � � PROPN cjfa-12563 254 72 ( ( PUNCT cjfa-12563 254 73 1 1 NUM cjfa-12563 254 74 � � PROPN cjfa-12563 254 75 � � PROPN cjfa-12563 254 76 � � PROPN cjfa-12563 254 77 ) ) PUNCT cjfa-12563 254 78 � � PROPN cjfa-12563 254 79 � � PROPN cjfa-12563 254 80 ( ( PUNCT cjfa-12563 254 81 � � PROPN cjfa-12563 254 82 � � PROPN cjfa-12563 254 83 � � PROPN cjfa-12563 254 84 ) ) PUNCT cjfa-12563 254 85 � � PROPN cjfa-12563 254 86 � � PROPN cjfa-12563 254 87 � � PROPN cjfa-12563 254 88 � � PROPN cjfa-12563 254 89 � � PROPN cjfa-12563 254 90 with with ADP cjfa-12563 254 91 � � PROPN cjfa-12563 254 92 � � PROPN cjfa-12563 254 93 being be AUX cjfa-12563 254 94 the the DET cjfa-12563 254 95 univariate univariate ADJ cjfa-12563 254 96 cumulative cumulative ADJ cjfa-12563 254 97 distribution distribution NOUN cjfa-12563 254 98 function function NOUN cjfa-12563 254 99 of of ADP cjfa-12563 254 100 the the DET cjfa-12563 254 101 student student NOUN cjfa-12563 254 102 's 's PART cjfa-12563 254 103 t t NOUN cjfa-12563 254 104 distribution distribution NOUN cjfa-12563 254 105 with with ADP cjfa-12563 254 106 � � PROPN cjfa-12563 254 107 � � PROPN cjfa-12563 254 108 0 0 NUM cjfa-12563 254 109 degrees degree NOUN cjfa-12563 254 110 of of ADP cjfa-12563 254 111 freedom freedom NOUN cjfa-12563 254 112 and and CCONJ cjfa-12563 254 113 ( ( PUNCT cjfa-12563 254 114 � � PROPN cjfa-12563 254 115 1 1 NUM cjfa-12563 254 116 � � PROPN cjfa-12563 254 117 � � PROPN cjfa-12563 254 118 � � PROPN cjfa-12563 254 119 1 1 NUM cjfa-12563 254 120 ) ) PUNCT cjfa-12563 254 121 . . PUNCT cjfa-12563 255 1 the the DET cjfa-12563 255 2 number number NOUN cjfa-12563 255 3 of of ADP cjfa-12563 255 4 degrees degree NOUN cjfa-12563 255 5 of of ADP cjfa-12563 255 6 freedom freedom NOUN cjfa-12563 255 7 controls control VERB cjfa-12563 255 8 the the DET cjfa-12563 255 9 probability probability NOUN cjfa-12563 255 10 of of ADP cjfa-12563 255 11 joint joint ADJ cjfa-12563 255 12 movements movement NOUN cjfa-12563 255 13 . . PUNCT cjfa-12563 256 1 for for ADP cjfa-12563 256 2 � � PROPN cjfa-12563 256 3 � � PROPN cjfa-12563 256 4 → → SYM cjfa-12563 256 5 � � PROPN cjfa-12563 256 6 � � PROPN cjfa-12563 256 7 , , PUNCT cjfa-12563 256 8 the the DET cjfa-12563 256 9 t t NOUN cjfa-12563 256 10 copula copula NOUN cjfa-12563 256 11 approaches approach VERB cjfa-12563 256 12 the the DET cjfa-12563 256 13 gaussian gaussian ADJ cjfa-12563 256 14 copula copula NOUN cjfa-12563 256 15 . . PUNCT cjfa-12563 257 1 both both DET cjfa-12563 257 2 copulas copula NOUN cjfa-12563 257 3 only only ADV cjfa-12563 257 4 model model VERB cjfa-12563 257 5 symmetric symmetric ADJ cjfa-12563 257 6 tail tail NOUN cjfa-12563 257 7 dependence dependence NOUN cjfa-12563 257 8 , , PUNCT cjfa-12563 257 9 as as SCONJ cjfa-12563 257 10 they they PRON cjfa-12563 257 11 are be AUX cjfa-12563 257 12 both both PRON cjfa-12563 257 13 symmetric symmetric ADJ cjfa-12563 257 14 distributions distribution NOUN cjfa-12563 257 15 . . PUNCT cjfa-12563 258 1 since since SCONJ cjfa-12563 258 2 the the DET cjfa-12563 258 3 bivariate bivariate ADJ cjfa-12563 258 4 cumulative cumulative ADJ cjfa-12563 258 5 distribution distribution NOUN cjfa-12563 258 6 function function NOUN cjfa-12563 258 7 � � PROPN cjfa-12563 258 8 ( ( PUNCT cjfa-12563 258 9 � � PROPN cjfa-12563 258 10 , , PUNCT cjfa-12563 258 11 � � PROPN cjfa-12563 258 12 ) ) PUNCT cjfa-12563 258 13 is be AUX cjfa-12563 258 14 estimated estimate VERB cjfa-12563 258 15 in in ADP cjfa-12563 258 16 other other ADJ cjfa-12563 258 17 words word NOUN cjfa-12563 258 18 , , PUNCT cjfa-12563 258 19 the the DET cjfa-12563 258 20 joint joint ADJ cjfa-12563 258 21 cumulative cumulative ADJ cjfa-12563 258 22 distribution distribution NOUN cjfa-12563 258 23 function function NOUN cjfa-12563 258 24 can can AUX cjfa-12563 258 25 be be AUX cjfa-12563 258 26 split split VERB cjfa-12563 258 27 into into ADP cjfa-12563 258 28 ( ( PUNCT cjfa-12563 258 29 i i NOUN cjfa-12563 258 30 ) ) PUNCT cjfa-12563 258 31 the the DET cjfa-12563 258 32 marginal marginal ADJ cjfa-12563 258 33 cumulative cumulative ADJ cjfa-12563 258 34 distribution distribution NOUN cjfa-12563 258 35 functions function NOUN cjfa-12563 258 36 representing represent VERB cjfa-12563 258 37 the the DET cjfa-12563 258 38 univariate univariate ADJ cjfa-12563 258 39 features feature NOUN cjfa-12563 258 40 , , PUNCT cjfa-12563 258 41 and and CCONJ cjfa-12563 258 42 ( ( PUNCT cjfa-12563 258 43 ii ii NOUN cjfa-12563 258 44 ) ) PUNCT cjfa-12563 258 45 the the DET cjfa-12563 258 46 copula copula NOUN cjfa-12563 258 47 c c PROPN cjfa-12563 258 48 capturing capture VERB cjfa-12563 258 49 the the DET cjfa-12563 258 50 joint joint ADJ cjfa-12563 258 51 characteristics characteristic NOUN cjfa-12563 258 52 of of ADP cjfa-12563 258 53 the the DET cjfa-12563 258 54 joint joint ADJ cjfa-12563 258 55 cumulative cumulative ADJ cjfa-12563 258 56 distribution distribution NOUN cjfa-12563 258 57 function function NOUN cjfa-12563 258 58 . . PUNCT cjfa-12563 259 1 thus thus ADV cjfa-12563 259 2 , , PUNCT cjfa-12563 259 3 the the DET cjfa-12563 259 4 copula copula NOUN cjfa-12563 259 5 only only ADV cjfa-12563 259 6 contains contain VERB cjfa-12563 259 7 information information NOUN cjfa-12563 259 8 on on ADP cjfa-12563 259 9 the the DET cjfa-12563 259 10 dependencies dependency NOUN cjfa-12563 259 11 between between ADP cjfa-12563 259 12 x x PUNCT cjfa-12563 259 13 and and CCONJ cjfa-12563 259 14 y. y. NOUN cjfa-12563 259 15 the the DET cjfa-12563 259 16 marginal marginal ADJ cjfa-12563 259 17 distributions distribution NOUN cjfa-12563 259 18 do do AUX cjfa-12563 259 19 not not PART cjfa-12563 259 20 have have VERB cjfa-12563 259 21 to to PART cjfa-12563 259 22 be be AUX cjfa-12563 259 23 identical identical ADJ cjfa-12563 259 24 . . PUNCT cjfa-12563 260 1 the the DET cjfa-12563 260 2 copula copula NOUN cjfa-12563 260 3 is be AUX cjfa-12563 260 4 the the DET cjfa-12563 260 5 joint joint ADJ cjfa-12563 260 6 cumulative cumulative ADJ cjfa-12563 260 7 distribution distribution NOUN cjfa-12563 260 8 function function NOUN cjfa-12563 260 9 with with ADP cjfa-12563 260 10 the the DET cjfa-12563 260 11 individual individual ADJ cjfa-12563 260 12 quantile quantile PROPN cjfa-12563 260 13 functions function NOUN cjfa-12563 260 14 � � PROPN cjfa-12563 260 15 � � PROPN cjfa-12563 260 16 , , PUNCT cjfa-12563 260 17 � � PROPN cjfa-12563 260 18 � � PROPN cjfa-12563 260 19 � � PROPN cjfa-12563 260 20 ( ( PUNCT cjfa-12563 260 21 � � PROPN cjfa-12563 260 22 ) ) PUNCT cjfa-12563 260 23 , , PUNCT cjfa-12563 260 24 � � PROPN cjfa-12563 260 25 ( ( PUNCT cjfa-12563 260 26 � � PROPN cjfa-12563 260 27 ) ) PUNCT cjfa-12563 260 28 � � PROPN cjfa-12563 260 29 � � PROPN cjfa-12563 260 30 � � PROPN cjfa-12563 260 31 ( ( PUNCT cjfa-12563 260 32 � � PROPN cjfa-12563 260 33 , , PUNCT cjfa-12563 260 34 � � PROPN cjfa-12563 260 35 ) ) PUNCT cjfa-12563 260 36 with with ADP cjfa-12563 260 37 � � PROPN cjfa-12563 260 38 � � PROPN cjfa-12563 260 39 , , PUNCT cjfa-12563 260 40 � � PROPN cjfa-12563 260 41 : : PUNCT cjfa-12563 261 1 [ [ X cjfa-12563 261 2 0,1 0,1 NUM cjfa-12563 261 3 ] ] X cjfa-12563 261 4 × × NOUN cjfa-12563 262 1 [ [ X cjfa-12563 262 2 0,1 0,1 NUM cjfa-12563 262 3 ] ] PUNCT cjfa-12563 262 4 → → PUNCT cjfa-12563 262 5 [ [ X cjfa-12563 262 6 0,1 0,1 NUM cjfa-12563 262 7 ] ] PUNCT cjfa-12563 262 8 . . PUNCT cjfa-12563 263 1 in in ADP cjfa-12563 263 2 other other ADJ cjfa-12563 263 3 words word NOUN cjfa-12563 263 4 , , PUNCT cjfa-12563 263 5 the the DET cjfa-12563 263 6 joint joint ADJ cjfa-12563 263 7 cumulative cumulative ADJ cjfa-12563 263 8 distribution distribution NOUN cjfa-12563 263 9 function function NOUN cjfa-12563 263 10 can can AUX cjfa-12563 263 11 be be AUX cjfa-12563 263 12 split split VERB cjfa-12563 263 13 into into ADP cjfa-12563 263 14 ( ( PUNCT cjfa-12563 263 15 i i NOUN cjfa-12563 263 16 ) ) PUNCT cjfa-12563 263 17 the the DET cjfa-12563 263 18 marginal marginal ADJ cjfa-12563 263 19 cumulative cumulative ADJ cjfa-12563 263 20 distribution distribution NOUN cjfa-12563 263 21 functions function NOUN cjfa-12563 263 22 representing represent VERB cjfa-12563 263 23 the the DET cjfa-12563 263 24 univariate univariate ADJ cjfa-12563 263 25 features feature NOUN cjfa-12563 263 26 , , PUNCT cjfa-12563 263 27 and and CCONJ cjfa-12563 263 28 ( ( PUNCT cjfa-12563 263 29 ii ii NOUN cjfa-12563 263 30 ) ) PUNCT cjfa-12563 263 31 the the DET cjfa-12563 263 32 copula copula NOUN cjfa-12563 263 33 c c PROPN cjfa-12563 263 34 capturing capture VERB cjfa-12563 263 35 the the DET cjfa-12563 263 36 joint joint ADJ cjfa-12563 263 37 characteristics characteristic NOUN cjfa-12563 263 38 of of ADP cjfa-12563 263 39 the the DET cjfa-12563 263 40 joint joint ADJ cjfa-12563 263 41 cumulative cumulative ADJ cjfa-12563 263 42 distribution distribution NOUN cjfa-12563 263 43 function function NOUN cjfa-12563 263 44 . . PUNCT cjfa-12563 264 1 thus thus ADV cjfa-12563 264 2 , , PUNCT cjfa-12563 264 3 the the DET cjfa-12563 264 4 copula copula NOUN cjfa-12563 264 5 only only ADV cjfa-12563 264 6 contains contain VERB cjfa-12563 264 7 information information NOUN cjfa-12563 264 8 on on ADP cjfa-12563 264 9 the the DET cjfa-12563 264 10 dependencies dependency NOUN cjfa-12563 264 11 between between ADP cjfa-12563 264 12 x x PUNCT cjfa-12563 264 13 and and CCONJ cjfa-12563 264 14 y. y. NOUN cjfa-12563 264 15 the the DET cjfa-12563 264 16 marginal marginal ADJ cjfa-12563 264 17 distributions distribution NOUN cjfa-12563 264 18 do do AUX cjfa-12563 264 19 not not PART cjfa-12563 264 20 have have VERB cjfa-12563 264 21 to to PART cjfa-12563 264 22 be be AUX cjfa-12563 264 23 identical identical ADJ cjfa-12563 264 24 . . PUNCT cjfa-12563 265 1 the the DET cjfa-12563 265 2 copula copula NOUN cjfa-12563 265 3 is be AUX cjfa-12563 265 4 the the DET cjfa-12563 265 5 joint joint ADJ cjfa-12563 265 6 cumulative cumulative ADJ cjfa-12563 265 7 distribution distribution NOUN cjfa-12563 265 8 function function NOUN cjfa-12563 265 9 with with ADP cjfa-12563 265 10 the the DET cjfa-12563 265 11 individual individual ADJ cjfa-12563 265 12 quantile quantile PROPN cjfa-12563 265 13 functions function NOUN cjfa-12563 265 14 � � PROPN cjfa-12563 265 15 ( ( PUNCT cjfa-12563 265 16 � � PROPN cjfa-12563 265 17 , , PUNCT cjfa-12563 265 18 � � PROPN cjfa-12563 265 19 ) ) PUNCT cjfa-12563 265 20 � � PROPN cjfa-12563 265 21 � � PROPN cjfa-12563 265 22 � � PROPN cjfa-12563 265 23 , , PUNCT cjfa-12563 265 24 � � PROPN cjfa-12563 265 25 ( ( PUNCT cjfa-12563 265 26 � � PROPN cjfa-12563 265 27 � � PROPN cjfa-12563 265 28 � � PROPN cjfa-12563 265 29 � � PROPN cjfa-12563 265 30 ( ( PUNCT cjfa-12563 265 31 � � PROPN cjfa-12563 265 32 ) ) PUNCT cjfa-12563 265 33 , , PUNCT cjfa-12563 265 34 � � PROPN cjfa-12563 265 35 � � PROPN cjfa-12563 265 36 � � PROPN cjfa-12563 265 37 � � PROPN cjfa-12563 265 38 ( ( PUNCT cjfa-12563 265 39 � � PROPN cjfa-12563 265 40 ) ) PUNCT cjfa-12563 265 41 ) ) PUNCT cjfa-12563 265 42 as as ADP cjfa-12563 265 43 marginal marginal ADJ cjfa-12563 265 44 cumulative cumulative ADJ cjfa-12563 265 45 distribution distribution NOUN cjfa-12563 265 46 functions function NOUN cjfa-12563 265 47 , , PUNCT cjfa-12563 265 48 we we PRON cjfa-12563 265 49 choose choose VERB cjfa-12563 265 50 student student NOUN cjfa-12563 265 51 's 's PART cjfa-12563 265 52 t t NOUN cjfa-12563 265 53 distribution distribution NOUN cjfa-12563 265 54 as as ADV cjfa-12563 265 55 well well ADV cjfa-12563 265 56 as as ADP cjfa-12563 265 57 the the DET cjfa-12563 265 58 normal normal ADJ cjfa-12563 265 59 distribution distribution NOUN cjfa-12563 265 60 . . PUNCT cjfa-12563 266 1 we we PRON cjfa-12563 266 2 expect expect VERB cjfa-12563 266 3 that that SCONJ cjfa-12563 266 4 the the DET cjfa-12563 266 5 normal normal ADJ cjfa-12563 266 6 distributions distribution NOUN cjfa-12563 266 7 will will AUX cjfa-12563 266 8 underestimate underestimate VERB cjfa-12563 266 9 risk risk NOUN cjfa-12563 266 10 , , PUNCT cjfa-12563 266 11 unless unless SCONJ cjfa-12563 266 12 the the DET cjfa-12563 266 13 return return NOUN cjfa-12563 266 14 series series NOUN cjfa-12563 266 15 are be AUX cjfa-12563 266 16 normally normally ADV cjfa-12563 266 17 distributed distribute VERB cjfa-12563 266 18 . . PUNCT cjfa-12563 267 1 we we PRON cjfa-12563 267 2 include include VERB cjfa-12563 267 3 the the DET cjfa-12563 267 4 normal normal ADJ cjfa-12563 267 5 based base VERB cjfa-12563 267 6 risk risk NOUN cjfa-12563 267 7 measures measure NOUN cjfa-12563 267 8 in in ADP cjfa-12563 267 9 our our PRON cjfa-12563 267 10 analysis analysis NOUN cjfa-12563 267 11 , , PUNCT cjfa-12563 267 12 however however ADV cjfa-12563 267 13 , , PUNCT cjfa-12563 267 14 to to PART cjfa-12563 267 15 show show VERB cjfa-12563 267 16 exactly exactly ADV cjfa-12563 267 17 by by ADP cjfa-12563 267 18 how how SCONJ cjfa-12563 267 19 much much ADJ cjfa-12563 267 20 it it PRON cjfa-12563 267 21 underestimates underestimate VERB cjfa-12563 267 22 risk risk NOUN cjfa-12563 267 23 compared compare VERB cjfa-12563 267 24 to to ADP cjfa-12563 267 25 the the DET cjfa-12563 267 26 t t NOUN cjfa-12563 267 27 distributed distribute VERB cjfa-12563 267 28 marginal marginal ADJ cjfa-12563 267 29 functions function NOUN cjfa-12563 267 30 . . PUNCT cjfa-12563 268 1 for for ADP cjfa-12563 268 2 the the DET cjfa-12563 268 3 normal normal ADJ cjfa-12563 268 4 distribution distribution NOUN cjfa-12563 268 5 , , PUNCT cjfa-12563 268 6 the the DET cjfa-12563 268 7 corresponding corresponding ADJ cjfa-12563 268 8 copula copula NOUN cjfa-12563 268 9 is be AUX cjfa-12563 268 10 the the DET cjfa-12563 268 11 gaussian gaussian ADJ cjfa-12563 268 12 copula copula NOUN cjfa-12563 268 13 : : PUNCT cjfa-12563 268 14 � � PROPN cjfa-12563 268 15 ( ( PUNCT cjfa-12563 268 16 � � PROPN cjfa-12563 268 17 , , PUNCT cjfa-12563 268 18 � � PROPN cjfa-12563 268 19 � � PROPN cjfa-12563 268 20 � � PROPN cjfa-12563 268 21 ) ) PUNCT cjfa-12563 268 22 � � PROPN cjfa-12563 268 23 � � PROPN cjfa-12563 268 24 � � PROPN cjfa-12563 268 25 � � PROPN cjfa-12563 268 26 � � PROPN cjfa-12563 268 27 � � PROPN cjfa-12563 268 28 � � PROPN cjfa-12563 268 29 ( ( PUNCT cjfa-12563 268 30 � � PROPN cjfa-12563 268 31 ) ) PUNCT cjfa-12563 268 32 , , PUNCT cjfa-12563 268 33 � � PROPN cjfa-12563 268 34 � � PROPN cjfa-12563 268 35 � � PROPN cjfa-12563 268 36 ( ( PUNCT cjfa-12563 268 37 � � PROPN cjfa-12563 268 38 ) ) PUNCT cjfa-12563 268 39 � � PROPN cjfa-12563 268 40 � � PROPN cjfa-12563 268 41 � � PROPN cjfa-12563 268 42 � � PROPN cjfa-12563 268 43 � � PROPN cjfa-12563 268 44 � � PROPN cjfa-12563 268 45 ( ( PUNCT cjfa-12563 268 46 � � PROPN cjfa-12563 268 47 ) ) PUNCT cjfa-12563 268 48 � � PROPN cjfa-12563 268 49 � � PROPN cjfa-12563 268 50 � � PROPN cjfa-12563 268 51 1 1 NUM cjfa-12563 268 52 � � PROPN cjfa-12563 268 53 � � PROPN cjfa-12563 268 54 ( ( PUNCT cjfa-12563 268 55 1 1 NUM cjfa-12563 268 56 � � PROPN cjfa-12563 268 57 � � PROPN cjfa-12563 268 58 � � PROPN cjfa-12563 268 59 ) ) PUNCT cjfa-12563 268 60 � � PROPN cjfa-12563 268 61 � � PROPN cjfa-12563 268 62 � � PROPN cjfa-12563 268 63 ( ( PUNCT cjfa-12563 268 64 � � PROPN cjfa-12563 268 65 ) ) PUNCT cjfa-12563 268 66 � � PROPN cjfa-12563 268 67 � � PROPN cjfa-12563 268 68 � � PROPN cjfa-12563 268 69 � � PROPN cjfa-12563 268 70 � � PROPN cjfa-12563 268 71 � � PROPN cjfa-12563 268 72 � � PROPN cjfa-12563 268 73 � � PROPN cjfa-12563 268 74 ( ( PUNCT cjfa-12563 268 75 � � PROPN cjfa-12563 268 76 � � PROPN cjfa-12563 268 77 � � PROPN cjfa-12563 268 78 � � PROPN cjfa-12563 268 79 � � PROPN cjfa-12563 268 80 � � PROPN cjfa-12563 268 81 � � PROPN cjfa-12563 268 82 � � PROPN cjfa-12563 268 83 � � PROPN cjfa-12563 268 84 � � PROPN cjfa-12563 268 85 ) ) PUNCT cjfa-12563 268 86 � � PROPN cjfa-12563 268 87 ( ( PUNCT cjfa-12563 268 88 1 1 NUM cjfa-12563 268 89 � � PROPN cjfa-12563 268 90 � � PROPN cjfa-12563 268 91 � � PROPN cjfa-12563 268 92 ) ) PUNCT cjfa-12563 268 93 � � PROPN cjfa-12563 268 94 � � PROPN cjfa-12563 268 95 � � PROPN cjfa-12563 268 96 � � PROPN cjfa-12563 268 97 � � PROPN cjfa-12563 268 98 with with ADP cjfa-12563 268 99 � � PROPN cjfa-12563 268 100 being be AUX cjfa-12563 268 101 the the DET cjfa-12563 268 102 cumulative cumulative ADJ cjfa-12563 268 103 distribution distribution NOUN cjfa-12563 268 104 function function NOUN cjfa-12563 268 105 of of ADP cjfa-12563 268 106 the the DET cjfa-12563 268 107 univariate univariate ADJ cjfa-12563 268 108 standard standard ADJ cjfa-12563 268 109 normal normal ADJ cjfa-12563 268 110 distribution distribution NOUN cjfa-12563 268 111 and and CCONJ cjfa-12563 268 112 � � PROPN cjfa-12563 268 113 � � PROPN cjfa-12563 268 114 the the DET cjfa-12563 268 115 cumulative cumulative ADJ cjfa-12563 268 116 distribution distribution NOUN cjfa-12563 268 117 function function NOUN cjfa-12563 268 118 of of ADP cjfa-12563 268 119 the the DET cjfa-12563 268 120 joint joint ADJ cjfa-12563 268 121 , , PUNCT cjfa-12563 268 122 bivariate bivariate ADJ cjfa-12563 268 123 standard standard ADJ cjfa-12563 268 124 normal normal ADJ cjfa-12563 268 125 distribution distribution NOUN cjfa-12563 268 126 with with ADP cjfa-12563 268 127 parameter parameter PROPN cjfa-12563 268 128 � � PROPN cjfa-12563 268 129 ( ( PUNCT cjfa-12563 268 130 � � PROPN cjfa-12563 268 131 1 1 NUM cjfa-12563 268 132 � � PROPN cjfa-12563 268 133 � � PROPN cjfa-12563 268 134 � � PROPN cjfa-12563 268 135 1 1 NUM cjfa-12563 268 136 ) ) PUNCT cjfa-12563 268 137 . . PUNCT cjfa-12563 269 1 the the DET cjfa-12563 269 2 gaussian gaussian ADJ cjfa-12563 269 3 copula copula NOUN cjfa-12563 269 4 is be AUX cjfa-12563 269 5 completely completely ADV cjfa-12563 269 6 specified specify VERB cjfa-12563 269 7 by by ADP cjfa-12563 269 8 the the DET cjfa-12563 269 9 correlation correlation NOUN cjfa-12563 269 10 matrix matrix NOUN cjfa-12563 269 11 , , PUNCT cjfa-12563 269 12 which which PRON cjfa-12563 269 13 confirms confirm VERB cjfa-12563 269 14 the the DET cjfa-12563 269 15 argument argument NOUN cjfa-12563 269 16 that that SCONJ cjfa-12563 269 17 the the DET cjfa-12563 269 18 covariance covariance NOUN cjfa-12563 269 19 or or CCONJ cjfa-12563 269 20 correlation correlation NOUN cjfa-12563 269 21 matrix matrix NOUN cjfa-12563 269 22 is be AUX cjfa-12563 269 23 a a DET cjfa-12563 269 24 comprehensive comprehensive ADJ cjfa-12563 269 25 enough enough ADJ cjfa-12563 269 26 risk risk NOUN cjfa-12563 269 27 metric metric NOUN cjfa-12563 269 28 only only ADV cjfa-12563 269 29 if if SCONJ cjfa-12563 269 30 the the DET cjfa-12563 269 31 returns return NOUN cjfa-12563 269 32 follow follow VERB cjfa-12563 269 33 a a DET cjfa-12563 269 34 normal normal ADJ cjfa-12563 269 35 distribution distribution NOUN cjfa-12563 269 36 . . PUNCT cjfa-12563 270 1 for for ADP cjfa-12563 270 2 the the DET cjfa-12563 270 3 student student NOUN cjfa-12563 270 4 's 's PART cjfa-12563 270 5 t t NOUN cjfa-12563 270 6 distribution distribution NOUN cjfa-12563 270 7 , , PUNCT cjfa-12563 270 8 the the DET cjfa-12563 270 9 corresponding corresponding ADJ cjfa-12563 270 10 copula copula NOUN cjfa-12563 270 11 is be AUX cjfa-12563 270 12 the the DET cjfa-12563 270 13 t t PROPN cjfa-12563 270 14 copula copula NOUN cjfa-12563 270 15 : : PUNCT cjfa-12563 270 16 � � PROPN cjfa-12563 270 17 ( ( PUNCT cjfa-12563 270 18 � � PROPN cjfa-12563 270 19 , , PUNCT cjfa-12563 270 20 � � PROPN cjfa-12563 270 21 � � PROPN cjfa-12563 270 22 � � PROPN cjfa-12563 270 23 , , PUNCT cjfa-12563 270 24 � � PROPN cjfa-12563 270 25 ) ) PUNCT cjfa-12563 270 26 � � PROPN cjfa-12563 270 27 � � PROPN cjfa-12563 270 28 � � PROPN cjfa-12563 270 29 � � PROPN cjfa-12563 270 30 � � PROPN cjfa-12563 270 31 � � PROPN cjfa-12563 270 32 ( ( PUNCT cjfa-12563 270 33 � � PROPN cjfa-12563 270 34 ) ) PUNCT cjfa-12563 270 35 � � PROPN cjfa-12563 270 36 � � PROPN cjfa-12563 270 37 � � PROPN cjfa-12563 270 38 1 1 NUM cjfa-12563 270 39 � � PROPN cjfa-12563 270 40 � � PROPN cjfa-12563 270 41 � � PROPN cjfa-12563 270 42 1 1 NUM cjfa-12563 270 43 � � PROPN cjfa-12563 270 44 � � PROPN cjfa-12563 270 45 � � PROPN cjfa-12563 270 46 � � PROPN cjfa-12563 270 47 � � PROPN cjfa-12563 270 48 � � PROPN cjfa-12563 270 49 � � PROPN cjfa-12563 270 50 ( ( PUNCT cjfa-12563 270 51 � � PROPN cjfa-12563 270 52 ) ) PUNCT cjfa-12563 270 53 � � PROPN cjfa-12563 270 54 � � PROPN cjfa-12563 270 55 � � PROPN cjfa-12563 270 56 � � PROPN cjfa-12563 270 57 1 1 NUM cjfa-12563 270 58 � � PROPN cjfa-12563 270 59 ( ( PUNCT cjfa-12563 270 60 � � PROPN cjfa-12563 270 61 � � PROPN cjfa-12563 270 62 � � PROPN cjfa-12563 270 63 � � PROPN cjfa-12563 270 64 � � PROPN cjfa-12563 270 65 � � PROPN cjfa-12563 270 66 � � PROPN cjfa-12563 270 67 � � PROPN cjfa-12563 270 68 � � PROPN cjfa-12563 270 69 � � PROPN cjfa-12563 270 70 ) ) PUNCT cjfa-12563 270 71 � � PROPN cjfa-12563 270 72 ( ( PUNCT cjfa-12563 270 73 1 1 NUM cjfa-12563 270 74 � � PROPN cjfa-12563 270 75 � � PROPN cjfa-12563 270 76 � � PROPN cjfa-12563 270 77 ) ) PUNCT cjfa-12563 270 78 � � PROPN cjfa-12563 270 79 � � PROPN cjfa-12563 270 80 ( ( PUNCT cjfa-12563 270 81 � � PROPN cjfa-12563 270 82 � � PROPN cjfa-12563 270 83 � � PROPN cjfa-12563 270 84 ) ) PUNCT cjfa-12563 270 85 � � PROPN cjfa-12563 270 86 � � PROPN cjfa-12563 270 87 � � PROPN cjfa-12563 270 88 � � PROPN cjfa-12563 270 89 � � PROPN cjfa-12563 270 90 with with ADP cjfa-12563 270 91 � � PROPN cjfa-12563 270 92 � � PROPN cjfa-12563 270 93 being be AUX cjfa-12563 270 94 the the DET cjfa-12563 270 95 univariate univariate ADJ cjfa-12563 270 96 cumulative cumulative ADJ cjfa-12563 270 97 distribution distribution NOUN cjfa-12563 270 98 function function NOUN cjfa-12563 270 99 of of ADP cjfa-12563 270 100 the the DET cjfa-12563 270 101 student student NOUN cjfa-12563 270 102 's 's PART cjfa-12563 270 103 t t NOUN cjfa-12563 270 104 distribution distribution NOUN cjfa-12563 270 105 with with ADP cjfa-12563 270 106 � � PROPN cjfa-12563 270 107 � � PROPN cjfa-12563 270 108 0 0 NUM cjfa-12563 270 109 degrees degree NOUN cjfa-12563 270 110 of of ADP cjfa-12563 270 111 freedom freedom NOUN cjfa-12563 270 112 and and CCONJ cjfa-12563 270 113 ( ( PUNCT cjfa-12563 270 114 � � PROPN cjfa-12563 270 115 1 1 NUM cjfa-12563 270 116 � � PROPN cjfa-12563 270 117 � � PROPN cjfa-12563 270 118 � � PROPN cjfa-12563 270 119 1 1 NUM cjfa-12563 270 120 ) ) PUNCT cjfa-12563 270 121 . . PUNCT cjfa-12563 271 1 the the DET cjfa-12563 271 2 number number NOUN cjfa-12563 271 3 of of ADP cjfa-12563 271 4 degrees degree NOUN cjfa-12563 271 5 of of ADP cjfa-12563 271 6 freedom freedom NOUN cjfa-12563 271 7 controls control VERB cjfa-12563 271 8 the the DET cjfa-12563 271 9 probability probability NOUN cjfa-12563 271 10 of of ADP cjfa-12563 271 11 joint joint ADJ cjfa-12563 271 12 movements movement NOUN cjfa-12563 271 13 . . PUNCT cjfa-12563 272 1 for for ADP cjfa-12563 272 2 � � PROPN cjfa-12563 272 3 � � PROPN cjfa-12563 272 4 → → SYM cjfa-12563 272 5 � � PROPN cjfa-12563 272 6 � � PROPN cjfa-12563 272 7 , , PUNCT cjfa-12563 272 8 the the DET cjfa-12563 272 9 t t NOUN cjfa-12563 272 10 copula copula NOUN cjfa-12563 272 11 approaches approach VERB cjfa-12563 272 12 the the DET cjfa-12563 272 13 gaussian gaussian ADJ cjfa-12563 272 14 copula copula NOUN cjfa-12563 272 15 . . PUNCT cjfa-12563 273 1 both both DET cjfa-12563 273 2 copulas copula NOUN cjfa-12563 273 3 only only ADV cjfa-12563 273 4 model model VERB cjfa-12563 273 5 symmetric symmetric ADJ cjfa-12563 273 6 tail tail NOUN cjfa-12563 273 7 dependence dependence NOUN cjfa-12563 273 8 , , PUNCT cjfa-12563 273 9 as as SCONJ cjfa-12563 273 10 they they PRON cjfa-12563 273 11 are be AUX cjfa-12563 273 12 both both PRON cjfa-12563 273 13 symmetric symmetric ADJ cjfa-12563 273 14 distributions distribution NOUN cjfa-12563 273 15 . . PUNCT cjfa-12563 274 1 since since SCONJ cjfa-12563 274 2 the the DET cjfa-12563 274 3 bivariate bivariate ADJ cjfa-12563 274 4 cumulative cumulative ADJ cjfa-12563 274 5 distribution distribution NOUN cjfa-12563 274 6 function function NOUN cjfa-12563 274 7 � � PROPN cjfa-12563 274 8 ( ( PUNCT cjfa-12563 274 9 � � PROPN cjfa-12563 274 10 , , PUNCT cjfa-12563 274 11 � � PROPN cjfa-12563 274 12 ) ) PUNCT cjfa-12563 274 13 is be AUX cjfa-12563 274 14 estimated estimate VERB cjfa-12563 274 15 . . PUNCT cjfa-12563 275 1 as as ADP cjfa-12563 275 2 marginal marginal ADJ cjfa-12563 275 3 cumulative cumulative ADJ cjfa-12563 275 4 distribution distribution NOUN cjfa-12563 275 5 functions function NOUN cjfa-12563 275 6 , , PUNCT cjfa-12563 275 7 we we PRON cjfa-12563 275 8 choose choose VERB cjfa-12563 275 9 student student NOUN cjfa-12563 275 10 ’s ’s PART cjfa-12563 275 11 t t NOUN cjfa-12563 275 12 distribution distribution NOUN cjfa-12563 275 13 as as ADV cjfa-12563 275 14 well well ADV cjfa-12563 275 15 as as ADP cjfa-12563 275 16 the the DET cjfa-12563 275 17 normal normal ADJ cjfa-12563 275 18 distribution distribution NOUN cjfa-12563 275 19 . . PUNCT cjfa-12563 276 1 we we PRON cjfa-12563 276 2 expect expect VERB cjfa-12563 276 3 that that SCONJ cjfa-12563 276 4 the the DET cjfa-12563 276 5 normal normal ADJ cjfa-12563 276 6 distributions distribution NOUN cjfa-12563 276 7 will will AUX cjfa-12563 276 8 underestimate underestimate VERB cjfa-12563 276 9 risk risk NOUN cjfa-12563 276 10 , , PUNCT cjfa-12563 276 11 unless unless SCONJ cjfa-12563 276 12 the the DET cjfa-12563 276 13 return return NOUN cjfa-12563 276 14 series series NOUN cjfa-12563 276 15 are be AUX cjfa-12563 276 16 normally normally ADV cjfa-12563 276 17 distributed distribute VERB cjfa-12563 276 18 . . PUNCT cjfa-12563 277 1 we we PRON cjfa-12563 277 2 include include VERB cjfa-12563 277 3 the the DET cjfa-12563 277 4 normal normal ADJ cjfa-12563 277 5 based base VERB cjfa-12563 277 6 risk risk NOUN cjfa-12563 277 7 measures measure NOUN cjfa-12563 277 8 in in ADP cjfa-12563 277 9 our our PRON cjfa-12563 277 10 analysis analysis NOUN cjfa-12563 277 11 , , PUNCT cjfa-12563 277 12 however however ADV cjfa-12563 277 13 , , PUNCT cjfa-12563 277 14 to to PART cjfa-12563 277 15 show show VERB cjfa-12563 277 16 exactly exactly ADV cjfa-12563 277 17 by by ADP cjfa-12563 277 18 how how SCONJ cjfa-12563 277 19 much much ADJ cjfa-12563 277 20 it it PRON cjfa-12563 277 21 underestimates underestimate VERB cjfa-12563 277 22 risk risk NOUN cjfa-12563 277 23 compared compare VERB cjfa-12563 277 24 to to ADP cjfa-12563 277 25 the the DET cjfa-12563 277 26 t t NOUN cjfa-12563 277 27 distributed distribute VERB cjfa-12563 277 28 marginal marginal ADJ cjfa-12563 277 29 functions function NOUN cjfa-12563 277 30 . . PUNCT cjfa-12563 278 1 risky risky ADJ cjfa-12563 278 2 risk risk NOUN cjfa-12563 278 3 measures measure NOUN cjfa-12563 278 4 … … PUNCT cjfa-12563 278 5 93 93 NUM cjfa-12563 278 6 for for ADP cjfa-12563 278 7 the the DET cjfa-12563 278 8 normal normal ADJ cjfa-12563 278 9 distribution distribution NOUN cjfa-12563 278 10 , , PUNCT cjfa-12563 278 11 the the DET cjfa-12563 278 12 corresponding corresponding ADJ cjfa-12563 278 13 copula copula NOUN cjfa-12563 278 14 is be AUX cjfa-12563 278 15 the the DET cjfa-12563 278 16 gaussian gaussian ADJ cjfa-12563 278 17 copula copula NOUN cjfa-12563 278 18 : : PUNCT cjfa-12563 278 19 � � PROPN cjfa-12563 278 20 � � PROPN cjfa-12563 278 21 , , PUNCT cjfa-12563 278 22 � � PROPN cjfa-12563 278 23 � � PROPN cjfa-12563 278 24 � � PROPN cjfa-12563 278 25 ( ( PUNCT cjfa-12563 278 26 � � PROPN cjfa-12563 278 27 ) ) PUNCT cjfa-12563 278 28 , , PUNCT cjfa-12563 278 29 � � PROPN cjfa-12563 278 30 ( ( PUNCT cjfa-12563 278 31 � � PROPN cjfa-12563 278 32 ) ) PUNCT cjfa-12563 278 33 � � PROPN cjfa-12563 278 34 � � PROPN cjfa-12563 278 35 � � PROPN cjfa-12563 278 36 ( ( PUNCT cjfa-12563 278 37 � � PROPN cjfa-12563 278 38 , , PUNCT cjfa-12563 278 39 � � PROPN cjfa-12563 278 40 ) ) PUNCT cjfa-12563 278 41 with with ADP cjfa-12563 278 42 � � PROPN cjfa-12563 278 43 � � PROPN cjfa-12563 278 44 , , PUNCT cjfa-12563 278 45 � � PROPN cjfa-12563 278 46 : : PUNCT cjfa-12563 279 1 [ [ X cjfa-12563 279 2 0,1 0,1 NUM cjfa-12563 279 3 ] ] X cjfa-12563 279 4 × × NOUN cjfa-12563 280 1 [ [ X cjfa-12563 280 2 0,1 0,1 NUM cjfa-12563 280 3 ] ] PUNCT cjfa-12563 280 4 → → PUNCT cjfa-12563 280 5 [ [ X cjfa-12563 280 6 0,1 0,1 NUM cjfa-12563 280 7 ] ] PUNCT cjfa-12563 280 8 . . PUNCT cjfa-12563 281 1 in in ADP cjfa-12563 281 2 other other ADJ cjfa-12563 281 3 words word NOUN cjfa-12563 281 4 , , PUNCT cjfa-12563 281 5 the the DET cjfa-12563 281 6 joint joint ADJ cjfa-12563 281 7 cumulative cumulative ADJ cjfa-12563 281 8 distribution distribution NOUN cjfa-12563 281 9 function function NOUN cjfa-12563 281 10 can can AUX cjfa-12563 281 11 be be AUX cjfa-12563 281 12 split split VERB cjfa-12563 281 13 into into ADP cjfa-12563 281 14 ( ( PUNCT cjfa-12563 281 15 i i NOUN cjfa-12563 281 16 ) ) PUNCT cjfa-12563 281 17 the the DET cjfa-12563 281 18 marginal marginal ADJ cjfa-12563 281 19 cumulative cumulative ADJ cjfa-12563 281 20 distribution distribution NOUN cjfa-12563 281 21 functions function NOUN cjfa-12563 281 22 representing represent VERB cjfa-12563 281 23 the the DET cjfa-12563 281 24 univariate univariate ADJ cjfa-12563 281 25 features feature NOUN cjfa-12563 281 26 , , PUNCT cjfa-12563 281 27 and and CCONJ cjfa-12563 281 28 ( ( PUNCT cjfa-12563 281 29 ii ii NOUN cjfa-12563 281 30 ) ) PUNCT cjfa-12563 281 31 the the DET cjfa-12563 281 32 copula copula NOUN cjfa-12563 281 33 c c PROPN cjfa-12563 281 34 capturing capture VERB cjfa-12563 281 35 the the DET cjfa-12563 281 36 joint joint ADJ cjfa-12563 281 37 characteristics characteristic NOUN cjfa-12563 281 38 of of ADP cjfa-12563 281 39 the the DET cjfa-12563 281 40 joint joint ADJ cjfa-12563 281 41 cumulative cumulative ADJ cjfa-12563 281 42 distribution distribution NOUN cjfa-12563 281 43 function function NOUN cjfa-12563 281 44 . . PUNCT cjfa-12563 282 1 thus thus ADV cjfa-12563 282 2 , , PUNCT cjfa-12563 282 3 the the DET cjfa-12563 282 4 copula copula NOUN cjfa-12563 282 5 only only ADV cjfa-12563 282 6 contains contain VERB cjfa-12563 282 7 information information NOUN cjfa-12563 282 8 on on ADP cjfa-12563 282 9 the the DET cjfa-12563 282 10 dependencies dependency NOUN cjfa-12563 282 11 between between ADP cjfa-12563 282 12 x x PUNCT cjfa-12563 282 13 and and CCONJ cjfa-12563 282 14 y. y. NOUN cjfa-12563 282 15 the the DET cjfa-12563 282 16 marginal marginal ADJ cjfa-12563 282 17 distributions distribution NOUN cjfa-12563 282 18 do do AUX cjfa-12563 282 19 not not PART cjfa-12563 282 20 have have VERB cjfa-12563 282 21 to to PART cjfa-12563 282 22 be be AUX cjfa-12563 282 23 identical identical ADJ cjfa-12563 282 24 . . PUNCT cjfa-12563 283 1 the the DET cjfa-12563 283 2 copula copula NOUN cjfa-12563 283 3 is be AUX cjfa-12563 283 4 the the DET cjfa-12563 283 5 joint joint ADJ cjfa-12563 283 6 cumulative cumulative ADJ cjfa-12563 283 7 distribution distribution NOUN cjfa-12563 283 8 function function NOUN cjfa-12563 283 9 with with ADP cjfa-12563 283 10 the the DET cjfa-12563 283 11 individual individual ADJ cjfa-12563 283 12 quantile quantile PROPN cjfa-12563 283 13 functions function NOUN cjfa-12563 283 14 � � PROPN cjfa-12563 283 15 ( ( PUNCT cjfa-12563 283 16 � � PROPN cjfa-12563 283 17 , , PUNCT cjfa-12563 283 18 � � PROPN cjfa-12563 283 19 ) ) PUNCT cjfa-12563 283 20 � � PROPN cjfa-12563 283 21 � � PROPN cjfa-12563 283 22 � � PROPN cjfa-12563 283 23 , , PUNCT cjfa-12563 283 24 � � PROPN cjfa-12563 283 25 ( ( PUNCT cjfa-12563 283 26 � � PROPN cjfa-12563 283 27 � � PROPN cjfa-12563 283 28 � � PROPN cjfa-12563 283 29 � � PROPN cjfa-12563 283 30 ( ( PUNCT cjfa-12563 283 31 � � PROPN cjfa-12563 283 32 ) ) PUNCT cjfa-12563 283 33 , , PUNCT cjfa-12563 283 34 � � PROPN cjfa-12563 283 35 � � PROPN cjfa-12563 283 36 � � PROPN cjfa-12563 283 37 � � PROPN cjfa-12563 283 38 ( ( PUNCT cjfa-12563 283 39 � � PROPN cjfa-12563 283 40 ) ) PUNCT cjfa-12563 283 41 ) ) PUNCT cjfa-12563 283 42 as as ADP cjfa-12563 283 43 marginal marginal ADJ cjfa-12563 283 44 cumulative cumulative ADJ cjfa-12563 283 45 distribution distribution NOUN cjfa-12563 283 46 functions function NOUN cjfa-12563 283 47 , , PUNCT cjfa-12563 283 48 we we PRON cjfa-12563 283 49 choose choose VERB cjfa-12563 283 50 student student NOUN cjfa-12563 283 51 's 's PART cjfa-12563 283 52 t t NOUN cjfa-12563 283 53 distribution distribution NOUN cjfa-12563 283 54 as as ADV cjfa-12563 283 55 well well ADV cjfa-12563 283 56 as as ADP cjfa-12563 283 57 the the DET cjfa-12563 283 58 normal normal ADJ cjfa-12563 283 59 distribution distribution NOUN cjfa-12563 283 60 . . PUNCT cjfa-12563 284 1 we we PRON cjfa-12563 284 2 expect expect VERB cjfa-12563 284 3 that that SCONJ cjfa-12563 284 4 the the DET cjfa-12563 284 5 normal normal ADJ cjfa-12563 284 6 distributions distribution NOUN cjfa-12563 284 7 will will AUX cjfa-12563 284 8 underestimate underestimate VERB cjfa-12563 284 9 risk risk NOUN cjfa-12563 284 10 , , PUNCT cjfa-12563 284 11 unless unless SCONJ cjfa-12563 284 12 the the DET cjfa-12563 284 13 return return NOUN cjfa-12563 284 14 series series NOUN cjfa-12563 284 15 are be AUX cjfa-12563 284 16 normally normally ADV cjfa-12563 284 17 distributed distribute VERB cjfa-12563 284 18 . . PUNCT cjfa-12563 285 1 we we PRON cjfa-12563 285 2 include include VERB cjfa-12563 285 3 the the DET cjfa-12563 285 4 normal normal ADJ cjfa-12563 285 5 based base VERB cjfa-12563 285 6 risk risk NOUN cjfa-12563 285 7 measures measure NOUN cjfa-12563 285 8 in in ADP cjfa-12563 285 9 our our PRON cjfa-12563 285 10 analysis analysis NOUN cjfa-12563 285 11 , , PUNCT cjfa-12563 285 12 however however ADV cjfa-12563 285 13 , , PUNCT cjfa-12563 285 14 to to PART cjfa-12563 285 15 show show VERB cjfa-12563 285 16 exactly exactly ADV cjfa-12563 285 17 by by ADP cjfa-12563 285 18 how how SCONJ cjfa-12563 285 19 much much ADJ cjfa-12563 285 20 it it PRON cjfa-12563 285 21 underestimates underestimate VERB cjfa-12563 285 22 risk risk NOUN cjfa-12563 285 23 compared compare VERB cjfa-12563 285 24 to to ADP cjfa-12563 285 25 the the DET cjfa-12563 285 26 t t NOUN cjfa-12563 285 27 distributed distribute VERB cjfa-12563 285 28 marginal marginal ADJ cjfa-12563 285 29 functions function NOUN cjfa-12563 285 30 . . PUNCT cjfa-12563 286 1 for for ADP cjfa-12563 286 2 the the DET cjfa-12563 286 3 normal normal ADJ cjfa-12563 286 4 distribution distribution NOUN cjfa-12563 286 5 , , PUNCT cjfa-12563 286 6 the the DET cjfa-12563 286 7 corresponding corresponding ADJ cjfa-12563 286 8 copula copula NOUN cjfa-12563 286 9 is be AUX cjfa-12563 286 10 the the DET cjfa-12563 286 11 gaussian gaussian ADJ cjfa-12563 286 12 copula copula NOUN cjfa-12563 286 13 : : PUNCT cjfa-12563 286 14 � � PROPN cjfa-12563 286 15 ( ( PUNCT cjfa-12563 286 16 � � PROPN cjfa-12563 286 17 , , PUNCT cjfa-12563 286 18 � � PROPN cjfa-12563 286 19 � � PROPN cjfa-12563 286 20 � � PROPN cjfa-12563 286 21 ) ) PUNCT cjfa-12563 286 22 � � PROPN cjfa-12563 286 23 � � PROPN cjfa-12563 286 24 � � PROPN cjfa-12563 286 25 � � PROPN cjfa-12563 286 26 � � PROPN cjfa-12563 286 27 � � PROPN cjfa-12563 286 28 � � PROPN cjfa-12563 286 29 ( ( PUNCT cjfa-12563 286 30 � � PROPN cjfa-12563 286 31 ) ) PUNCT cjfa-12563 286 32 , , PUNCT cjfa-12563 286 33 � � PROPN cjfa-12563 286 34 � � PROPN cjfa-12563 286 35 � � PROPN cjfa-12563 286 36 ( ( PUNCT cjfa-12563 286 37 � � PROPN cjfa-12563 286 38 ) ) PUNCT cjfa-12563 286 39 � � PROPN cjfa-12563 286 40 � � PROPN cjfa-12563 286 41 � � PROPN cjfa-12563 286 42 � � PROPN cjfa-12563 286 43 � � PROPN cjfa-12563 286 44 � � PROPN cjfa-12563 286 45 ( ( PUNCT cjfa-12563 286 46 � � PROPN cjfa-12563 286 47 ) ) PUNCT cjfa-12563 286 48 � � PROPN cjfa-12563 286 49 � � PROPN cjfa-12563 286 50 � � PROPN cjfa-12563 286 51 1 1 NUM cjfa-12563 286 52 � � PROPN cjfa-12563 286 53 � � PROPN cjfa-12563 286 54 ( ( PUNCT cjfa-12563 286 55 1 1 NUM cjfa-12563 286 56 � � PROPN cjfa-12563 286 57 � � PROPN cjfa-12563 286 58 � � PROPN cjfa-12563 286 59 ) ) PUNCT cjfa-12563 286 60 � � PROPN cjfa-12563 286 61 � � PROPN cjfa-12563 286 62 � � PROPN cjfa-12563 286 63 ( ( PUNCT cjfa-12563 286 64 � � PROPN cjfa-12563 286 65 ) ) PUNCT cjfa-12563 286 66 � � PROPN cjfa-12563 286 67 � � PROPN cjfa-12563 286 68 � � PROPN cjfa-12563 286 69 � � PROPN cjfa-12563 286 70 � � PROPN cjfa-12563 286 71 � � PROPN cjfa-12563 286 72 � � PROPN cjfa-12563 286 73 � � PROPN cjfa-12563 286 74 ( ( PUNCT cjfa-12563 286 75 � � PROPN cjfa-12563 286 76 � � PROPN cjfa-12563 286 77 � � PROPN cjfa-12563 286 78 � � PROPN cjfa-12563 286 79 � � PROPN cjfa-12563 286 80 � � PROPN cjfa-12563 286 81 � � PROPN cjfa-12563 286 82 � � PROPN cjfa-12563 286 83 � � PROPN cjfa-12563 286 84 � � PROPN cjfa-12563 286 85 ) ) PUNCT cjfa-12563 286 86 � � PROPN cjfa-12563 286 87 ( ( PUNCT cjfa-12563 286 88 1 1 NUM cjfa-12563 286 89 � � PROPN cjfa-12563 286 90 � � PROPN cjfa-12563 286 91 � � PROPN cjfa-12563 286 92 ) ) PUNCT cjfa-12563 286 93 � � PROPN cjfa-12563 286 94 � � PROPN cjfa-12563 286 95 � � PROPN cjfa-12563 286 96 � � PROPN cjfa-12563 286 97 � � PROPN cjfa-12563 286 98 with with ADP cjfa-12563 286 99 � � PROPN cjfa-12563 286 100 being be AUX cjfa-12563 286 101 the the DET cjfa-12563 286 102 cumulative cumulative ADJ cjfa-12563 286 103 distribution distribution NOUN cjfa-12563 286 104 function function NOUN cjfa-12563 286 105 of of ADP cjfa-12563 286 106 the the DET cjfa-12563 286 107 univariate univariate ADJ cjfa-12563 286 108 standard standard ADJ cjfa-12563 286 109 normal normal ADJ cjfa-12563 286 110 distribution distribution NOUN cjfa-12563 286 111 and and CCONJ cjfa-12563 286 112 � � PROPN cjfa-12563 286 113 � � PROPN cjfa-12563 286 114 the the DET cjfa-12563 286 115 cumulative cumulative ADJ cjfa-12563 286 116 distribution distribution NOUN cjfa-12563 286 117 function function NOUN cjfa-12563 286 118 of of ADP cjfa-12563 286 119 the the DET cjfa-12563 286 120 joint joint ADJ cjfa-12563 286 121 , , PUNCT cjfa-12563 286 122 bivariate bivariate ADJ cjfa-12563 286 123 standard standard ADJ cjfa-12563 286 124 normal normal ADJ cjfa-12563 286 125 distribution distribution NOUN cjfa-12563 286 126 with with ADP cjfa-12563 286 127 parameter parameter PROPN cjfa-12563 286 128 � � PROPN cjfa-12563 286 129 ( ( PUNCT cjfa-12563 286 130 � � PROPN cjfa-12563 286 131 1 1 NUM cjfa-12563 286 132 � � PROPN cjfa-12563 286 133 � � PROPN cjfa-12563 286 134 � � PROPN cjfa-12563 286 135 1 1 NUM cjfa-12563 286 136 ) ) PUNCT cjfa-12563 286 137 . . PUNCT cjfa-12563 287 1 the the DET cjfa-12563 287 2 gaussian gaussian ADJ cjfa-12563 287 3 copula copula NOUN cjfa-12563 287 4 is be AUX cjfa-12563 287 5 completely completely ADV cjfa-12563 287 6 specified specify VERB cjfa-12563 287 7 by by ADP cjfa-12563 287 8 the the DET cjfa-12563 287 9 correlation correlation NOUN cjfa-12563 287 10 matrix matrix NOUN cjfa-12563 287 11 , , PUNCT cjfa-12563 287 12 which which PRON cjfa-12563 287 13 confirms confirm VERB cjfa-12563 287 14 the the DET cjfa-12563 287 15 argument argument NOUN cjfa-12563 287 16 that that SCONJ cjfa-12563 287 17 the the DET cjfa-12563 287 18 covariance covariance NOUN cjfa-12563 287 19 or or CCONJ cjfa-12563 287 20 correlation correlation NOUN cjfa-12563 287 21 matrix matrix NOUN cjfa-12563 287 22 is be AUX cjfa-12563 287 23 a a DET cjfa-12563 287 24 comprehensive comprehensive ADJ cjfa-12563 287 25 enough enough ADJ cjfa-12563 287 26 risk risk NOUN cjfa-12563 287 27 metric metric NOUN cjfa-12563 287 28 only only ADV cjfa-12563 287 29 if if SCONJ cjfa-12563 287 30 the the DET cjfa-12563 287 31 returns return NOUN cjfa-12563 287 32 follow follow VERB cjfa-12563 287 33 a a DET cjfa-12563 287 34 normal normal ADJ cjfa-12563 287 35 distribution distribution NOUN cjfa-12563 287 36 . . PUNCT cjfa-12563 288 1 for for ADP cjfa-12563 288 2 the the DET cjfa-12563 288 3 student student NOUN cjfa-12563 288 4 's 's PART cjfa-12563 288 5 t t NOUN cjfa-12563 288 6 distribution distribution NOUN cjfa-12563 288 7 , , PUNCT cjfa-12563 288 8 the the DET cjfa-12563 288 9 corresponding corresponding ADJ cjfa-12563 288 10 copula copula NOUN cjfa-12563 288 11 is be AUX cjfa-12563 288 12 the the DET cjfa-12563 288 13 t t PROPN cjfa-12563 288 14 copula copula NOUN cjfa-12563 288 15 : : PUNCT cjfa-12563 288 16 � � PROPN cjfa-12563 288 17 ( ( PUNCT cjfa-12563 288 18 � � PROPN cjfa-12563 288 19 , , PUNCT cjfa-12563 288 20 � � PROPN cjfa-12563 288 21 � � PROPN cjfa-12563 288 22 � � PROPN cjfa-12563 288 23 , , PUNCT cjfa-12563 288 24 � � PROPN cjfa-12563 288 25 ) ) PUNCT cjfa-12563 288 26 � � PROPN cjfa-12563 288 27 � � PROPN cjfa-12563 288 28 � � PROPN cjfa-12563 288 29 � � PROPN cjfa-12563 288 30 � � PROPN cjfa-12563 288 31 � � PROPN cjfa-12563 288 32 ( ( PUNCT cjfa-12563 288 33 � � PROPN cjfa-12563 288 34 ) ) PUNCT cjfa-12563 288 35 � � PROPN cjfa-12563 288 36 � � PROPN cjfa-12563 288 37 � � PROPN cjfa-12563 288 38 1 1 NUM cjfa-12563 288 39 � � PROPN cjfa-12563 288 40 � � PROPN cjfa-12563 288 41 � � PROPN cjfa-12563 288 42 1 1 NUM cjfa-12563 288 43 � � PROPN cjfa-12563 288 44 � � PROPN cjfa-12563 288 45 � � PROPN cjfa-12563 288 46 � � PROPN cjfa-12563 288 47 � � PROPN cjfa-12563 288 48 � � PROPN cjfa-12563 288 49 � � PROPN cjfa-12563 288 50 ( ( PUNCT cjfa-12563 288 51 � � PROPN cjfa-12563 288 52 ) ) PUNCT cjfa-12563 288 53 � � PROPN cjfa-12563 288 54 � � PROPN cjfa-12563 288 55 � � PROPN cjfa-12563 288 56 � � PROPN cjfa-12563 288 57 1 1 NUM cjfa-12563 288 58 � � PROPN cjfa-12563 288 59 ( ( PUNCT cjfa-12563 288 60 � � PROPN cjfa-12563 288 61 � � PROPN cjfa-12563 288 62 � � PROPN cjfa-12563 288 63 � � PROPN cjfa-12563 288 64 � � PROPN cjfa-12563 288 65 � � PROPN cjfa-12563 288 66 � � PROPN cjfa-12563 288 67 � � PROPN cjfa-12563 288 68 � � PROPN cjfa-12563 288 69 � � PROPN cjfa-12563 288 70 ) ) PUNCT cjfa-12563 288 71 � � PROPN cjfa-12563 288 72 ( ( PUNCT cjfa-12563 288 73 1 1 NUM cjfa-12563 288 74 � � PROPN cjfa-12563 288 75 � � PROPN cjfa-12563 288 76 � � PROPN cjfa-12563 288 77 ) ) PUNCT cjfa-12563 288 78 � � PROPN cjfa-12563 288 79 � � PROPN cjfa-12563 288 80 ( ( PUNCT cjfa-12563 288 81 � � PROPN cjfa-12563 288 82 � � PROPN cjfa-12563 288 83 � � PROPN cjfa-12563 288 84 ) ) PUNCT cjfa-12563 288 85 � � PROPN cjfa-12563 288 86 � � PROPN cjfa-12563 288 87 � � PROPN cjfa-12563 288 88 � � PROPN cjfa-12563 288 89 � � PROPN cjfa-12563 288 90 with with ADP cjfa-12563 288 91 � � PROPN cjfa-12563 288 92 � � PROPN cjfa-12563 288 93 being be AUX cjfa-12563 288 94 the the DET cjfa-12563 288 95 univariate univariate ADJ cjfa-12563 288 96 cumulative cumulative ADJ cjfa-12563 288 97 distribution distribution NOUN cjfa-12563 288 98 function function NOUN cjfa-12563 288 99 of of ADP cjfa-12563 288 100 the the DET cjfa-12563 288 101 student student NOUN cjfa-12563 288 102 's 's PART cjfa-12563 288 103 t t NOUN cjfa-12563 288 104 distribution distribution NOUN cjfa-12563 288 105 with with ADP cjfa-12563 288 106 � � PROPN cjfa-12563 288 107 � � PROPN cjfa-12563 288 108 0 0 NUM cjfa-12563 288 109 degrees degree NOUN cjfa-12563 288 110 of of ADP cjfa-12563 288 111 freedom freedom NOUN cjfa-12563 288 112 and and CCONJ cjfa-12563 288 113 ( ( PUNCT cjfa-12563 288 114 � � PROPN cjfa-12563 288 115 1 1 NUM cjfa-12563 288 116 � � PROPN cjfa-12563 288 117 � � PROPN cjfa-12563 288 118 � � PROPN cjfa-12563 288 119 1 1 NUM cjfa-12563 288 120 ) ) PUNCT cjfa-12563 288 121 . . PUNCT cjfa-12563 289 1 the the DET cjfa-12563 289 2 number number NOUN cjfa-12563 289 3 of of ADP cjfa-12563 289 4 degrees degree NOUN cjfa-12563 289 5 of of ADP cjfa-12563 289 6 freedom freedom NOUN cjfa-12563 289 7 controls control VERB cjfa-12563 289 8 the the DET cjfa-12563 289 9 probability probability NOUN cjfa-12563 289 10 of of ADP cjfa-12563 289 11 joint joint ADJ cjfa-12563 289 12 movements movement NOUN cjfa-12563 289 13 . . PUNCT cjfa-12563 290 1 for for ADP cjfa-12563 290 2 � � PROPN cjfa-12563 290 3 � � PROPN cjfa-12563 290 4 → → SYM cjfa-12563 290 5 � � PROPN cjfa-12563 290 6 � � PROPN cjfa-12563 290 7 , , PUNCT cjfa-12563 290 8 the the DET cjfa-12563 290 9 t t NOUN cjfa-12563 290 10 copula copula NOUN cjfa-12563 290 11 approaches approach VERB cjfa-12563 290 12 the the DET cjfa-12563 290 13 gaussian gaussian ADJ cjfa-12563 290 14 copula copula NOUN cjfa-12563 290 15 . . PUNCT cjfa-12563 291 1 both both DET cjfa-12563 291 2 copulas copula NOUN cjfa-12563 291 3 only only ADV cjfa-12563 291 4 model model VERB cjfa-12563 291 5 symmetric symmetric ADJ cjfa-12563 291 6 tail tail NOUN cjfa-12563 291 7 dependence dependence NOUN cjfa-12563 291 8 , , PUNCT cjfa-12563 291 9 as as SCONJ cjfa-12563 291 10 they they PRON cjfa-12563 291 11 are be AUX cjfa-12563 291 12 both both PRON cjfa-12563 291 13 symmetric symmetric ADJ cjfa-12563 291 14 distributions distribution NOUN cjfa-12563 291 15 . . PUNCT cjfa-12563 292 1 since since SCONJ cjfa-12563 292 2 the the DET cjfa-12563 292 3 bivariate bivariate ADJ cjfa-12563 292 4 cumulative cumulative ADJ cjfa-12563 292 5 distribution distribution NOUN cjfa-12563 292 6 function function NOUN cjfa-12563 292 7 � � PROPN cjfa-12563 292 8 ( ( PUNCT cjfa-12563 292 9 � � PROPN cjfa-12563 292 10 , , PUNCT cjfa-12563 292 11 � � PROPN cjfa-12563 292 12 ) ) PUNCT cjfa-12563 292 13 is be AUX cjfa-12563 292 14 estimated estimate VERB cjfa-12563 292 15 with with ADP cjfa-12563 292 16 φ φ PROPN cjfa-12563 292 17 being be AUX cjfa-12563 292 18 the the DET cjfa-12563 292 19 cumulative cumulative ADJ cjfa-12563 292 20 distribution distribution NOUN cjfa-12563 292 21 function function NOUN cjfa-12563 292 22 of of ADP cjfa-12563 292 23 the the DET cjfa-12563 292 24 univariate univariate ADJ cjfa-12563 292 25 standard standard ADJ cjfa-12563 292 26 normal normal ADJ cjfa-12563 292 27 distribution distribution NOUN cjfa-12563 292 28 and and CCONJ cjfa-12563 292 29 φρ φρ VERB cjfa-12563 292 30 the the DET cjfa-12563 292 31 cumulative cumulative ADJ cjfa-12563 292 32 distribution distribution NOUN cjfa-12563 292 33 function function NOUN cjfa-12563 292 34 of of ADP cjfa-12563 292 35 the the DET cjfa-12563 292 36 joint joint ADJ cjfa-12563 292 37 , , PUNCT cjfa-12563 292 38 bivariate bivariate ADJ cjfa-12563 292 39 standard standard ADJ cjfa-12563 292 40 normal normal ADJ cjfa-12563 292 41 distribution distribution NOUN cjfa-12563 292 42 with with ADP cjfa-12563 292 43 parameter parameter PROPN cjfa-12563 292 44 � � PROPN cjfa-12563 292 45 � � PROPN cjfa-12563 292 46 , , PUNCT cjfa-12563 292 47 � � PROPN cjfa-12563 292 48 � � PROPN cjfa-12563 292 49 � � PROPN cjfa-12563 292 50 ( ( PUNCT cjfa-12563 292 51 � � PROPN cjfa-12563 292 52 ) ) PUNCT cjfa-12563 292 53 , , PUNCT cjfa-12563 292 54 � � PROPN cjfa-12563 292 55 ( ( PUNCT cjfa-12563 292 56 � � PROPN cjfa-12563 292 57 ) ) PUNCT cjfa-12563 292 58 � � PROPN cjfa-12563 292 59 � � PROPN cjfa-12563 292 60 � � PROPN cjfa-12563 292 61 ( ( PUNCT cjfa-12563 292 62 � � PROPN cjfa-12563 292 63 , , PUNCT cjfa-12563 292 64 � � PROPN cjfa-12563 292 65 ) ) PUNCT cjfa-12563 292 66 with with ADP cjfa-12563 292 67 � � PROPN cjfa-12563 292 68 � � PROPN cjfa-12563 292 69 , , PUNCT cjfa-12563 292 70 � � PROPN cjfa-12563 292 71 : : PUNCT cjfa-12563 293 1 [ [ X cjfa-12563 293 2 0,1 0,1 NUM cjfa-12563 293 3 ] ] X cjfa-12563 293 4 × × NOUN cjfa-12563 294 1 [ [ X cjfa-12563 294 2 0,1 0,1 NUM cjfa-12563 294 3 ] ] PUNCT cjfa-12563 294 4 → → PUNCT cjfa-12563 294 5 [ [ X cjfa-12563 294 6 0,1 0,1 NUM cjfa-12563 294 7 ] ] PUNCT cjfa-12563 294 8 . . PUNCT cjfa-12563 295 1 in in ADP cjfa-12563 295 2 other other ADJ cjfa-12563 295 3 words word NOUN cjfa-12563 295 4 , , PUNCT cjfa-12563 295 5 the the DET cjfa-12563 295 6 joint joint ADJ cjfa-12563 295 7 cumulative cumulative ADJ cjfa-12563 295 8 distribution distribution NOUN cjfa-12563 295 9 function function NOUN cjfa-12563 295 10 can can AUX cjfa-12563 295 11 be be AUX cjfa-12563 295 12 split split VERB cjfa-12563 295 13 into into ADP cjfa-12563 295 14 ( ( PUNCT cjfa-12563 295 15 i i NOUN cjfa-12563 295 16 ) ) PUNCT cjfa-12563 295 17 the the DET cjfa-12563 295 18 marginal marginal ADJ cjfa-12563 295 19 cumulative cumulative ADJ cjfa-12563 295 20 distribution distribution NOUN cjfa-12563 295 21 functions function NOUN cjfa-12563 295 22 representing represent VERB cjfa-12563 295 23 the the DET cjfa-12563 295 24 univariate univariate ADJ cjfa-12563 295 25 features feature NOUN cjfa-12563 295 26 , , PUNCT cjfa-12563 295 27 and and CCONJ cjfa-12563 295 28 ( ( PUNCT cjfa-12563 295 29 ii ii NOUN cjfa-12563 295 30 ) ) PUNCT cjfa-12563 295 31 the the DET cjfa-12563 295 32 copula copula NOUN cjfa-12563 295 33 c c PROPN cjfa-12563 295 34 capturing capture VERB cjfa-12563 295 35 the the DET cjfa-12563 295 36 joint joint ADJ cjfa-12563 295 37 characteristics characteristic NOUN cjfa-12563 295 38 of of ADP cjfa-12563 295 39 the the DET cjfa-12563 295 40 joint joint ADJ cjfa-12563 295 41 cumulative cumulative ADJ cjfa-12563 295 42 distribution distribution NOUN cjfa-12563 295 43 function function NOUN cjfa-12563 295 44 . . PUNCT cjfa-12563 296 1 thus thus ADV cjfa-12563 296 2 , , PUNCT cjfa-12563 296 3 the the DET cjfa-12563 296 4 copula copula NOUN cjfa-12563 296 5 only only ADV cjfa-12563 296 6 contains contain VERB cjfa-12563 296 7 information information NOUN cjfa-12563 296 8 on on ADP cjfa-12563 296 9 the the DET cjfa-12563 296 10 dependencies dependency NOUN cjfa-12563 296 11 between between ADP cjfa-12563 296 12 x x PUNCT cjfa-12563 296 13 and and CCONJ cjfa-12563 296 14 y. y. NOUN cjfa-12563 296 15 the the DET cjfa-12563 296 16 marginal marginal ADJ cjfa-12563 296 17 distributions distribution NOUN cjfa-12563 296 18 do do AUX cjfa-12563 296 19 not not PART cjfa-12563 296 20 have have VERB cjfa-12563 296 21 to to PART cjfa-12563 296 22 be be AUX cjfa-12563 296 23 identical identical ADJ cjfa-12563 296 24 . . PUNCT cjfa-12563 297 1 the the DET cjfa-12563 297 2 copula copula NOUN cjfa-12563 297 3 is be AUX cjfa-12563 297 4 the the DET cjfa-12563 297 5 joint joint ADJ cjfa-12563 297 6 cumulative cumulative ADJ cjfa-12563 297 7 distribution distribution NOUN cjfa-12563 297 8 function function NOUN cjfa-12563 297 9 with with ADP cjfa-12563 297 10 the the DET cjfa-12563 297 11 individual individual ADJ cjfa-12563 297 12 quantile quantile PROPN cjfa-12563 297 13 functions function NOUN cjfa-12563 297 14 � � PROPN cjfa-12563 297 15 ( ( PUNCT cjfa-12563 297 16 � � PROPN cjfa-12563 297 17 , , PUNCT cjfa-12563 297 18 � � PROPN cjfa-12563 297 19 ) ) PUNCT cjfa-12563 297 20 � � PROPN cjfa-12563 297 21 � � PROPN cjfa-12563 297 22 � � PROPN cjfa-12563 297 23 , , PUNCT cjfa-12563 297 24 � � PROPN cjfa-12563 297 25 ( ( PUNCT cjfa-12563 297 26 � � PROPN cjfa-12563 297 27 � � PROPN cjfa-12563 297 28 � � PROPN cjfa-12563 297 29 � � PROPN cjfa-12563 297 30 ( ( PUNCT cjfa-12563 297 31 � � PROPN cjfa-12563 297 32 ) ) PUNCT cjfa-12563 297 33 , , PUNCT cjfa-12563 297 34 � � PROPN cjfa-12563 297 35 � � PROPN cjfa-12563 297 36 � � PROPN cjfa-12563 297 37 � � PROPN cjfa-12563 297 38 ( ( PUNCT cjfa-12563 297 39 � � PROPN cjfa-12563 297 40 ) ) PUNCT cjfa-12563 297 41 ) ) PUNCT cjfa-12563 297 42 as as ADP cjfa-12563 297 43 marginal marginal ADJ cjfa-12563 297 44 cumulative cumulative ADJ cjfa-12563 297 45 distribution distribution NOUN cjfa-12563 297 46 functions function NOUN cjfa-12563 297 47 , , PUNCT cjfa-12563 297 48 we we PRON cjfa-12563 297 49 choose choose VERB cjfa-12563 297 50 student student NOUN cjfa-12563 297 51 's 's PART cjfa-12563 297 52 t t NOUN cjfa-12563 297 53 distribution distribution NOUN cjfa-12563 297 54 as as ADV cjfa-12563 297 55 well well ADV cjfa-12563 297 56 as as ADP cjfa-12563 297 57 the the DET cjfa-12563 297 58 normal normal ADJ cjfa-12563 297 59 distribution distribution NOUN cjfa-12563 297 60 . . PUNCT cjfa-12563 298 1 we we PRON cjfa-12563 298 2 expect expect VERB cjfa-12563 298 3 that that SCONJ cjfa-12563 298 4 the the DET cjfa-12563 298 5 normal normal ADJ cjfa-12563 298 6 distributions distribution NOUN cjfa-12563 298 7 will will AUX cjfa-12563 298 8 underestimate underestimate VERB cjfa-12563 298 9 risk risk NOUN cjfa-12563 298 10 , , PUNCT cjfa-12563 298 11 unless unless SCONJ cjfa-12563 298 12 the the DET cjfa-12563 298 13 return return NOUN cjfa-12563 298 14 series series NOUN cjfa-12563 298 15 are be AUX cjfa-12563 298 16 normally normally ADV cjfa-12563 298 17 distributed distribute VERB cjfa-12563 298 18 . . PUNCT cjfa-12563 299 1 we we PRON cjfa-12563 299 2 include include VERB cjfa-12563 299 3 the the DET cjfa-12563 299 4 normal normal ADJ cjfa-12563 299 5 based base VERB cjfa-12563 299 6 risk risk NOUN cjfa-12563 299 7 measures measure NOUN cjfa-12563 299 8 in in ADP cjfa-12563 299 9 our our PRON cjfa-12563 299 10 analysis analysis NOUN cjfa-12563 299 11 , , PUNCT cjfa-12563 299 12 however however ADV cjfa-12563 299 13 , , PUNCT cjfa-12563 299 14 to to PART cjfa-12563 299 15 show show VERB cjfa-12563 299 16 exactly exactly ADV cjfa-12563 299 17 by by ADP cjfa-12563 299 18 how how SCONJ cjfa-12563 299 19 much much ADJ cjfa-12563 299 20 it it PRON cjfa-12563 299 21 underestimates underestimate VERB cjfa-12563 299 22 risk risk NOUN cjfa-12563 299 23 compared compare VERB cjfa-12563 299 24 to to ADP cjfa-12563 299 25 the the DET cjfa-12563 299 26 t t NOUN cjfa-12563 299 27 distributed distribute VERB cjfa-12563 299 28 marginal marginal ADJ cjfa-12563 299 29 functions function NOUN cjfa-12563 299 30 . . PUNCT cjfa-12563 300 1 for for ADP cjfa-12563 300 2 the the DET cjfa-12563 300 3 normal normal ADJ cjfa-12563 300 4 distribution distribution NOUN cjfa-12563 300 5 , , PUNCT cjfa-12563 300 6 the the DET cjfa-12563 300 7 corresponding corresponding ADJ cjfa-12563 300 8 copula copula NOUN cjfa-12563 300 9 is be AUX cjfa-12563 300 10 the the DET cjfa-12563 300 11 gaussian gaussian ADJ cjfa-12563 300 12 copula copula NOUN cjfa-12563 300 13 : : PUNCT cjfa-12563 300 14 � � PROPN cjfa-12563 300 15 ( ( PUNCT cjfa-12563 300 16 � � PROPN cjfa-12563 300 17 , , PUNCT cjfa-12563 300 18 � � PROPN cjfa-12563 300 19 � � PROPN cjfa-12563 300 20 � � PROPN cjfa-12563 300 21 ) ) PUNCT cjfa-12563 300 22 � � PROPN cjfa-12563 300 23 � � PROPN cjfa-12563 300 24 � � PROPN cjfa-12563 300 25 � � PROPN cjfa-12563 300 26 � � PROPN cjfa-12563 300 27 � � PROPN cjfa-12563 300 28 � � PROPN cjfa-12563 300 29 ( ( PUNCT cjfa-12563 300 30 � � PROPN cjfa-12563 300 31 ) ) PUNCT cjfa-12563 300 32 , , PUNCT cjfa-12563 300 33 � � PROPN cjfa-12563 300 34 � � PROPN cjfa-12563 300 35 � � PROPN cjfa-12563 300 36 ( ( PUNCT cjfa-12563 300 37 � � PROPN cjfa-12563 300 38 ) ) PUNCT cjfa-12563 300 39 � � PROPN cjfa-12563 300 40 � � PROPN cjfa-12563 300 41 � � PROPN cjfa-12563 300 42 � � PROPN cjfa-12563 300 43 � � PROPN cjfa-12563 300 44 � � PROPN cjfa-12563 300 45 ( ( PUNCT cjfa-12563 300 46 � � PROPN cjfa-12563 300 47 ) ) PUNCT cjfa-12563 300 48 � � PROPN cjfa-12563 300 49 � � PROPN cjfa-12563 300 50 � � PROPN cjfa-12563 300 51 1 1 NUM cjfa-12563 300 52 � � PROPN cjfa-12563 300 53 � � PROPN cjfa-12563 300 54 ( ( PUNCT cjfa-12563 300 55 1 1 NUM cjfa-12563 300 56 � � PROPN cjfa-12563 300 57 � � PROPN cjfa-12563 300 58 � � PROPN cjfa-12563 300 59 ) ) PUNCT cjfa-12563 300 60 � � PROPN cjfa-12563 300 61 � � PROPN cjfa-12563 300 62 � � PROPN cjfa-12563 300 63 ( ( PUNCT cjfa-12563 300 64 � � PROPN cjfa-12563 300 65 ) ) PUNCT cjfa-12563 300 66 � � PROPN cjfa-12563 300 67 � � PROPN cjfa-12563 300 68 � � PROPN cjfa-12563 300 69 � � PROPN cjfa-12563 300 70 � � PROPN cjfa-12563 300 71 � � PROPN cjfa-12563 300 72 � � PROPN cjfa-12563 300 73 � � PROPN cjfa-12563 300 74 ( ( PUNCT cjfa-12563 300 75 � � PROPN cjfa-12563 300 76 � � PROPN cjfa-12563 300 77 � � PROPN cjfa-12563 300 78 � � PROPN cjfa-12563 300 79 � � PROPN cjfa-12563 300 80 � � PROPN cjfa-12563 300 81 � � PROPN cjfa-12563 300 82 � � PROPN cjfa-12563 300 83 � � PROPN cjfa-12563 300 84 � � PROPN cjfa-12563 300 85 ) ) PUNCT cjfa-12563 300 86 � � PROPN cjfa-12563 300 87 ( ( PUNCT cjfa-12563 300 88 1 1 NUM cjfa-12563 300 89 � � PROPN cjfa-12563 300 90 � � PROPN cjfa-12563 300 91 � � PROPN cjfa-12563 300 92 ) ) PUNCT cjfa-12563 300 93 � � PROPN cjfa-12563 300 94 � � PROPN cjfa-12563 300 95 � � PROPN cjfa-12563 300 96 � � PROPN cjfa-12563 300 97 � � PROPN cjfa-12563 300 98 with with ADP cjfa-12563 300 99 � � PROPN cjfa-12563 300 100 being be AUX cjfa-12563 300 101 the the DET cjfa-12563 300 102 cumulative cumulative ADJ cjfa-12563 300 103 distribution distribution NOUN cjfa-12563 300 104 function function NOUN cjfa-12563 300 105 of of ADP cjfa-12563 300 106 the the DET cjfa-12563 300 107 univariate univariate ADJ cjfa-12563 300 108 standard standard ADJ cjfa-12563 300 109 normal normal ADJ cjfa-12563 300 110 distribution distribution NOUN cjfa-12563 300 111 and and CCONJ cjfa-12563 300 112 � � PROPN cjfa-12563 300 113 � � PROPN cjfa-12563 300 114 the the DET cjfa-12563 300 115 cumulative cumulative ADJ cjfa-12563 300 116 distribution distribution NOUN cjfa-12563 300 117 function function NOUN cjfa-12563 300 118 of of ADP cjfa-12563 300 119 the the DET cjfa-12563 300 120 joint joint ADJ cjfa-12563 300 121 , , PUNCT cjfa-12563 300 122 bivariate bivariate ADJ cjfa-12563 300 123 standard standard ADJ cjfa-12563 300 124 normal normal ADJ cjfa-12563 300 125 distribution distribution NOUN cjfa-12563 300 126 with with ADP cjfa-12563 300 127 parameter parameter PROPN cjfa-12563 300 128 � � PROPN cjfa-12563 300 129 ( ( PUNCT cjfa-12563 300 130 � � PROPN cjfa-12563 300 131 1 1 NUM cjfa-12563 300 132 � � PROPN cjfa-12563 300 133 � � PROPN cjfa-12563 300 134 � � PROPN cjfa-12563 300 135 1 1 NUM cjfa-12563 300 136 ) ) PUNCT cjfa-12563 300 137 . . PUNCT cjfa-12563 301 1 the the DET cjfa-12563 301 2 gaussian gaussian ADJ cjfa-12563 301 3 copula copula NOUN cjfa-12563 301 4 is be AUX cjfa-12563 301 5 completely completely ADV cjfa-12563 301 6 specified specify VERB cjfa-12563 301 7 by by ADP cjfa-12563 301 8 the the DET cjfa-12563 301 9 correlation correlation NOUN cjfa-12563 301 10 matrix matrix NOUN cjfa-12563 301 11 , , PUNCT cjfa-12563 301 12 which which PRON cjfa-12563 301 13 confirms confirm VERB cjfa-12563 301 14 the the DET cjfa-12563 301 15 argument argument NOUN cjfa-12563 301 16 that that SCONJ cjfa-12563 301 17 the the DET cjfa-12563 301 18 covariance covariance NOUN cjfa-12563 301 19 or or CCONJ cjfa-12563 301 20 correlation correlation NOUN cjfa-12563 301 21 matrix matrix NOUN cjfa-12563 301 22 is be AUX cjfa-12563 301 23 a a DET cjfa-12563 301 24 comprehensive comprehensive ADJ cjfa-12563 301 25 enough enough ADJ cjfa-12563 301 26 risk risk NOUN cjfa-12563 301 27 metric metric NOUN cjfa-12563 301 28 only only ADV cjfa-12563 301 29 if if SCONJ cjfa-12563 301 30 the the DET cjfa-12563 301 31 returns return NOUN cjfa-12563 301 32 follow follow VERB cjfa-12563 301 33 a a DET cjfa-12563 301 34 normal normal ADJ cjfa-12563 301 35 distribution distribution NOUN cjfa-12563 301 36 . . PUNCT cjfa-12563 302 1 for for ADP cjfa-12563 302 2 the the DET cjfa-12563 302 3 student student NOUN cjfa-12563 302 4 's 's PART cjfa-12563 302 5 t t NOUN cjfa-12563 302 6 distribution distribution NOUN cjfa-12563 302 7 , , PUNCT cjfa-12563 302 8 the the DET cjfa-12563 302 9 corresponding corresponding ADJ cjfa-12563 302 10 copula copula NOUN cjfa-12563 302 11 is be AUX cjfa-12563 302 12 the the DET cjfa-12563 302 13 t t PROPN cjfa-12563 302 14 copula copula NOUN cjfa-12563 302 15 : : PUNCT cjfa-12563 302 16 � � PROPN cjfa-12563 302 17 ( ( PUNCT cjfa-12563 302 18 � � PROPN cjfa-12563 302 19 , , PUNCT cjfa-12563 302 20 � � PROPN cjfa-12563 302 21 � � PROPN cjfa-12563 302 22 � � PROPN cjfa-12563 302 23 , , PUNCT cjfa-12563 302 24 � � PROPN cjfa-12563 302 25 ) ) PUNCT cjfa-12563 302 26 � � PROPN cjfa-12563 302 27 � � PROPN cjfa-12563 302 28 � � PROPN cjfa-12563 302 29 � � PROPN cjfa-12563 302 30 � � PROPN cjfa-12563 302 31 � � PROPN cjfa-12563 302 32 ( ( PUNCT cjfa-12563 302 33 � � PROPN cjfa-12563 302 34 ) ) PUNCT cjfa-12563 302 35 � � PROPN cjfa-12563 302 36 � � PROPN cjfa-12563 302 37 � � PROPN cjfa-12563 302 38 1 1 NUM cjfa-12563 302 39 � � PROPN cjfa-12563 302 40 � � PROPN cjfa-12563 302 41 � � PROPN cjfa-12563 302 42 1 1 NUM cjfa-12563 302 43 � � PROPN cjfa-12563 302 44 � � PROPN cjfa-12563 302 45 � � PROPN cjfa-12563 302 46 � � PROPN cjfa-12563 302 47 � � PROPN cjfa-12563 302 48 � � PROPN cjfa-12563 302 49 � � PROPN cjfa-12563 302 50 ( ( PUNCT cjfa-12563 302 51 � � PROPN cjfa-12563 302 52 ) ) PUNCT cjfa-12563 302 53 � � PROPN cjfa-12563 302 54 � � PROPN cjfa-12563 302 55 � � PROPN cjfa-12563 302 56 � � PROPN cjfa-12563 302 57 1 1 NUM cjfa-12563 302 58 � � PROPN cjfa-12563 302 59 ( ( PUNCT cjfa-12563 302 60 � � PROPN cjfa-12563 302 61 � � PROPN cjfa-12563 302 62 � � PROPN cjfa-12563 302 63 � � PROPN cjfa-12563 302 64 � � PROPN cjfa-12563 302 65 � � PROPN cjfa-12563 302 66 � � PROPN cjfa-12563 302 67 � � PROPN cjfa-12563 302 68 � � PROPN cjfa-12563 302 69 � � PROPN cjfa-12563 302 70 ) ) PUNCT cjfa-12563 302 71 � � PROPN cjfa-12563 302 72 ( ( PUNCT cjfa-12563 302 73 1 1 NUM cjfa-12563 302 74 � � PROPN cjfa-12563 302 75 � � PROPN cjfa-12563 302 76 � � PROPN cjfa-12563 302 77 ) ) PUNCT cjfa-12563 302 78 � � PROPN cjfa-12563 302 79 � � PROPN cjfa-12563 302 80 ( ( PUNCT cjfa-12563 302 81 � � PROPN cjfa-12563 302 82 � � PROPN cjfa-12563 302 83 � � PROPN cjfa-12563 302 84 ) ) PUNCT cjfa-12563 302 85 � � PROPN cjfa-12563 302 86 � � PROPN cjfa-12563 302 87 � � PROPN cjfa-12563 302 88 � � PROPN cjfa-12563 302 89 � � PROPN cjfa-12563 302 90 with with ADP cjfa-12563 302 91 � � PROPN cjfa-12563 302 92 � � PROPN cjfa-12563 302 93 being be AUX cjfa-12563 302 94 the the DET cjfa-12563 302 95 univariate univariate ADJ cjfa-12563 302 96 cumulative cumulative ADJ cjfa-12563 302 97 distribution distribution NOUN cjfa-12563 302 98 function function NOUN cjfa-12563 302 99 of of ADP cjfa-12563 302 100 the the DET cjfa-12563 302 101 student student NOUN cjfa-12563 302 102 's 's PART cjfa-12563 302 103 t t NOUN cjfa-12563 302 104 distribution distribution NOUN cjfa-12563 302 105 with with ADP cjfa-12563 302 106 � � PROPN cjfa-12563 302 107 � � PROPN cjfa-12563 302 108 0 0 NUM cjfa-12563 302 109 degrees degree NOUN cjfa-12563 302 110 of of ADP cjfa-12563 302 111 freedom freedom NOUN cjfa-12563 302 112 and and CCONJ cjfa-12563 302 113 ( ( PUNCT cjfa-12563 302 114 � � PROPN cjfa-12563 302 115 1 1 NUM cjfa-12563 302 116 � � PROPN cjfa-12563 302 117 � � PROPN cjfa-12563 302 118 � � PROPN cjfa-12563 302 119 1 1 NUM cjfa-12563 302 120 ) ) PUNCT cjfa-12563 302 121 . . PUNCT cjfa-12563 303 1 the the DET cjfa-12563 303 2 number number NOUN cjfa-12563 303 3 of of ADP cjfa-12563 303 4 degrees degree NOUN cjfa-12563 303 5 of of ADP cjfa-12563 303 6 freedom freedom NOUN cjfa-12563 303 7 controls control VERB cjfa-12563 303 8 the the DET cjfa-12563 303 9 probability probability NOUN cjfa-12563 303 10 of of ADP cjfa-12563 303 11 joint joint ADJ cjfa-12563 303 12 movements movement NOUN cjfa-12563 303 13 . . PUNCT cjfa-12563 304 1 for for ADP cjfa-12563 304 2 � � PROPN cjfa-12563 304 3 � � PROPN cjfa-12563 304 4 → → SYM cjfa-12563 304 5 � � PROPN cjfa-12563 304 6 � � PROPN cjfa-12563 304 7 , , PUNCT cjfa-12563 304 8 the the DET cjfa-12563 304 9 t t NOUN cjfa-12563 304 10 copula copula NOUN cjfa-12563 304 11 approaches approach VERB cjfa-12563 304 12 the the DET cjfa-12563 304 13 gaussian gaussian ADJ cjfa-12563 304 14 copula copula NOUN cjfa-12563 304 15 . . PUNCT cjfa-12563 305 1 both both DET cjfa-12563 305 2 copulas copula NOUN cjfa-12563 305 3 only only ADV cjfa-12563 305 4 model model VERB cjfa-12563 305 5 symmetric symmetric ADJ cjfa-12563 305 6 tail tail NOUN cjfa-12563 305 7 dependence dependence NOUN cjfa-12563 305 8 , , PUNCT cjfa-12563 305 9 as as SCONJ cjfa-12563 305 10 they they PRON cjfa-12563 305 11 are be AUX cjfa-12563 305 12 both both PRON cjfa-12563 305 13 symmetric symmetric ADJ cjfa-12563 305 14 distributions distribution NOUN cjfa-12563 305 15 . . PUNCT cjfa-12563 306 1 since since SCONJ cjfa-12563 306 2 the the DET cjfa-12563 306 3 bivariate bivariate ADJ cjfa-12563 306 4 cumulative cumulative ADJ cjfa-12563 306 5 distribution distribution NOUN cjfa-12563 306 6 function function NOUN cjfa-12563 306 7 � � PROPN cjfa-12563 306 8 ( ( PUNCT cjfa-12563 306 9 � � PROPN cjfa-12563 306 10 , , PUNCT cjfa-12563 306 11 � � PROPN cjfa-12563 306 12 ) ) PUNCT cjfa-12563 306 13 is be AUX cjfa-12563 306 14 estimated estimate VERB cjfa-12563 306 15 . . PUNCT cjfa-12563 307 1 the the DET cjfa-12563 307 2 gaussian gaussian ADJ cjfa-12563 307 3 copula copula NOUN cjfa-12563 307 4 is be AUX cjfa-12563 307 5 completely completely ADV cjfa-12563 307 6 specified specify VERB cjfa-12563 307 7 by by ADP cjfa-12563 307 8 the the DET cjfa-12563 307 9 correlation correlation NOUN cjfa-12563 307 10 matrix matrix NOUN cjfa-12563 307 11 , , PUNCT cjfa-12563 307 12 which which PRON cjfa-12563 307 13 confirms confirm VERB cjfa-12563 307 14 the the DET cjfa-12563 307 15 argument argument NOUN cjfa-12563 307 16 that that SCONJ cjfa-12563 307 17 the the DET cjfa-12563 307 18 covariance covariance NOUN cjfa-12563 307 19 or or CCONJ cjfa-12563 307 20 correlation correlation NOUN cjfa-12563 307 21 matrix matrix NOUN cjfa-12563 307 22 is be AUX cjfa-12563 307 23 a a DET cjfa-12563 307 24 comprehensive comprehensive ADJ cjfa-12563 307 25 enough enough ADJ cjfa-12563 307 26 risk risk NOUN cjfa-12563 307 27 metric metric NOUN cjfa-12563 307 28 only only ADV cjfa-12563 307 29 if if SCONJ cjfa-12563 307 30 the the DET cjfa-12563 307 31 returns return NOUN cjfa-12563 307 32 follow follow VERB cjfa-12563 307 33 a a DET cjfa-12563 307 34 normal normal ADJ cjfa-12563 307 35 distribution distribution NOUN cjfa-12563 307 36 . . PUNCT cjfa-12563 308 1 for for ADP cjfa-12563 308 2 the the DET cjfa-12563 308 3 student student NOUN cjfa-12563 308 4 ’s ’s PART cjfa-12563 308 5 t t NOUN cjfa-12563 308 6 distribution distribution NOUN cjfa-12563 308 7 , , PUNCT cjfa-12563 308 8 the the DET cjfa-12563 308 9 corresponding corresponding ADJ cjfa-12563 308 10 copula copula NOUN cjfa-12563 308 11 is be AUX cjfa-12563 308 12 the the DET cjfa-12563 308 13 t t PROPN cjfa-12563 308 14 copula copula NOUN cjfa-12563 308 15 : : PUNCT cjfa-12563 308 16 � � PROPN cjfa-12563 308 17 � � PROPN cjfa-12563 308 18 , , PUNCT cjfa-12563 308 19 � � PROPN cjfa-12563 308 20 � � PROPN cjfa-12563 308 21 � � PROPN cjfa-12563 308 22 ( ( PUNCT cjfa-12563 308 23 � � PROPN cjfa-12563 308 24 ) ) PUNCT cjfa-12563 308 25 , , PUNCT cjfa-12563 308 26 � � PROPN cjfa-12563 308 27 ( ( PUNCT cjfa-12563 308 28 � � PROPN cjfa-12563 308 29 ) ) PUNCT cjfa-12563 308 30 � � PROPN cjfa-12563 308 31 � � PROPN cjfa-12563 308 32 � � PROPN cjfa-12563 308 33 ( ( PUNCT cjfa-12563 308 34 � � PROPN cjfa-12563 308 35 , , PUNCT cjfa-12563 308 36 � � PROPN cjfa-12563 308 37 ) ) PUNCT cjfa-12563 308 38 with with ADP cjfa-12563 308 39 � � PROPN cjfa-12563 308 40 � � PROPN cjfa-12563 308 41 , , PUNCT cjfa-12563 308 42 � � PROPN cjfa-12563 308 43 : : PUNCT cjfa-12563 309 1 [ [ X cjfa-12563 309 2 0,1 0,1 NUM cjfa-12563 309 3 ] ] X cjfa-12563 309 4 × × NOUN cjfa-12563 310 1 [ [ X cjfa-12563 310 2 0,1 0,1 NUM cjfa-12563 310 3 ] ] PUNCT cjfa-12563 310 4 → → PUNCT cjfa-12563 310 5 [ [ X cjfa-12563 310 6 0,1 0,1 NUM cjfa-12563 310 7 ] ] PUNCT cjfa-12563 310 8 . . PUNCT cjfa-12563 311 1 in in ADP cjfa-12563 311 2 other other ADJ cjfa-12563 311 3 words word NOUN cjfa-12563 311 4 , , PUNCT cjfa-12563 311 5 the the DET cjfa-12563 311 6 joint joint ADJ cjfa-12563 311 7 cumulative cumulative ADJ cjfa-12563 311 8 distribution distribution NOUN cjfa-12563 311 9 function function NOUN cjfa-12563 311 10 can can AUX cjfa-12563 311 11 be be AUX cjfa-12563 311 12 split split VERB cjfa-12563 311 13 into into ADP cjfa-12563 311 14 ( ( PUNCT cjfa-12563 311 15 i i NOUN cjfa-12563 311 16 ) ) PUNCT cjfa-12563 311 17 the the DET cjfa-12563 311 18 marginal marginal ADJ cjfa-12563 311 19 cumulative cumulative ADJ cjfa-12563 311 20 distribution distribution NOUN cjfa-12563 311 21 functions function NOUN cjfa-12563 311 22 representing represent VERB cjfa-12563 311 23 the the DET cjfa-12563 311 24 univariate univariate ADJ cjfa-12563 311 25 features feature NOUN cjfa-12563 311 26 , , PUNCT cjfa-12563 311 27 and and CCONJ cjfa-12563 311 28 ( ( PUNCT cjfa-12563 311 29 ii ii NOUN cjfa-12563 311 30 ) ) PUNCT cjfa-12563 311 31 the the DET cjfa-12563 311 32 copula copula NOUN cjfa-12563 311 33 c c PROPN cjfa-12563 311 34 capturing capture VERB cjfa-12563 311 35 the the DET cjfa-12563 311 36 joint joint ADJ cjfa-12563 311 37 characteristics characteristic NOUN cjfa-12563 311 38 of of ADP cjfa-12563 311 39 the the DET cjfa-12563 311 40 joint joint ADJ cjfa-12563 311 41 cumulative cumulative ADJ cjfa-12563 311 42 distribution distribution NOUN cjfa-12563 311 43 function function NOUN cjfa-12563 311 44 . . PUNCT cjfa-12563 312 1 thus thus ADV cjfa-12563 312 2 , , PUNCT cjfa-12563 312 3 the the DET cjfa-12563 312 4 copula copula NOUN cjfa-12563 312 5 only only ADV cjfa-12563 312 6 contains contain VERB cjfa-12563 312 7 information information NOUN cjfa-12563 312 8 on on ADP cjfa-12563 312 9 the the DET cjfa-12563 312 10 dependencies dependency NOUN cjfa-12563 312 11 between between ADP cjfa-12563 312 12 x x PUNCT cjfa-12563 312 13 and and CCONJ cjfa-12563 312 14 y. y. NOUN cjfa-12563 312 15 the the DET cjfa-12563 312 16 marginal marginal ADJ cjfa-12563 312 17 distributions distribution NOUN cjfa-12563 312 18 do do AUX cjfa-12563 312 19 not not PART cjfa-12563 312 20 have have VERB cjfa-12563 312 21 to to PART cjfa-12563 312 22 be be AUX cjfa-12563 312 23 identical identical ADJ cjfa-12563 312 24 . . PUNCT cjfa-12563 313 1 the the DET cjfa-12563 313 2 copula copula NOUN cjfa-12563 313 3 is be AUX cjfa-12563 313 4 the the DET cjfa-12563 313 5 joint joint ADJ cjfa-12563 313 6 cumulative cumulative ADJ cjfa-12563 313 7 distribution distribution NOUN cjfa-12563 313 8 function function NOUN cjfa-12563 313 9 with with ADP cjfa-12563 313 10 the the DET cjfa-12563 313 11 individual individual ADJ cjfa-12563 313 12 quantile quantile PROPN cjfa-12563 313 13 functions function NOUN cjfa-12563 313 14 � � PROPN cjfa-12563 313 15 ( ( PUNCT cjfa-12563 313 16 � � PROPN cjfa-12563 313 17 , , PUNCT cjfa-12563 313 18 � � PROPN cjfa-12563 313 19 ) ) PUNCT cjfa-12563 313 20 � � PROPN cjfa-12563 313 21 � � PROPN cjfa-12563 313 22 � � PROPN cjfa-12563 313 23 , , PUNCT cjfa-12563 313 24 � � PROPN cjfa-12563 313 25 ( ( PUNCT cjfa-12563 313 26 � � PROPN cjfa-12563 313 27 � � PROPN cjfa-12563 313 28 � � PROPN cjfa-12563 313 29 � � PROPN cjfa-12563 313 30 ( ( PUNCT cjfa-12563 313 31 � � PROPN cjfa-12563 313 32 ) ) PUNCT cjfa-12563 313 33 , , PUNCT cjfa-12563 313 34 � � PROPN cjfa-12563 313 35 � � PROPN cjfa-12563 313 36 � � PROPN cjfa-12563 313 37 � � PROPN cjfa-12563 313 38 ( ( PUNCT cjfa-12563 313 39 � � PROPN cjfa-12563 313 40 ) ) PUNCT cjfa-12563 313 41 ) ) PUNCT cjfa-12563 313 42 as as ADP cjfa-12563 313 43 marginal marginal ADJ cjfa-12563 313 44 cumulative cumulative ADJ cjfa-12563 313 45 distribution distribution NOUN cjfa-12563 313 46 functions function NOUN cjfa-12563 313 47 , , PUNCT cjfa-12563 313 48 we we PRON cjfa-12563 313 49 choose choose VERB cjfa-12563 313 50 student student NOUN cjfa-12563 313 51 's 's PART cjfa-12563 313 52 t t NOUN cjfa-12563 313 53 distribution distribution NOUN cjfa-12563 313 54 as as ADV cjfa-12563 313 55 well well ADV cjfa-12563 313 56 as as ADP cjfa-12563 313 57 the the DET cjfa-12563 313 58 normal normal ADJ cjfa-12563 313 59 distribution distribution NOUN cjfa-12563 313 60 . . PUNCT cjfa-12563 314 1 we we PRON cjfa-12563 314 2 expect expect VERB cjfa-12563 314 3 that that SCONJ cjfa-12563 314 4 the the DET cjfa-12563 314 5 normal normal ADJ cjfa-12563 314 6 distributions distribution NOUN cjfa-12563 314 7 will will AUX cjfa-12563 314 8 underestimate underestimate VERB cjfa-12563 314 9 risk risk NOUN cjfa-12563 314 10 , , PUNCT cjfa-12563 314 11 unless unless SCONJ cjfa-12563 314 12 the the DET cjfa-12563 314 13 return return NOUN cjfa-12563 314 14 series series NOUN cjfa-12563 314 15 are be AUX cjfa-12563 314 16 normally normally ADV cjfa-12563 314 17 distributed distribute VERB cjfa-12563 314 18 . . PUNCT cjfa-12563 315 1 we we PRON cjfa-12563 315 2 include include VERB cjfa-12563 315 3 the the DET cjfa-12563 315 4 normal normal ADJ cjfa-12563 315 5 based base VERB cjfa-12563 315 6 risk risk NOUN cjfa-12563 315 7 measures measure NOUN cjfa-12563 315 8 in in ADP cjfa-12563 315 9 our our PRON cjfa-12563 315 10 analysis analysis NOUN cjfa-12563 315 11 , , PUNCT cjfa-12563 315 12 however however ADV cjfa-12563 315 13 , , PUNCT cjfa-12563 315 14 to to PART cjfa-12563 315 15 show show VERB cjfa-12563 315 16 exactly exactly ADV cjfa-12563 315 17 by by ADP cjfa-12563 315 18 how how SCONJ cjfa-12563 315 19 much much ADJ cjfa-12563 315 20 it it PRON cjfa-12563 315 21 underestimates underestimate VERB cjfa-12563 315 22 risk risk NOUN cjfa-12563 315 23 compared compare VERB cjfa-12563 315 24 to to ADP cjfa-12563 315 25 the the DET cjfa-12563 315 26 t t NOUN cjfa-12563 315 27 distributed distribute VERB cjfa-12563 315 28 marginal marginal ADJ cjfa-12563 315 29 functions function NOUN cjfa-12563 315 30 . . PUNCT cjfa-12563 316 1 for for ADP cjfa-12563 316 2 the the DET cjfa-12563 316 3 normal normal ADJ cjfa-12563 316 4 distribution distribution NOUN cjfa-12563 316 5 , , PUNCT cjfa-12563 316 6 the the DET cjfa-12563 316 7 corresponding corresponding ADJ cjfa-12563 316 8 copula copula NOUN cjfa-12563 316 9 is be AUX cjfa-12563 316 10 the the DET cjfa-12563 316 11 gaussian gaussian ADJ cjfa-12563 316 12 copula copula NOUN cjfa-12563 316 13 : : PUNCT cjfa-12563 316 14 � � PROPN cjfa-12563 316 15 ( ( PUNCT cjfa-12563 316 16 � � PROPN cjfa-12563 316 17 , , PUNCT cjfa-12563 316 18 � � PROPN cjfa-12563 316 19 � � PROPN cjfa-12563 316 20 � � PROPN cjfa-12563 316 21 ) ) PUNCT cjfa-12563 316 22 � � PROPN cjfa-12563 316 23 � � PROPN cjfa-12563 316 24 � � PROPN cjfa-12563 316 25 � � PROPN cjfa-12563 316 26 � � PROPN cjfa-12563 316 27 � � PROPN cjfa-12563 316 28 � � PROPN cjfa-12563 316 29 ( ( PUNCT cjfa-12563 316 30 � � PROPN cjfa-12563 316 31 ) ) PUNCT cjfa-12563 316 32 , , PUNCT cjfa-12563 316 33 � � PROPN cjfa-12563 316 34 � � PROPN cjfa-12563 316 35 � � PROPN cjfa-12563 316 36 ( ( PUNCT cjfa-12563 316 37 � � PROPN cjfa-12563 316 38 ) ) PUNCT cjfa-12563 316 39 � � PROPN cjfa-12563 316 40 � � PROPN cjfa-12563 316 41 � � PROPN cjfa-12563 316 42 � � PROPN cjfa-12563 316 43 � � PROPN cjfa-12563 316 44 � � PROPN cjfa-12563 316 45 ( ( PUNCT cjfa-12563 316 46 � � PROPN cjfa-12563 316 47 ) ) PUNCT cjfa-12563 316 48 � � PROPN cjfa-12563 316 49 � � PROPN cjfa-12563 316 50 � � PROPN cjfa-12563 316 51 1 1 NUM cjfa-12563 316 52 � � PROPN cjfa-12563 316 53 � � PROPN cjfa-12563 316 54 ( ( PUNCT cjfa-12563 316 55 1 1 NUM cjfa-12563 316 56 � � PROPN cjfa-12563 316 57 � � PROPN cjfa-12563 316 58 � � PROPN cjfa-12563 316 59 ) ) PUNCT cjfa-12563 316 60 � � PROPN cjfa-12563 316 61 � � PROPN cjfa-12563 316 62 � � PROPN cjfa-12563 316 63 ( ( PUNCT cjfa-12563 316 64 � � PROPN cjfa-12563 316 65 ) ) PUNCT cjfa-12563 316 66 � � PROPN cjfa-12563 316 67 � � PROPN cjfa-12563 316 68 � � PROPN cjfa-12563 316 69 � � PROPN cjfa-12563 316 70 � � PROPN cjfa-12563 316 71 � � PROPN cjfa-12563 316 72 � � PROPN cjfa-12563 316 73 � � PROPN cjfa-12563 316 74 ( ( PUNCT cjfa-12563 316 75 � � PROPN cjfa-12563 316 76 � � PROPN cjfa-12563 316 77 � � PROPN cjfa-12563 316 78 � � PROPN cjfa-12563 316 79 � � PROPN cjfa-12563 316 80 � � PROPN cjfa-12563 316 81 � � PROPN cjfa-12563 316 82 � � PROPN cjfa-12563 316 83 � � PROPN cjfa-12563 316 84 � � PROPN cjfa-12563 316 85 ) ) PUNCT cjfa-12563 316 86 � � PROPN cjfa-12563 316 87 ( ( PUNCT cjfa-12563 316 88 1 1 NUM cjfa-12563 316 89 � � PROPN cjfa-12563 316 90 � � PROPN cjfa-12563 316 91 � � PROPN cjfa-12563 316 92 ) ) PUNCT cjfa-12563 316 93 � � PROPN cjfa-12563 316 94 � � PROPN cjfa-12563 316 95 � � PROPN cjfa-12563 316 96 � � PROPN cjfa-12563 316 97 � � PROPN cjfa-12563 316 98 with with ADP cjfa-12563 316 99 � � PROPN cjfa-12563 316 100 being be AUX cjfa-12563 316 101 the the DET cjfa-12563 316 102 cumulative cumulative ADJ cjfa-12563 316 103 distribution distribution NOUN cjfa-12563 316 104 function function NOUN cjfa-12563 316 105 of of ADP cjfa-12563 316 106 the the DET cjfa-12563 316 107 univariate univariate ADJ cjfa-12563 316 108 standard standard ADJ cjfa-12563 316 109 normal normal ADJ cjfa-12563 316 110 distribution distribution NOUN cjfa-12563 316 111 and and CCONJ cjfa-12563 316 112 � � PROPN cjfa-12563 316 113 � � PROPN cjfa-12563 316 114 the the DET cjfa-12563 316 115 cumulative cumulative ADJ cjfa-12563 316 116 distribution distribution NOUN cjfa-12563 316 117 function function NOUN cjfa-12563 316 118 of of ADP cjfa-12563 316 119 the the DET cjfa-12563 316 120 joint joint ADJ cjfa-12563 316 121 , , PUNCT cjfa-12563 316 122 bivariate bivariate ADJ cjfa-12563 316 123 standard standard ADJ cjfa-12563 316 124 normal normal ADJ cjfa-12563 316 125 distribution distribution NOUN cjfa-12563 316 126 with with ADP cjfa-12563 316 127 parameter parameter PROPN cjfa-12563 316 128 � � PROPN cjfa-12563 316 129 ( ( PUNCT cjfa-12563 316 130 � � PROPN cjfa-12563 316 131 1 1 NUM cjfa-12563 316 132 � � PROPN cjfa-12563 316 133 � � PROPN cjfa-12563 316 134 � � PROPN cjfa-12563 316 135 1 1 NUM cjfa-12563 316 136 ) ) PUNCT cjfa-12563 316 137 . . PUNCT cjfa-12563 317 1 the the DET cjfa-12563 317 2 gaussian gaussian ADJ cjfa-12563 317 3 copula copula NOUN cjfa-12563 317 4 is be AUX cjfa-12563 317 5 completely completely ADV cjfa-12563 317 6 specified specify VERB cjfa-12563 317 7 by by ADP cjfa-12563 317 8 the the DET cjfa-12563 317 9 correlation correlation NOUN cjfa-12563 317 10 matrix matrix NOUN cjfa-12563 317 11 , , PUNCT cjfa-12563 317 12 which which PRON cjfa-12563 317 13 confirms confirm VERB cjfa-12563 317 14 the the DET cjfa-12563 317 15 argument argument NOUN cjfa-12563 317 16 that that SCONJ cjfa-12563 317 17 the the DET cjfa-12563 317 18 covariance covariance NOUN cjfa-12563 317 19 or or CCONJ cjfa-12563 317 20 correlation correlation NOUN cjfa-12563 317 21 matrix matrix NOUN cjfa-12563 317 22 is be AUX cjfa-12563 317 23 a a DET cjfa-12563 317 24 comprehensive comprehensive ADJ cjfa-12563 317 25 enough enough ADJ cjfa-12563 317 26 risk risk NOUN cjfa-12563 317 27 metric metric NOUN cjfa-12563 317 28 only only ADV cjfa-12563 317 29 if if SCONJ cjfa-12563 317 30 the the DET cjfa-12563 317 31 returns return NOUN cjfa-12563 317 32 follow follow VERB cjfa-12563 317 33 a a DET cjfa-12563 317 34 normal normal ADJ cjfa-12563 317 35 distribution distribution NOUN cjfa-12563 317 36 . . PUNCT cjfa-12563 318 1 for for ADP cjfa-12563 318 2 the the DET cjfa-12563 318 3 student student NOUN cjfa-12563 318 4 's 's PART cjfa-12563 318 5 t t NOUN cjfa-12563 318 6 distribution distribution NOUN cjfa-12563 318 7 , , PUNCT cjfa-12563 318 8 the the DET cjfa-12563 318 9 corresponding corresponding ADJ cjfa-12563 318 10 copula copula NOUN cjfa-12563 318 11 is be AUX cjfa-12563 318 12 the the DET cjfa-12563 318 13 t t PROPN cjfa-12563 318 14 copula copula NOUN cjfa-12563 318 15 : : PUNCT cjfa-12563 318 16 � � PROPN cjfa-12563 318 17 ( ( PUNCT cjfa-12563 318 18 � � PROPN cjfa-12563 318 19 , , PUNCT cjfa-12563 318 20 � � PROPN cjfa-12563 318 21 � � PROPN cjfa-12563 318 22 � � PROPN cjfa-12563 318 23 , , PUNCT cjfa-12563 318 24 � � PROPN cjfa-12563 318 25 ) ) PUNCT cjfa-12563 318 26 � � PROPN cjfa-12563 318 27 � � PROPN cjfa-12563 318 28 � � PROPN cjfa-12563 318 29 � � PROPN cjfa-12563 318 30 � � PROPN cjfa-12563 318 31 � � PROPN cjfa-12563 318 32 ( ( PUNCT cjfa-12563 318 33 � � PROPN cjfa-12563 318 34 ) ) PUNCT cjfa-12563 318 35 � � PROPN cjfa-12563 318 36 � � PROPN cjfa-12563 318 37 � � PROPN cjfa-12563 318 38 1 1 NUM cjfa-12563 318 39 � � PROPN cjfa-12563 318 40 � � PROPN cjfa-12563 318 41 � � PROPN cjfa-12563 318 42 1 1 NUM cjfa-12563 318 43 � � PROPN cjfa-12563 318 44 � � PROPN cjfa-12563 318 45 � � PROPN cjfa-12563 318 46 � � PROPN cjfa-12563 318 47 � � PROPN cjfa-12563 318 48 � � PROPN cjfa-12563 318 49 � � PROPN cjfa-12563 318 50 ( ( PUNCT cjfa-12563 318 51 � � PROPN cjfa-12563 318 52 ) ) PUNCT cjfa-12563 318 53 � � PROPN cjfa-12563 318 54 � � PROPN cjfa-12563 318 55 � � PROPN cjfa-12563 318 56 � � PROPN cjfa-12563 318 57 1 1 NUM cjfa-12563 318 58 � � PROPN cjfa-12563 318 59 ( ( PUNCT cjfa-12563 318 60 � � PROPN cjfa-12563 318 61 � � PROPN cjfa-12563 318 62 � � PROPN cjfa-12563 318 63 � � PROPN cjfa-12563 318 64 � � PROPN cjfa-12563 318 65 � � PROPN cjfa-12563 318 66 � � PROPN cjfa-12563 318 67 � � PROPN cjfa-12563 318 68 � � PROPN cjfa-12563 318 69 � � PROPN cjfa-12563 318 70 ) ) PUNCT cjfa-12563 318 71 � � PROPN cjfa-12563 318 72 ( ( PUNCT cjfa-12563 318 73 1 1 NUM cjfa-12563 318 74 � � PROPN cjfa-12563 318 75 � � PROPN cjfa-12563 318 76 � � PROPN cjfa-12563 318 77 ) ) PUNCT cjfa-12563 318 78 � � PROPN cjfa-12563 318 79 � � PROPN cjfa-12563 318 80 ( ( PUNCT cjfa-12563 318 81 � � PROPN cjfa-12563 318 82 � � PROPN cjfa-12563 318 83 � � PROPN cjfa-12563 318 84 ) ) PUNCT cjfa-12563 318 85 � � PROPN cjfa-12563 318 86 � � PROPN cjfa-12563 318 87 � � PROPN cjfa-12563 318 88 � � PROPN cjfa-12563 318 89 � � PROPN cjfa-12563 318 90 with with ADP cjfa-12563 318 91 � � PROPN cjfa-12563 318 92 � � PROPN cjfa-12563 318 93 being be AUX cjfa-12563 318 94 the the DET cjfa-12563 318 95 univariate univariate ADJ cjfa-12563 318 96 cumulative cumulative ADJ cjfa-12563 318 97 distribution distribution NOUN cjfa-12563 318 98 function function NOUN cjfa-12563 318 99 of of ADP cjfa-12563 318 100 the the DET cjfa-12563 318 101 student student NOUN cjfa-12563 318 102 's 's PART cjfa-12563 318 103 t t NOUN cjfa-12563 318 104 distribution distribution NOUN cjfa-12563 318 105 with with ADP cjfa-12563 318 106 � � PROPN cjfa-12563 318 107 � � PROPN cjfa-12563 318 108 0 0 NUM cjfa-12563 318 109 degrees degree NOUN cjfa-12563 318 110 of of ADP cjfa-12563 318 111 freedom freedom NOUN cjfa-12563 318 112 and and CCONJ cjfa-12563 318 113 ( ( PUNCT cjfa-12563 318 114 � � PROPN cjfa-12563 318 115 1 1 NUM cjfa-12563 318 116 � � PROPN cjfa-12563 318 117 � � PROPN cjfa-12563 318 118 � � PROPN cjfa-12563 318 119 1 1 NUM cjfa-12563 318 120 ) ) PUNCT cjfa-12563 318 121 . . PUNCT cjfa-12563 319 1 the the DET cjfa-12563 319 2 number number NOUN cjfa-12563 319 3 of of ADP cjfa-12563 319 4 degrees degree NOUN cjfa-12563 319 5 of of ADP cjfa-12563 319 6 freedom freedom NOUN cjfa-12563 319 7 controls control VERB cjfa-12563 319 8 the the DET cjfa-12563 319 9 probability probability NOUN cjfa-12563 319 10 of of ADP cjfa-12563 319 11 joint joint ADJ cjfa-12563 319 12 movements movement NOUN cjfa-12563 319 13 . . PUNCT cjfa-12563 320 1 for for ADP cjfa-12563 320 2 � � PROPN cjfa-12563 320 3 � � PROPN cjfa-12563 320 4 → → SYM cjfa-12563 320 5 � � PROPN cjfa-12563 320 6 � � PROPN cjfa-12563 320 7 , , PUNCT cjfa-12563 320 8 the the DET cjfa-12563 320 9 t t NOUN cjfa-12563 320 10 copula copula NOUN cjfa-12563 320 11 approaches approach VERB cjfa-12563 320 12 the the DET cjfa-12563 320 13 gaussian gaussian ADJ cjfa-12563 320 14 copula copula NOUN cjfa-12563 320 15 . . PUNCT cjfa-12563 321 1 both both DET cjfa-12563 321 2 copulas copula NOUN cjfa-12563 321 3 only only ADV cjfa-12563 321 4 model model VERB cjfa-12563 321 5 symmetric symmetric ADJ cjfa-12563 321 6 tail tail NOUN cjfa-12563 321 7 dependence dependence NOUN cjfa-12563 321 8 , , PUNCT cjfa-12563 321 9 as as SCONJ cjfa-12563 321 10 they they PRON cjfa-12563 321 11 are be AUX cjfa-12563 321 12 both both PRON cjfa-12563 321 13 symmetric symmetric ADJ cjfa-12563 321 14 distributions distribution NOUN cjfa-12563 321 15 . . PUNCT cjfa-12563 322 1 since since SCONJ cjfa-12563 322 2 the the DET cjfa-12563 322 3 bivariate bivariate ADJ cjfa-12563 322 4 cumulative cumulative ADJ cjfa-12563 322 5 distribution distribution NOUN cjfa-12563 322 6 function function NOUN cjfa-12563 322 7 � � PROPN cjfa-12563 322 8 ( ( PUNCT cjfa-12563 322 9 � � PROPN cjfa-12563 322 10 , , PUNCT cjfa-12563 322 11 � � PROPN cjfa-12563 322 12 ) ) PUNCT cjfa-12563 322 13 is be AUX cjfa-12563 322 14 estimated estimate VERB cjfa-12563 322 15 with with ADP cjfa-12563 322 16 fν fν NOUN cjfa-12563 322 17 being be AUX cjfa-12563 322 18 the the DET cjfa-12563 322 19 univariate univariate ADJ cjfa-12563 322 20 cumulative cumulative ADJ cjfa-12563 322 21 distribution distribution NOUN cjfa-12563 322 22 function function NOUN cjfa-12563 322 23 of of ADP cjfa-12563 322 24 the the DET cjfa-12563 322 25 student student NOUN cjfa-12563 322 26 ’s ’s PART cjfa-12563 322 27 t t NOUN cjfa-12563 322 28 distribution distribution NOUN cjfa-12563 322 29 with with ADP cjfa-12563 322 30 ν ν PROPN cjfa-12563 322 31 > > SYM cjfa-12563 322 32 0 0 NUM cjfa-12563 322 33 degrees degree NOUN cjfa-12563 322 34 of of ADP cjfa-12563 322 35 freedom freedom NOUN cjfa-12563 322 36 and and CCONJ cjfa-12563 322 37 ( ( PUNCT cjfa-12563 322 38 – – PUNCT cjfa-12563 322 39 1 1 NUM cjfa-12563 322 40 < < X cjfa-12563 322 41 ρ ρ X cjfa-12563 322 42 < < X cjfa-12563 322 43 1 1 NUM cjfa-12563 322 44 ) ) PUNCT cjfa-12563 322 45 . . PUNCT cjfa-12563 323 1 the the DET cjfa-12563 323 2 number number NOUN cjfa-12563 323 3 of of ADP cjfa-12563 323 4 degrees degree NOUN cjfa-12563 323 5 of of ADP cjfa-12563 323 6 freedom freedom NOUN cjfa-12563 323 7 controls control VERB cjfa-12563 323 8 the the DET cjfa-12563 323 9 probability probability NOUN cjfa-12563 323 10 of of ADP cjfa-12563 323 11 joint joint ADJ cjfa-12563 323 12 movements movement NOUN cjfa-12563 323 13 . . PUNCT cjfa-12563 324 1 for for ADP cjfa-12563 324 2 ν ν NOUN cjfa-12563 324 3 → → SYM cjfa-12563 324 4 ∞ ∞ PROPN cjfa-12563 324 5 , , PUNCT cjfa-12563 324 6 the the DET cjfa-12563 324 7 t t NOUN cjfa-12563 324 8 copula copula NOUN cjfa-12563 324 9 approaches approach VERB cjfa-12563 324 10 the the DET cjfa-12563 324 11 gaussian gaussian ADJ cjfa-12563 324 12 copula copula NOUN cjfa-12563 324 13 . . PUNCT cjfa-12563 325 1 both both DET cjfa-12563 325 2 copulas copula NOUN cjfa-12563 325 3 only only ADV cjfa-12563 325 4 model model VERB cjfa-12563 325 5 symmetric symmetric ADJ cjfa-12563 325 6 tail tail NOUN cjfa-12563 325 7 dependence dependence NOUN cjfa-12563 325 8 , , PUNCT cjfa-12563 325 9 as as SCONJ cjfa-12563 325 10 they they PRON cjfa-12563 325 11 are be AUX cjfa-12563 325 12 both both PRON cjfa-12563 325 13 symmetric symmetric ADJ cjfa-12563 325 14 distributions distribution NOUN cjfa-12563 325 15 . . PUNCT cjfa-12563 326 1 since since SCONJ cjfa-12563 326 2 the the DET cjfa-12563 326 3 bivariate bivariate ADJ cjfa-12563 326 4 cumulative cumulative ADJ cjfa-12563 326 5 distribution distribution NOUN cjfa-12563 326 6 function function NOUN cjfa-12563 326 7 is be AUX cjfa-12563 326 8 estimated estimate VERB cjfa-12563 326 9 : : PUNCT cjfa-12563 326 10 � � PROPN cjfa-12563 326 11 � � PROPN cjfa-12563 326 12 ( ( PUNCT cjfa-12563 326 13 � � PROPN cjfa-12563 326 14 , , PUNCT cjfa-12563 326 15 � � PROPN cjfa-12563 326 16 ) ) PUNCT cjfa-12563 326 17 = = SYM cjfa-12563 326 18 1 1 NUM cjfa-12563 326 19 � � PROPN cjfa-12563 326 20 � � PROPN cjfa-12563 326 21 ( ( PUNCT cjfa-12563 326 22 � � PROPN cjfa-12563 326 23 � � PROPN cjfa-12563 326 24 � � PROPN cjfa-12563 326 25 � � PROPN cjfa-12563 326 26 , , PUNCT cjfa-12563 326 27 � � PROPN cjfa-12563 326 28 � � PROPN cjfa-12563 326 29 � � PROPN cjfa-12563 326 30 � � PROPN cjfa-12563 326 31 ) ) PUNCT cjfa-12563 326 32 � � PROPN cjfa-12563 326 33 � � PROPN cjfa-12563 326 34 = = NOUN cjfa-12563 326 35 1 1 NUM cjfa-12563 326 36 we we PRON cjfa-12563 326 37 also also ADV cjfa-12563 326 38 estimate estimate VERB cjfa-12563 326 39 the the DET cjfa-12563 326 40 copula copula NOUN cjfa-12563 326 41 with with ADP cjfa-12563 326 42 ( ( PUNCT cjfa-12563 326 43 � � PROPN cjfa-12563 326 44 � � PROPN cjfa-12563 326 45 1 1 NUM cjfa-12563 326 46 , , PUNCT cjfa-12563 326 47 � � PROPN cjfa-12563 326 48 � � PROPN cjfa-12563 326 49 1 1 NUM cjfa-12563 326 50 ) ) PUNCT cjfa-12563 326 51 , , PUNCT cjfa-12563 326 52 � � PROPN cjfa-12563 326 53 , , PUNCT cjfa-12563 326 54 ( ( PUNCT cjfa-12563 326 55 � � PROPN cjfa-12563 326 56 � � PROPN cjfa-12563 326 57 � � PROPN cjfa-12563 326 58 , , PUNCT cjfa-12563 326 59 � � PROPN cjfa-12563 326 60 � � PROPN cjfa-12563 326 61 � � PROPN cjfa-12563 326 62 ) ) PUNCT cjfa-12563 326 63 � � PROPN cjfa-12563 326 64 � � PROPN cjfa-12563 326 65 ( ( PUNCT cjfa-12563 326 66 � � PROPN cjfa-12563 326 67 , , PUNCT cjfa-12563 326 68 � � PROPN cjfa-12563 326 69 ) ) PUNCT cjfa-12563 326 70 = = SYM cjfa-12563 326 71 1 1 NUM cjfa-12563 326 72 � � PROPN cjfa-12563 326 73 � � PROPN cjfa-12563 326 74 ( ( PUNCT cjfa-12563 326 75 � � PROPN cjfa-12563 326 76 � � PROPN cjfa-12563 326 77 � � PROPN cjfa-12563 326 78 � � PROPN cjfa-12563 326 79 � � PROPN cjfa-12563 326 80 , , PUNCT cjfa-12563 326 81 � � PROPN cjfa-12563 326 82 � � PROPN cjfa-12563 326 83 � � PROPN cjfa-12563 326 84 � � PROPN cjfa-12563 326 85 � � PROPN cjfa-12563 326 86 ) ) PUNCT cjfa-12563 326 87 � � PROPN cjfa-12563 326 88 � � PROPN cjfa-12563 326 89 = = NOUN cjfa-12563 326 90 1 1 NUM cjfa-12563 326 91 with with ADP cjfa-12563 326 92 ( ( PUNCT cjfa-12563 326 93 � � PROPN cjfa-12563 326 94 , , PUNCT cjfa-12563 326 95 � � PROPN cjfa-12563 326 96 ) ) PUNCT cjfa-12563 326 97 ∈ ∈ PROPN cjfa-12563 327 1 [ [ X cjfa-12563 327 2 0,1 0,1 NUM cjfa-12563 327 3 ] ] PUNCT cjfa-12563 327 4 . . PUNCT cjfa-12563 328 1 both both CCONJ cjfa-12563 328 2 this this DET cjfa-12563 328 3 function function NOUN cjfa-12563 328 4 and and CCONJ cjfa-12563 328 5 its its PRON cjfa-12563 328 6 contour contour NOUN cjfa-12563 328 7 lines line NOUN cjfa-12563 328 8 can can AUX cjfa-12563 328 9 be be AUX cjfa-12563 328 10 visualised visualise VERB cjfa-12563 328 11 in in ADP cjfa-12563 328 12 a a DET cjfa-12563 328 13 graph graph NOUN cjfa-12563 328 14 , , PUNCT cjfa-12563 328 15 and and CCONJ cjfa-12563 328 16 the the DET cjfa-12563 328 17 shape shape NOUN cjfa-12563 328 18 of of ADP cjfa-12563 328 19 these these DET cjfa-12563 328 20 isolines isoline NOUN cjfa-12563 328 21 shows show VERB cjfa-12563 328 22 the the DET cjfa-12563 328 23 relationship relationship NOUN cjfa-12563 328 24 between between ADP cjfa-12563 328 25 x x PROPN cjfa-12563 328 26 and and CCONJ cjfa-12563 328 27 y. y. PROPN cjfa-12563 328 28 perfectly perfectly ADV cjfa-12563 328 29 circular circular ADJ cjfa-12563 328 30 lines line NOUN cjfa-12563 328 31 are be AUX cjfa-12563 328 32 evidence evidence NOUN cjfa-12563 328 33 in in ADP cjfa-12563 328 34 favour favour NOUN cjfa-12563 328 35 of of ADP cjfa-12563 328 36 independence independence NOUN cjfa-12563 328 37 , , PUNCT cjfa-12563 328 38 whereas whereas SCONJ cjfa-12563 328 39 an an DET cjfa-12563 328 40 l l NOUN cjfa-12563 328 41 shape shape NOUN cjfa-12563 328 42 or or CCONJ cjfa-12563 328 43 ellipses ellipsis NOUN cjfa-12563 328 44 suggest suggest VERB cjfa-12563 328 45 dependencies dependency NOUN cjfa-12563 328 46 . . PUNCT cjfa-12563 329 1 the the PRON cjfa-12563 329 2 stronger strong ADJ cjfa-12563 329 3 the the DET cjfa-12563 329 4 dependence dependence NOUN cjfa-12563 329 5 between between ADP cjfa-12563 329 6 two two NUM cjfa-12563 329 7 return return NOUN cjfa-12563 329 8 series series NOUN cjfa-12563 329 9 , , PUNCT cjfa-12563 329 10 the the PRON cjfa-12563 329 11 higher high ADJ cjfa-12563 329 12 the the DET cjfa-12563 329 13 portfolio portfolio NOUN cjfa-12563 329 14 risk risk NOUN cjfa-12563 329 15 , , PUNCT cjfa-12563 329 16 under under ADP cjfa-12563 329 17 otherwise otherwise ADV cjfa-12563 329 18 equal equal ADJ cjfa-12563 329 19 circumstances circumstance NOUN cjfa-12563 329 20 . . PUNCT cjfa-12563 330 1 copulas copula NOUN cjfa-12563 330 2 are be AUX cjfa-12563 330 3 an an DET cjfa-12563 330 4 abstract abstract ADJ cjfa-12563 330 5 concept concept NOUN cjfa-12563 330 6 in in ADP cjfa-12563 330 7 that that SCONJ cjfa-12563 330 8 they they PRON cjfa-12563 330 9 do do AUX cjfa-12563 330 10 not not PART cjfa-12563 330 11 directly directly ADV cjfa-12563 330 12 convey convey VERB cjfa-12563 330 13 the the DET cjfa-12563 330 14 var var NOUN cjfa-12563 330 15 . . PUNCT cjfa-12563 331 1 instead instead ADV cjfa-12563 331 2 , , PUNCT cjfa-12563 331 3 here here ADV cjfa-12563 331 4 is be AUX cjfa-12563 331 5 a a DET cjfa-12563 331 6 step step NOUN cjfa-12563 331 7 - - PUNCT cjfa-12563 331 8 by by ADP cjfa-12563 331 9 - - PUNCT cjfa-12563 331 10 step step NOUN cjfa-12563 331 11 procedure procedure NOUN cjfa-12563 331 12 to to PART cjfa-12563 331 13 estimate estimate VERB cjfa-12563 331 14 the the DET cjfa-12563 331 15 t t NOUN cjfa-12563 331 16 copula copula NOUN cjfa-12563 331 17 and and CCONJ cjfa-12563 331 18 then then ADV cjfa-12563 331 19 the the DET cjfa-12563 331 20 var var NOUN cjfa-12563 331 21 based base VERB cjfa-12563 331 22 on on ADP cjfa-12563 331 23 this this PRON cjfa-12563 331 24 : : PUNCT cjfa-12563 331 25 1 1 NUM cjfa-12563 331 26 ) ) PUNCT cjfa-12563 331 27 for for ADP cjfa-12563 331 28 the the DET cjfa-12563 331 29 univariate univariate ADJ cjfa-12563 331 30 margins margin NOUN cjfa-12563 331 31 , , PUNCT cjfa-12563 331 32 estimate estimate VERB cjfa-12563 331 33 the the DET cjfa-12563 331 34 kernel kernel PROPN cjfa-12563 331 35 density density PROPN cjfa-12563 331 36 . . PUNCT cjfa-12563 332 1 in in ADP cjfa-12563 332 2 addition addition NOUN cjfa-12563 332 3 , , PUNCT cjfa-12563 332 4 fit fit VERB cjfa-12563 332 5 a a DET cjfa-12563 332 6 normal normal ADJ cjfa-12563 332 7 distribution distribution NOUN cjfa-12563 332 8 and and CCONJ cjfa-12563 332 9 a a DET cjfa-12563 332 10 t t NOUN cjfa-12563 332 11 distribution distribution NOUN cjfa-12563 332 12 . . PUNCT cjfa-12563 333 1 2 2 X cjfa-12563 333 2 ) ) PUNCT cjfa-12563 333 3 plot plot NOUN cjfa-12563 333 4 the the DET cjfa-12563 333 5 marginal marginal ADJ cjfa-12563 333 6 distributions distribution NOUN cjfa-12563 333 7 from from ADP cjfa-12563 333 8 step step NOUN cjfa-12563 333 9 ( ( PUNCT cjfa-12563 333 10 1 1 NUM cjfa-12563 333 11 ) ) PUNCT cjfa-12563 333 12 . . PUNCT cjfa-12563 334 1 compare compare PROPN cjfa-12563 334 2 , , PUNCT cjfa-12563 334 3 for for ADP cjfa-12563 334 4 each each DET cjfa-12563 334 5 series series NOUN cjfa-12563 334 6 , , PUNCT cjfa-12563 334 7 the the DET cjfa-12563 334 8 kernel kernel PROPN cjfa-12563 334 9 density density PROPN cjfa-12563 334 10 , , PUNCT cjfa-12563 334 11 the the DET cjfa-12563 334 12 fitted fit VERB cjfa-12563 334 13 normal normal ADJ cjfa-12563 334 14 distribution distribution NOUN cjfa-12563 334 15 , , PUNCT cjfa-12563 334 16 and and CCONJ cjfa-12563 334 17 the the DET cjfa-12563 334 18 fitted fit VERB cjfa-12563 334 19 t t NOUN cjfa-12563 334 20 distribution distribution NOUN cjfa-12563 334 21 . . PUNCT cjfa-12563 335 1 for for ADP cjfa-12563 335 2 the the DET cjfa-12563 335 3 following follow VERB cjfa-12563 335 4 steps step NOUN cjfa-12563 335 5 , , PUNCT cjfa-12563 335 6 assume assume VERB cjfa-12563 335 7 the the DET cjfa-12563 335 8 t t NOUN cjfa-12563 335 9 distribution distribution NOUN cjfa-12563 335 10 achieves achieve VERB cjfa-12563 335 11 a a DET cjfa-12563 335 12 good good ADJ cjfa-12563 335 13 fit fit NOUN cjfa-12563 335 14 to to ADP cjfa-12563 335 15 the the DET cjfa-12563 335 16 empirical empirical ADJ cjfa-12563 335 17 kernel kernel NOUN cjfa-12563 335 18 function function NOUN cjfa-12563 335 19 . . PUNCT cjfa-12563 336 1 3 3 X cjfa-12563 336 2 ) ) PUNCT cjfa-12563 336 3 based base VERB cjfa-12563 336 4 on on ADP cjfa-12563 336 5 t t PROPN cjfa-12563 336 6 distributions distribution NOUN cjfa-12563 336 7 , , PUNCT cjfa-12563 336 8 generate generate VERB cjfa-12563 336 9 1 1 NUM cjfa-12563 336 10 - - PUNCT cjfa-12563 336 11 dimensional dimensional ADJ cjfa-12563 336 12 marginal marginal ADJ cjfa-12563 336 13 distributions distribution NOUN cjfa-12563 336 14 over over ADP cjfa-12563 336 15 a a DET cjfa-12563 336 16 uniform uniform NOUN cjfa-12563 336 17 [ [ X cjfa-12563 336 18 0,1 0,1 NUM cjfa-12563 336 19 ] ] PUNCT cjfa-12563 336 20 interval interval NOUN cjfa-12563 336 21 . . PUNCT cjfa-12563 337 1 4 4 X cjfa-12563 337 2 ) ) PUNCT cjfa-12563 337 3 estimate estimate VERB cjfa-12563 337 4 the the DET cjfa-12563 337 5 t t NOUN cjfa-12563 337 6 copula copula NOUN cjfa-12563 337 7 with with ADP cjfa-12563 337 8 maximum maximum ADJ cjfa-12563 337 9 likelihood likelihood NOUN cjfa-12563 337 10 based base VERB cjfa-12563 337 11 on on ADP cjfa-12563 337 12 the the DET cjfa-12563 337 13 transformed transform VERB cjfa-12563 337 14 data datum NOUN cjfa-12563 337 15 from from ADP cjfa-12563 337 16 step step NOUN cjfa-12563 337 17 ( ( PUNCT cjfa-12563 337 18 3 3 NUM cjfa-12563 337 19 ) ) PUNCT cjfa-12563 337 20 . . PUNCT cjfa-12563 338 1 5 5 X cjfa-12563 338 2 ) ) PUNCT cjfa-12563 338 3 use use VERB cjfa-12563 338 4 the the DET cjfa-12563 338 5 value value NOUN cjfa-12563 338 6 of of ADP cjfa-12563 338 7 the the DET cjfa-12563 338 8 maximised maximised ADJ cjfa-12563 338 9 loglikelihood loglikelihood NOUN cjfa-12563 338 10 function function NOUN cjfa-12563 338 11 and and CCONJ cjfa-12563 338 12 the the DET cjfa-12563 338 13 akaike akaike ADJ cjfa-12563 338 14 information information NOUN cjfa-12563 338 15 criterion criterion NOUN cjfa-12563 338 16 ( ( PUNCT cjfa-12563 338 17 aic aic PROPN cjfa-12563 338 18 ) ) PUNCT cjfa-12563 338 19 to to PART cjfa-12563 338 20 evaluate evaluate VERB cjfa-12563 338 21 the the DET cjfa-12563 338 22 goodness goodness NOUN cjfa-12563 338 23 of of ADP cjfa-12563 338 24 fit fit NOUN cjfa-12563 338 25 of of ADP cjfa-12563 338 26 this this DET cjfa-12563 338 27 copula copula NOUN cjfa-12563 338 28 compared compare VERB cjfa-12563 338 29 to to ADP cjfa-12563 338 30 , , PUNCT cjfa-12563 338 31 for for ADP cjfa-12563 338 32 example example NOUN cjfa-12563 338 33 , , PUNCT cjfa-12563 338 34 the the DET cjfa-12563 338 35 gaussian gaussian ADJ cjfa-12563 338 36 copula copula NOUN cjfa-12563 338 37 . . PUNCT cjfa-12563 339 1 the the PRON cjfa-12563 339 2 higher high ADJ cjfa-12563 339 3 the the DET cjfa-12563 339 4 maximised maximised ADJ cjfa-12563 339 5 loglikelihood loglikelihood NOUN cjfa-12563 339 6 function function NOUN cjfa-12563 339 7 or or CCONJ cjfa-12563 339 8 the the DET cjfa-12563 339 9 aic aic PROPN cjfa-12563 339 10 , , PUNCT cjfa-12563 339 11 the the PRON cjfa-12563 339 12 better well ADJ cjfa-12563 339 13 the the DET cjfa-12563 339 14 fit fit NOUN cjfa-12563 339 15 . . PUNCT cjfa-12563 339 16 6 6 NUM cjfa-12563 339 17 ) ) PUNCT cjfa-12563 339 18 combine combine VERB cjfa-12563 339 19 the the DET cjfa-12563 339 20 best well ADV cjfa-12563 339 21 - - PUNCT cjfa-12563 339 22 fitting fit VERB cjfa-12563 339 23 copula copula NOUN cjfa-12563 339 24 with with ADP cjfa-12563 339 25 the the DET cjfa-12563 339 26 estimated estimate VERB cjfa-12563 339 27 marginal marginal ADJ cjfa-12563 339 28 distributions distribution NOUN cjfa-12563 339 29 from from ADP cjfa-12563 339 30 step step NOUN cjfa-12563 339 31 ( ( PUNCT cjfa-12563 339 32 3 3 NUM cjfa-12563 339 33 ) ) PUNCT cjfa-12563 339 34 and and CCONJ cjfa-12563 339 35 generate generate VERB cjfa-12563 339 36 artificial artificial ADJ cjfa-12563 339 37 stock stock NOUN cjfa-12563 339 38 return return NOUN cjfa-12563 339 39 data datum NOUN cjfa-12563 339 40 ( ( PUNCT cjfa-12563 339 41 simulation simulation NOUN cjfa-12563 339 42 ) ) PUNCT cjfa-12563 339 43 . . PUNCT cjfa-12563 340 1 7 7 X cjfa-12563 340 2 ) ) PUNCT cjfa-12563 340 3 determine determine VERB cjfa-12563 340 4 the the DET cjfa-12563 340 5 lowest low ADJ cjfa-12563 340 6 percentile percentile NOUN cjfa-12563 340 7 in in ADP cjfa-12563 340 8 this this DET cjfa-12563 340 9 artificial artificial ADJ cjfa-12563 340 10 distribution distribution NOUN cjfa-12563 340 11 . . PUNCT cjfa-12563 341 1 this this PRON cjfa-12563 341 2 is be AUX cjfa-12563 341 3 the the DET cjfa-12563 341 4 99 99 NUM cjfa-12563 341 5 % % NOUN cjfa-12563 341 6 copulabased copulabase VERB cjfa-12563 341 7 var var NOUN cjfa-12563 341 8 . . PUNCT cjfa-12563 342 1 we we PRON cjfa-12563 342 2 use use VERB cjfa-12563 342 3 both both DET cjfa-12563 342 4 the the DET cjfa-12563 342 5 t t NOUN cjfa-12563 342 6 copula copula NOUN cjfa-12563 342 7 and and CCONJ cjfa-12563 342 8 the the DET cjfa-12563 342 9 gaussian gaussian ADJ cjfa-12563 342 10 copula copula NOUN cjfa-12563 342 11 in in ADP cjfa-12563 342 12 order order NOUN cjfa-12563 342 13 to to PART cjfa-12563 342 14 measure measure VERB cjfa-12563 342 15 the the DET cjfa-12563 342 16 error error NOUN cjfa-12563 342 17 of of ADP cjfa-12563 342 18 applying apply VERB cjfa-12563 342 19 the the DET cjfa-12563 342 20 normal normal ADJ cjfa-12563 342 21 distribution distribution NOUN cjfa-12563 342 22 to to ADP cjfa-12563 342 23 a a DET cjfa-12563 342 24 non non ADJ cjfa-12563 342 25 - - ADJ cjfa-12563 342 26 normally normally ADV cjfa-12563 342 27 distributed distribute VERB cjfa-12563 342 28 return return NOUN cjfa-12563 342 29 series series NOUN cjfa-12563 342 30 . . PUNCT cjfa-12563 343 1 financial financial ADJ cjfa-12563 343 2 data datum NOUN cjfa-12563 343 3 often often ADV cjfa-12563 343 4 exhibit exhibit VERB cjfa-12563 343 5 tail tail NOUN cjfa-12563 343 6 dependence dependence NOUN cjfa-12563 343 7 : : PUNCT cjfa-12563 343 8 both both DET cjfa-12563 343 9 variables variable NOUN cjfa-12563 343 10 tend tend VERB cjfa-12563 343 11 to to PART cjfa-12563 343 12 assume assume VERB cjfa-12563 343 13 very very ADV cjfa-12563 343 14 low low ADJ cjfa-12563 343 15 values value NOUN cjfa-12563 343 16 or or CCONJ cjfa-12563 343 17 very very ADV cjfa-12563 343 18 high high ADJ cjfa-12563 343 19 values value NOUN cjfa-12563 343 20 at at ADP cjfa-12563 343 21 the the DET cjfa-12563 343 22 same same ADJ cjfa-12563 343 23 time time NOUN cjfa-12563 343 24 . . PUNCT cjfa-12563 344 1 more more ADV cjfa-12563 344 2 formally formally ADV cjfa-12563 344 3 , , PUNCT cjfa-12563 344 4 lower low ADJ cjfa-12563 344 5 ( ( PUNCT cjfa-12563 344 6 upper upper ADJ cjfa-12563 344 7 ) ) PUNCT cjfa-12563 344 8 tail tail NOUN cjfa-12563 344 9 dependence dependence NOUN cjfa-12563 344 10 refers refer VERB cjfa-12563 344 11 to to ADP cjfa-12563 344 12 the the DET cjfa-12563 344 13 probability probability NOUN cjfa-12563 344 14 that that SCONJ cjfa-12563 344 15 one one NUM cjfa-12563 344 16 portfolio portfolio NOUN cjfa-12563 344 17 component component NOUN cjfa-12563 344 18 assumes assume VERB cjfa-12563 344 19 very very ADV cjfa-12563 344 20 small small ADJ cjfa-12563 344 21 ( ( PUNCT cjfa-12563 344 22 high high ADJ cjfa-12563 344 23 ) ) PUNCT cjfa-12563 344 24 values value NOUN cjfa-12563 344 25 we we PRON cjfa-12563 344 26 also also ADV cjfa-12563 344 27 estimate estimate VERB cjfa-12563 344 28 the the DET cjfa-12563 344 29 copula copula NOUN cjfa-12563 344 30 with with ADP cjfa-12563 344 31 � � PROPN cjfa-12563 344 32 � � PROPN cjfa-12563 344 33 ( ( PUNCT cjfa-12563 344 34 � � PROPN cjfa-12563 344 35 , , PUNCT cjfa-12563 344 36 � � PROPN cjfa-12563 344 37 ) ) PUNCT cjfa-12563 344 38 = = SYM cjfa-12563 344 39 1 1 NUM cjfa-12563 344 40 � � PROPN cjfa-12563 344 41 � � PROPN cjfa-12563 344 42 ( ( PUNCT cjfa-12563 344 43 � � PROPN cjfa-12563 344 44 � � PROPN cjfa-12563 344 45 � � PROPN cjfa-12563 344 46 � � PROPN cjfa-12563 344 47 , , PUNCT cjfa-12563 344 48 � � PROPN cjfa-12563 344 49 � � PROPN cjfa-12563 344 50 � � PROPN cjfa-12563 344 51 � � PROPN cjfa-12563 344 52 ) ) PUNCT cjfa-12563 344 53 � � PROPN cjfa-12563 344 54 � � PROPN cjfa-12563 344 55 = = NOUN cjfa-12563 344 56 1 1 NUM cjfa-12563 344 57 we we PRON cjfa-12563 344 58 also also ADV cjfa-12563 344 59 estimate estimate VERB cjfa-12563 344 60 the the DET cjfa-12563 344 61 copula copula NOUN cjfa-12563 344 62 with with ADP cjfa-12563 344 63 ( ( PUNCT cjfa-12563 344 64 � � PROPN cjfa-12563 344 65 � � PROPN cjfa-12563 344 66 1 1 NUM cjfa-12563 344 67 , , PUNCT cjfa-12563 344 68 � � PROPN cjfa-12563 344 69 � � PROPN cjfa-12563 344 70 1 1 NUM cjfa-12563 344 71 ) ) PUNCT cjfa-12563 344 72 , , PUNCT cjfa-12563 344 73 � � PROPN cjfa-12563 344 74 , , PUNCT cjfa-12563 344 75 ( ( PUNCT cjfa-12563 344 76 � � PROPN cjfa-12563 344 77 � � PROPN cjfa-12563 344 78 � � PROPN cjfa-12563 344 79 , , PUNCT cjfa-12563 344 80 � � PROPN cjfa-12563 344 81 � � PROPN cjfa-12563 344 82 � � PROPN cjfa-12563 344 83 ) ) PUNCT cjfa-12563 344 84 � � PROPN cjfa-12563 344 85 � � PROPN cjfa-12563 344 86 ( ( PUNCT cjfa-12563 344 87 � � PROPN cjfa-12563 344 88 , , PUNCT cjfa-12563 344 89 � � PROPN cjfa-12563 344 90 ) ) PUNCT cjfa-12563 344 91 = = SYM cjfa-12563 344 92 1 1 NUM cjfa-12563 344 93 � � PROPN cjfa-12563 344 94 � � PROPN cjfa-12563 344 95 ( ( PUNCT cjfa-12563 344 96 � � PROPN cjfa-12563 344 97 � � PROPN cjfa-12563 344 98 � � PROPN cjfa-12563 344 99 � � PROPN cjfa-12563 344 100 � � PROPN cjfa-12563 344 101 , , PUNCT cjfa-12563 344 102 � � PROPN cjfa-12563 344 103 � � PROPN cjfa-12563 344 104 � � PROPN cjfa-12563 344 105 � � PROPN cjfa-12563 344 106 � � PROPN cjfa-12563 344 107 ) ) PUNCT cjfa-12563 344 108 � � PROPN cjfa-12563 344 109 � � PROPN cjfa-12563 344 110 = = NOUN cjfa-12563 344 111 1 1 NUM cjfa-12563 344 112 with with ADP cjfa-12563 344 113 ( ( PUNCT cjfa-12563 344 114 � � PROPN cjfa-12563 344 115 , , PUNCT cjfa-12563 344 116 � � PROPN cjfa-12563 344 117 ) ) PUNCT cjfa-12563 344 118 ∈ ∈ PROPN cjfa-12563 345 1 [ [ X cjfa-12563 345 2 0,1 0,1 NUM cjfa-12563 345 3 ] ] PUNCT cjfa-12563 345 4 . . PUNCT cjfa-12563 346 1 both both CCONJ cjfa-12563 346 2 this this DET cjfa-12563 346 3 function function NOUN cjfa-12563 346 4 and and CCONJ cjfa-12563 346 5 its its PRON cjfa-12563 346 6 contour contour NOUN cjfa-12563 346 7 lines line NOUN cjfa-12563 346 8 can can AUX cjfa-12563 346 9 be be AUX cjfa-12563 346 10 visualised visualise VERB cjfa-12563 346 11 in in ADP cjfa-12563 346 12 a a DET cjfa-12563 346 13 graph graph NOUN cjfa-12563 346 14 , , PUNCT cjfa-12563 346 15 and and CCONJ cjfa-12563 346 16 the the DET cjfa-12563 346 17 shape shape NOUN cjfa-12563 346 18 of of ADP cjfa-12563 346 19 these these DET cjfa-12563 346 20 isolines isoline NOUN cjfa-12563 346 21 shows show VERB cjfa-12563 346 22 the the DET cjfa-12563 346 23 relationship relationship NOUN cjfa-12563 346 24 between between ADP cjfa-12563 346 25 x x PROPN cjfa-12563 346 26 and and CCONJ cjfa-12563 346 27 y. y. PROPN cjfa-12563 346 28 perfectly perfectly ADV cjfa-12563 346 29 circular circular ADJ cjfa-12563 346 30 lines line NOUN cjfa-12563 346 31 are be AUX cjfa-12563 346 32 evidence evidence NOUN cjfa-12563 346 33 in in ADP cjfa-12563 346 34 favour favour NOUN cjfa-12563 346 35 of of ADP cjfa-12563 346 36 independence independence NOUN cjfa-12563 346 37 , , PUNCT cjfa-12563 346 38 whereas whereas SCONJ cjfa-12563 346 39 an an DET cjfa-12563 346 40 l l NOUN cjfa-12563 346 41 shape shape NOUN cjfa-12563 346 42 or or CCONJ cjfa-12563 346 43 ellipses ellipsis NOUN cjfa-12563 346 44 suggest suggest VERB cjfa-12563 346 45 dependencies dependency NOUN cjfa-12563 346 46 . . PUNCT cjfa-12563 347 1 the the PRON cjfa-12563 347 2 stronger strong ADJ cjfa-12563 347 3 the the DET cjfa-12563 347 4 dependence dependence NOUN cjfa-12563 347 5 between between ADP cjfa-12563 347 6 two two NUM cjfa-12563 347 7 return return NOUN cjfa-12563 347 8 series series NOUN cjfa-12563 347 9 , , PUNCT cjfa-12563 347 10 the the PRON cjfa-12563 347 11 higher high ADJ cjfa-12563 347 12 the the DET cjfa-12563 347 13 portfolio portfolio NOUN cjfa-12563 347 14 risk risk NOUN cjfa-12563 347 15 , , PUNCT cjfa-12563 347 16 under under ADP cjfa-12563 347 17 otherwise otherwise ADV cjfa-12563 347 18 equal equal ADJ cjfa-12563 347 19 circumstances circumstance NOUN cjfa-12563 347 20 . . PUNCT cjfa-12563 348 1 copulas copula NOUN cjfa-12563 348 2 are be AUX cjfa-12563 348 3 an an DET cjfa-12563 348 4 abstract abstract ADJ cjfa-12563 348 5 concept concept NOUN cjfa-12563 348 6 in in ADP cjfa-12563 348 7 that that SCONJ cjfa-12563 348 8 they they PRON cjfa-12563 348 9 do do AUX cjfa-12563 348 10 not not PART cjfa-12563 348 11 directly directly ADV cjfa-12563 348 12 convey convey VERB cjfa-12563 348 13 the the DET cjfa-12563 348 14 var var NOUN cjfa-12563 348 15 . . PUNCT cjfa-12563 349 1 instead instead ADV cjfa-12563 349 2 , , PUNCT cjfa-12563 349 3 here here ADV cjfa-12563 349 4 is be AUX cjfa-12563 349 5 a a DET cjfa-12563 349 6 step step NOUN cjfa-12563 349 7 - - PUNCT cjfa-12563 349 8 by by ADP cjfa-12563 349 9 - - PUNCT cjfa-12563 349 10 step step NOUN cjfa-12563 349 11 procedure procedure NOUN cjfa-12563 349 12 to to PART cjfa-12563 349 13 estimate estimate VERB cjfa-12563 349 14 the the DET cjfa-12563 349 15 t t NOUN cjfa-12563 349 16 copula copula NOUN cjfa-12563 349 17 and and CCONJ cjfa-12563 349 18 then then ADV cjfa-12563 349 19 the the DET cjfa-12563 349 20 var var NOUN cjfa-12563 349 21 based base VERB cjfa-12563 349 22 on on ADP cjfa-12563 349 23 this this PRON cjfa-12563 349 24 : : PUNCT cjfa-12563 349 25 1 1 NUM cjfa-12563 349 26 ) ) PUNCT cjfa-12563 349 27 for for ADP cjfa-12563 349 28 the the DET cjfa-12563 349 29 univariate univariate ADJ cjfa-12563 349 30 margins margin NOUN cjfa-12563 349 31 , , PUNCT cjfa-12563 349 32 estimate estimate VERB cjfa-12563 349 33 the the DET cjfa-12563 349 34 kernel kernel PROPN cjfa-12563 349 35 density density PROPN cjfa-12563 349 36 . . PUNCT cjfa-12563 350 1 in in ADP cjfa-12563 350 2 addition addition NOUN cjfa-12563 350 3 , , PUNCT cjfa-12563 350 4 fit fit VERB cjfa-12563 350 5 a a DET cjfa-12563 350 6 normal normal ADJ cjfa-12563 350 7 distribution distribution NOUN cjfa-12563 350 8 and and CCONJ cjfa-12563 350 9 a a DET cjfa-12563 350 10 t t NOUN cjfa-12563 350 11 distribution distribution NOUN cjfa-12563 350 12 . . PUNCT cjfa-12563 351 1 2 2 X cjfa-12563 351 2 ) ) PUNCT cjfa-12563 351 3 plot plot NOUN cjfa-12563 351 4 the the DET cjfa-12563 351 5 marginal marginal ADJ cjfa-12563 351 6 distributions distribution NOUN cjfa-12563 351 7 from from ADP cjfa-12563 351 8 step step NOUN cjfa-12563 351 9 ( ( PUNCT cjfa-12563 351 10 1 1 NUM cjfa-12563 351 11 ) ) PUNCT cjfa-12563 351 12 . . PUNCT cjfa-12563 352 1 compare compare PROPN cjfa-12563 352 2 , , PUNCT cjfa-12563 352 3 for for ADP cjfa-12563 352 4 each each DET cjfa-12563 352 5 series series NOUN cjfa-12563 352 6 , , PUNCT cjfa-12563 352 7 the the DET cjfa-12563 352 8 kernel kernel PROPN cjfa-12563 352 9 density density PROPN cjfa-12563 352 10 , , PUNCT cjfa-12563 352 11 the the DET cjfa-12563 352 12 fitted fit VERB cjfa-12563 352 13 normal normal ADJ cjfa-12563 352 14 distribution distribution NOUN cjfa-12563 352 15 , , PUNCT cjfa-12563 352 16 and and CCONJ cjfa-12563 352 17 the the DET cjfa-12563 352 18 fitted fit VERB cjfa-12563 352 19 t t NOUN cjfa-12563 352 20 distribution distribution NOUN cjfa-12563 352 21 . . PUNCT cjfa-12563 353 1 for for ADP cjfa-12563 353 2 the the DET cjfa-12563 353 3 following follow VERB cjfa-12563 353 4 steps step NOUN cjfa-12563 353 5 , , PUNCT cjfa-12563 353 6 assume assume VERB cjfa-12563 353 7 the the DET cjfa-12563 353 8 t t NOUN cjfa-12563 353 9 distribution distribution NOUN cjfa-12563 353 10 achieves achieve VERB cjfa-12563 353 11 a a DET cjfa-12563 353 12 good good ADJ cjfa-12563 353 13 fit fit NOUN cjfa-12563 353 14 to to ADP cjfa-12563 353 15 the the DET cjfa-12563 353 16 empirical empirical ADJ cjfa-12563 353 17 kernel kernel NOUN cjfa-12563 353 18 function function NOUN cjfa-12563 353 19 . . PUNCT cjfa-12563 354 1 3 3 X cjfa-12563 354 2 ) ) PUNCT cjfa-12563 354 3 based base VERB cjfa-12563 354 4 on on ADP cjfa-12563 354 5 t t PROPN cjfa-12563 354 6 distributions distribution NOUN cjfa-12563 354 7 , , PUNCT cjfa-12563 354 8 generate generate VERB cjfa-12563 354 9 1 1 NUM cjfa-12563 354 10 - - PUNCT cjfa-12563 354 11 dimensional dimensional ADJ cjfa-12563 354 12 marginal marginal ADJ cjfa-12563 354 13 distributions distribution NOUN cjfa-12563 354 14 over over ADP cjfa-12563 354 15 a a DET cjfa-12563 354 16 uniform uniform NOUN cjfa-12563 354 17 [ [ X cjfa-12563 354 18 0,1 0,1 NUM cjfa-12563 354 19 ] ] PUNCT cjfa-12563 354 20 interval interval NOUN cjfa-12563 354 21 . . PUNCT cjfa-12563 355 1 4 4 X cjfa-12563 355 2 ) ) PUNCT cjfa-12563 355 3 estimate estimate VERB cjfa-12563 355 4 the the DET cjfa-12563 355 5 t t NOUN cjfa-12563 355 6 copula copula NOUN cjfa-12563 355 7 with with ADP cjfa-12563 355 8 maximum maximum ADJ cjfa-12563 355 9 likelihood likelihood NOUN cjfa-12563 355 10 based base VERB cjfa-12563 355 11 on on ADP cjfa-12563 355 12 the the DET cjfa-12563 355 13 transformed transform VERB cjfa-12563 355 14 data datum NOUN cjfa-12563 355 15 from from ADP cjfa-12563 355 16 step step NOUN cjfa-12563 355 17 ( ( PUNCT cjfa-12563 355 18 3 3 NUM cjfa-12563 355 19 ) ) PUNCT cjfa-12563 355 20 . . PUNCT cjfa-12563 356 1 5 5 X cjfa-12563 356 2 ) ) PUNCT cjfa-12563 356 3 use use VERB cjfa-12563 356 4 the the DET cjfa-12563 356 5 value value NOUN cjfa-12563 356 6 of of ADP cjfa-12563 356 7 the the DET cjfa-12563 356 8 maximised maximised ADJ cjfa-12563 356 9 loglikelihood loglikelihood NOUN cjfa-12563 356 10 function function NOUN cjfa-12563 356 11 and and CCONJ cjfa-12563 356 12 the the DET cjfa-12563 356 13 akaike akaike ADJ cjfa-12563 356 14 information information NOUN cjfa-12563 356 15 criterion criterion NOUN cjfa-12563 356 16 ( ( PUNCT cjfa-12563 356 17 aic aic PROPN cjfa-12563 356 18 ) ) PUNCT cjfa-12563 356 19 to to PART cjfa-12563 356 20 evaluate evaluate VERB cjfa-12563 356 21 the the DET cjfa-12563 356 22 goodness goodness NOUN cjfa-12563 356 23 of of ADP cjfa-12563 356 24 fit fit NOUN cjfa-12563 356 25 of of ADP cjfa-12563 356 26 this this DET cjfa-12563 356 27 copula copula NOUN cjfa-12563 356 28 compared compare VERB cjfa-12563 356 29 to to ADP cjfa-12563 356 30 , , PUNCT cjfa-12563 356 31 for for ADP cjfa-12563 356 32 example example NOUN cjfa-12563 356 33 , , PUNCT cjfa-12563 356 34 the the DET cjfa-12563 356 35 gaussian gaussian ADJ cjfa-12563 356 36 copula copula NOUN cjfa-12563 356 37 . . PUNCT cjfa-12563 357 1 the the PRON cjfa-12563 357 2 higher high ADJ cjfa-12563 357 3 the the DET cjfa-12563 357 4 maximised maximised ADJ cjfa-12563 357 5 loglikelihood loglikelihood NOUN cjfa-12563 357 6 function function NOUN cjfa-12563 357 7 or or CCONJ cjfa-12563 357 8 the the DET cjfa-12563 357 9 aic aic PROPN cjfa-12563 357 10 , , PUNCT cjfa-12563 357 11 the the PRON cjfa-12563 357 12 better well ADJ cjfa-12563 357 13 the the DET cjfa-12563 357 14 fit fit NOUN cjfa-12563 357 15 . . PUNCT cjfa-12563 357 16 6 6 NUM cjfa-12563 357 17 ) ) PUNCT cjfa-12563 357 18 combine combine VERB cjfa-12563 357 19 the the DET cjfa-12563 357 20 best well ADV cjfa-12563 357 21 - - PUNCT cjfa-12563 357 22 fitting fit VERB cjfa-12563 357 23 copula copula NOUN cjfa-12563 357 24 with with ADP cjfa-12563 357 25 the the DET cjfa-12563 357 26 estimated estimate VERB cjfa-12563 357 27 marginal marginal ADJ cjfa-12563 357 28 distributions distribution NOUN cjfa-12563 357 29 from from ADP cjfa-12563 357 30 step step NOUN cjfa-12563 357 31 ( ( PUNCT cjfa-12563 357 32 3 3 NUM cjfa-12563 357 33 ) ) PUNCT cjfa-12563 357 34 and and CCONJ cjfa-12563 357 35 generate generate VERB cjfa-12563 357 36 artificial artificial ADJ cjfa-12563 357 37 stock stock NOUN cjfa-12563 357 38 return return NOUN cjfa-12563 357 39 data datum NOUN cjfa-12563 357 40 ( ( PUNCT cjfa-12563 357 41 simulation simulation NOUN cjfa-12563 357 42 ) ) PUNCT cjfa-12563 357 43 . . PUNCT cjfa-12563 358 1 7 7 X cjfa-12563 358 2 ) ) PUNCT cjfa-12563 358 3 determine determine VERB cjfa-12563 358 4 the the DET cjfa-12563 358 5 lowest low ADJ cjfa-12563 358 6 percentile percentile NOUN cjfa-12563 358 7 in in ADP cjfa-12563 358 8 this this DET cjfa-12563 358 9 artificial artificial ADJ cjfa-12563 358 10 distribution distribution NOUN cjfa-12563 358 11 . . PUNCT cjfa-12563 359 1 this this PRON cjfa-12563 359 2 is be AUX cjfa-12563 359 3 the the DET cjfa-12563 359 4 99 99 NUM cjfa-12563 359 5 % % NOUN cjfa-12563 359 6 copulabased copulabase VERB cjfa-12563 359 7 var var NOUN cjfa-12563 359 8 . . PUNCT cjfa-12563 360 1 we we PRON cjfa-12563 360 2 use use VERB cjfa-12563 360 3 both both DET cjfa-12563 360 4 the the DET cjfa-12563 360 5 t t NOUN cjfa-12563 360 6 copula copula NOUN cjfa-12563 360 7 and and CCONJ cjfa-12563 360 8 the the DET cjfa-12563 360 9 gaussian gaussian ADJ cjfa-12563 360 10 copula copula NOUN cjfa-12563 360 11 in in ADP cjfa-12563 360 12 order order NOUN cjfa-12563 360 13 to to PART cjfa-12563 360 14 measure measure VERB cjfa-12563 360 15 the the DET cjfa-12563 360 16 error error NOUN cjfa-12563 360 17 of of ADP cjfa-12563 360 18 applying apply VERB cjfa-12563 360 19 the the DET cjfa-12563 360 20 normal normal ADJ cjfa-12563 360 21 distribution distribution NOUN cjfa-12563 360 22 to to ADP cjfa-12563 360 23 a a DET cjfa-12563 360 24 non non ADJ cjfa-12563 360 25 - - ADJ cjfa-12563 360 26 normally normally ADV cjfa-12563 360 27 distributed distribute VERB cjfa-12563 360 28 return return NOUN cjfa-12563 360 29 series series NOUN cjfa-12563 360 30 . . PUNCT cjfa-12563 361 1 financial financial ADJ cjfa-12563 361 2 data datum NOUN cjfa-12563 361 3 often often ADV cjfa-12563 361 4 exhibit exhibit VERB cjfa-12563 361 5 tail tail NOUN cjfa-12563 361 6 dependence dependence NOUN cjfa-12563 361 7 : : PUNCT cjfa-12563 361 8 both both DET cjfa-12563 361 9 variables variable NOUN cjfa-12563 361 10 tend tend VERB cjfa-12563 361 11 to to PART cjfa-12563 361 12 assume assume VERB cjfa-12563 361 13 very very ADV cjfa-12563 361 14 low low ADJ cjfa-12563 361 15 values value NOUN cjfa-12563 361 16 or or CCONJ cjfa-12563 361 17 very very ADV cjfa-12563 361 18 high high ADJ cjfa-12563 361 19 values value NOUN cjfa-12563 361 20 at at ADP cjfa-12563 361 21 the the DET cjfa-12563 361 22 same same ADJ cjfa-12563 361 23 time time NOUN cjfa-12563 361 24 . . PUNCT cjfa-12563 362 1 more more ADV cjfa-12563 362 2 formally formally ADV cjfa-12563 362 3 , , PUNCT cjfa-12563 362 4 lower low ADJ cjfa-12563 362 5 ( ( PUNCT cjfa-12563 362 6 upper upper ADJ cjfa-12563 362 7 ) ) PUNCT cjfa-12563 362 8 tail tail NOUN cjfa-12563 362 9 dependence dependence NOUN cjfa-12563 362 10 refers refer VERB cjfa-12563 362 11 to to ADP cjfa-12563 362 12 the the DET cjfa-12563 362 13 probability probability NOUN cjfa-12563 362 14 that that SCONJ cjfa-12563 362 15 one one NUM cjfa-12563 362 16 portfolio portfolio NOUN cjfa-12563 362 17 component component NOUN cjfa-12563 362 18 assumes assume VERB cjfa-12563 362 19 very very ADV cjfa-12563 362 20 small small ADJ cjfa-12563 362 21 ( ( PUNCT cjfa-12563 362 22 high high ADJ cjfa-12563 362 23 ) ) PUNCT cjfa-12563 362 24 values value NOUN cjfa-12563 362 25 : : PUNCT cjfa-12563 362 26 � � PROPN cjfa-12563 362 27 � � PROPN cjfa-12563 362 28 ( ( PUNCT cjfa-12563 362 29 � � PROPN cjfa-12563 362 30 , , PUNCT cjfa-12563 362 31 � � PROPN cjfa-12563 362 32 ) ) PUNCT cjfa-12563 362 33 = = SYM cjfa-12563 362 34 1 1 NUM cjfa-12563 362 35 � � PROPN cjfa-12563 362 36 � � PROPN cjfa-12563 362 37 ( ( PUNCT cjfa-12563 362 38 � � PROPN cjfa-12563 362 39 � � PROPN cjfa-12563 362 40 � � PROPN cjfa-12563 362 41 � � PROPN cjfa-12563 362 42 , , PUNCT cjfa-12563 362 43 � � PROPN cjfa-12563 362 44 � � PROPN cjfa-12563 362 45 � � PROPN cjfa-12563 362 46 � � PROPN cjfa-12563 362 47 ) ) PUNCT cjfa-12563 362 48 � � PROPN cjfa-12563 362 49 � � PROPN cjfa-12563 362 50 = = NOUN cjfa-12563 362 51 1 1 NUM cjfa-12563 362 52 we we PRON cjfa-12563 362 53 also also ADV cjfa-12563 362 54 estimate estimate VERB cjfa-12563 362 55 the the DET cjfa-12563 362 56 copula copula NOUN cjfa-12563 362 57 with with ADP cjfa-12563 362 58 ( ( PUNCT cjfa-12563 362 59 � � PROPN cjfa-12563 362 60 � � PROPN cjfa-12563 362 61 1 1 NUM cjfa-12563 362 62 , , PUNCT cjfa-12563 362 63 � � PROPN cjfa-12563 362 64 � � PROPN cjfa-12563 362 65 1 1 NUM cjfa-12563 362 66 ) ) PUNCT cjfa-12563 362 67 , , PUNCT cjfa-12563 362 68 � � PROPN cjfa-12563 362 69 , , PUNCT cjfa-12563 362 70 ( ( PUNCT cjfa-12563 362 71 � � PROPN cjfa-12563 362 72 � � PROPN cjfa-12563 362 73 � � PROPN cjfa-12563 362 74 , , PUNCT cjfa-12563 362 75 � � PROPN cjfa-12563 362 76 � � PROPN cjfa-12563 362 77 � � PROPN cjfa-12563 362 78 ) ) PUNCT cjfa-12563 362 79 � � PROPN cjfa-12563 362 80 � � PROPN cjfa-12563 362 81 ( ( PUNCT cjfa-12563 362 82 � � PROPN cjfa-12563 362 83 , , PUNCT cjfa-12563 362 84 � � PROPN cjfa-12563 362 85 ) ) PUNCT cjfa-12563 362 86 = = SYM cjfa-12563 362 87 1 1 NUM cjfa-12563 362 88 � � PROPN cjfa-12563 362 89 � � PROPN cjfa-12563 362 90 ( ( PUNCT cjfa-12563 362 91 � � PROPN cjfa-12563 362 92 � � PROPN cjfa-12563 362 93 � � PROPN cjfa-12563 362 94 � � PROPN cjfa-12563 362 95 � � PROPN cjfa-12563 362 96 , , PUNCT cjfa-12563 362 97 � � PROPN cjfa-12563 362 98 � � PROPN cjfa-12563 362 99 � � PROPN cjfa-12563 362 100 � � PROPN cjfa-12563 362 101 � � PROPN cjfa-12563 362 102 ) ) PUNCT cjfa-12563 362 103 � � PROPN cjfa-12563 362 104 � � PROPN cjfa-12563 362 105 = = NOUN cjfa-12563 362 106 1 1 NUM cjfa-12563 362 107 with with ADP cjfa-12563 362 108 ( ( PUNCT cjfa-12563 362 109 � � PROPN cjfa-12563 362 110 , , PUNCT cjfa-12563 362 111 � � PROPN cjfa-12563 362 112 ) ) PUNCT cjfa-12563 362 113 ∈ ∈ PROPN cjfa-12563 363 1 [ [ X cjfa-12563 363 2 0,1 0,1 NUM cjfa-12563 363 3 ] ] PUNCT cjfa-12563 363 4 . . PUNCT cjfa-12563 364 1 both both CCONJ cjfa-12563 364 2 this this DET cjfa-12563 364 3 function function NOUN cjfa-12563 364 4 and and CCONJ cjfa-12563 364 5 its its PRON cjfa-12563 364 6 contour contour NOUN cjfa-12563 364 7 lines line NOUN cjfa-12563 364 8 can can AUX cjfa-12563 364 9 be be AUX cjfa-12563 364 10 visualised visualise VERB cjfa-12563 364 11 in in ADP cjfa-12563 364 12 a a DET cjfa-12563 364 13 graph graph NOUN cjfa-12563 364 14 , , PUNCT cjfa-12563 364 15 and and CCONJ cjfa-12563 364 16 the the DET cjfa-12563 364 17 shape shape NOUN cjfa-12563 364 18 of of ADP cjfa-12563 364 19 these these DET cjfa-12563 364 20 isolines isoline NOUN cjfa-12563 364 21 shows show VERB cjfa-12563 364 22 the the DET cjfa-12563 364 23 relationship relationship NOUN cjfa-12563 364 24 between between ADP cjfa-12563 364 25 x x PROPN cjfa-12563 364 26 and and CCONJ cjfa-12563 364 27 y. y. PROPN cjfa-12563 364 28 perfectly perfectly ADV cjfa-12563 364 29 circular circular ADJ cjfa-12563 364 30 lines line NOUN cjfa-12563 364 31 are be AUX cjfa-12563 364 32 evidence evidence NOUN cjfa-12563 364 33 in in ADP cjfa-12563 364 34 favour favour NOUN cjfa-12563 364 35 of of ADP cjfa-12563 364 36 independence independence NOUN cjfa-12563 364 37 , , PUNCT cjfa-12563 364 38 whereas whereas SCONJ cjfa-12563 364 39 an an DET cjfa-12563 364 40 l l NOUN cjfa-12563 364 41 shape shape NOUN cjfa-12563 364 42 or or CCONJ cjfa-12563 364 43 ellipses ellipsis NOUN cjfa-12563 364 44 suggest suggest VERB cjfa-12563 364 45 dependencies dependency NOUN cjfa-12563 364 46 . . PUNCT cjfa-12563 365 1 the the PRON cjfa-12563 365 2 stronger strong ADJ cjfa-12563 365 3 the the DET cjfa-12563 365 4 dependence dependence NOUN cjfa-12563 365 5 between between ADP cjfa-12563 365 6 two two NUM cjfa-12563 365 7 return return NOUN cjfa-12563 365 8 series series NOUN cjfa-12563 365 9 , , PUNCT cjfa-12563 365 10 the the PRON cjfa-12563 365 11 higher high ADJ cjfa-12563 365 12 the the DET cjfa-12563 365 13 portfolio portfolio NOUN cjfa-12563 365 14 risk risk NOUN cjfa-12563 365 15 , , PUNCT cjfa-12563 365 16 under under ADP cjfa-12563 365 17 otherwise otherwise ADV cjfa-12563 365 18 equal equal ADJ cjfa-12563 365 19 circumstances circumstance NOUN cjfa-12563 365 20 . . PUNCT cjfa-12563 366 1 copulas copula NOUN cjfa-12563 366 2 are be AUX cjfa-12563 366 3 an an DET cjfa-12563 366 4 abstract abstract ADJ cjfa-12563 366 5 concept concept NOUN cjfa-12563 366 6 in in ADP cjfa-12563 366 7 that that SCONJ cjfa-12563 366 8 they they PRON cjfa-12563 366 9 do do AUX cjfa-12563 366 10 not not PART cjfa-12563 366 11 directly directly ADV cjfa-12563 366 12 convey convey VERB cjfa-12563 366 13 the the DET cjfa-12563 366 14 var var NOUN cjfa-12563 366 15 . . PUNCT cjfa-12563 367 1 instead instead ADV cjfa-12563 367 2 , , PUNCT cjfa-12563 367 3 here here ADV cjfa-12563 367 4 is be AUX cjfa-12563 367 5 a a DET cjfa-12563 367 6 step step NOUN cjfa-12563 367 7 - - PUNCT cjfa-12563 367 8 by by ADP cjfa-12563 367 9 - - PUNCT cjfa-12563 367 10 step step NOUN cjfa-12563 367 11 procedure procedure NOUN cjfa-12563 367 12 to to PART cjfa-12563 367 13 estimate estimate VERB cjfa-12563 367 14 the the DET cjfa-12563 367 15 t t NOUN cjfa-12563 367 16 copula copula NOUN cjfa-12563 367 17 and and CCONJ cjfa-12563 367 18 then then ADV cjfa-12563 367 19 the the DET cjfa-12563 367 20 var var NOUN cjfa-12563 367 21 based base VERB cjfa-12563 367 22 on on ADP cjfa-12563 367 23 this this PRON cjfa-12563 367 24 : : PUNCT cjfa-12563 367 25 1 1 NUM cjfa-12563 367 26 ) ) PUNCT cjfa-12563 367 27 for for ADP cjfa-12563 367 28 the the DET cjfa-12563 367 29 univariate univariate ADJ cjfa-12563 367 30 margins margin NOUN cjfa-12563 367 31 , , PUNCT cjfa-12563 367 32 estimate estimate VERB cjfa-12563 367 33 the the DET cjfa-12563 367 34 kernel kernel PROPN cjfa-12563 367 35 density density PROPN cjfa-12563 367 36 . . PUNCT cjfa-12563 368 1 in in ADP cjfa-12563 368 2 addition addition NOUN cjfa-12563 368 3 , , PUNCT cjfa-12563 368 4 fit fit VERB cjfa-12563 368 5 a a DET cjfa-12563 368 6 normal normal ADJ cjfa-12563 368 7 distribution distribution NOUN cjfa-12563 368 8 and and CCONJ cjfa-12563 368 9 a a DET cjfa-12563 368 10 t t NOUN cjfa-12563 368 11 distribution distribution NOUN cjfa-12563 368 12 . . PUNCT cjfa-12563 369 1 2 2 X cjfa-12563 369 2 ) ) PUNCT cjfa-12563 369 3 plot plot NOUN cjfa-12563 369 4 the the DET cjfa-12563 369 5 marginal marginal ADJ cjfa-12563 369 6 distributions distribution NOUN cjfa-12563 369 7 from from ADP cjfa-12563 369 8 step step NOUN cjfa-12563 369 9 ( ( PUNCT cjfa-12563 369 10 1 1 NUM cjfa-12563 369 11 ) ) PUNCT cjfa-12563 369 12 . . PUNCT cjfa-12563 370 1 compare compare PROPN cjfa-12563 370 2 , , PUNCT cjfa-12563 370 3 for for ADP cjfa-12563 370 4 each each DET cjfa-12563 370 5 series series NOUN cjfa-12563 370 6 , , PUNCT cjfa-12563 370 7 the the DET cjfa-12563 370 8 kernel kernel PROPN cjfa-12563 370 9 density density PROPN cjfa-12563 370 10 , , PUNCT cjfa-12563 370 11 the the DET cjfa-12563 370 12 fitted fit VERB cjfa-12563 370 13 normal normal ADJ cjfa-12563 370 14 distribution distribution NOUN cjfa-12563 370 15 , , PUNCT cjfa-12563 370 16 and and CCONJ cjfa-12563 370 17 the the DET cjfa-12563 370 18 fitted fit VERB cjfa-12563 370 19 t t NOUN cjfa-12563 370 20 distribution distribution NOUN cjfa-12563 370 21 . . PUNCT cjfa-12563 371 1 for for ADP cjfa-12563 371 2 the the DET cjfa-12563 371 3 following follow VERB cjfa-12563 371 4 steps step NOUN cjfa-12563 371 5 , , PUNCT cjfa-12563 371 6 assume assume VERB cjfa-12563 371 7 the the DET cjfa-12563 371 8 t t NOUN cjfa-12563 371 9 distribution distribution NOUN cjfa-12563 371 10 achieves achieve VERB cjfa-12563 371 11 a a DET cjfa-12563 371 12 good good ADJ cjfa-12563 371 13 fit fit NOUN cjfa-12563 371 14 to to ADP cjfa-12563 371 15 the the DET cjfa-12563 371 16 empirical empirical ADJ cjfa-12563 371 17 kernel kernel NOUN cjfa-12563 371 18 function function NOUN cjfa-12563 371 19 . . PUNCT cjfa-12563 372 1 3 3 X cjfa-12563 372 2 ) ) PUNCT cjfa-12563 372 3 based base VERB cjfa-12563 372 4 on on ADP cjfa-12563 372 5 t t PROPN cjfa-12563 372 6 distributions distribution NOUN cjfa-12563 372 7 , , PUNCT cjfa-12563 372 8 generate generate VERB cjfa-12563 372 9 1 1 NUM cjfa-12563 372 10 - - PUNCT cjfa-12563 372 11 dimensional dimensional ADJ cjfa-12563 372 12 marginal marginal ADJ cjfa-12563 372 13 distributions distribution NOUN cjfa-12563 372 14 over over ADP cjfa-12563 372 15 a a DET cjfa-12563 372 16 uniform uniform NOUN cjfa-12563 372 17 [ [ X cjfa-12563 372 18 0,1 0,1 NUM cjfa-12563 372 19 ] ] PUNCT cjfa-12563 372 20 interval interval NOUN cjfa-12563 372 21 . . PUNCT cjfa-12563 373 1 4 4 X cjfa-12563 373 2 ) ) PUNCT cjfa-12563 373 3 estimate estimate VERB cjfa-12563 373 4 the the DET cjfa-12563 373 5 t t NOUN cjfa-12563 373 6 copula copula NOUN cjfa-12563 373 7 with with ADP cjfa-12563 373 8 maximum maximum ADJ cjfa-12563 373 9 likelihood likelihood NOUN cjfa-12563 373 10 based base VERB cjfa-12563 373 11 on on ADP cjfa-12563 373 12 the the DET cjfa-12563 373 13 transformed transform VERB cjfa-12563 373 14 data datum NOUN cjfa-12563 373 15 from from ADP cjfa-12563 373 16 step step NOUN cjfa-12563 373 17 ( ( PUNCT cjfa-12563 373 18 3 3 NUM cjfa-12563 373 19 ) ) PUNCT cjfa-12563 373 20 . . PUNCT cjfa-12563 374 1 5 5 X cjfa-12563 374 2 ) ) PUNCT cjfa-12563 374 3 use use VERB cjfa-12563 374 4 the the DET cjfa-12563 374 5 value value NOUN cjfa-12563 374 6 of of ADP cjfa-12563 374 7 the the DET cjfa-12563 374 8 maximised maximised ADJ cjfa-12563 374 9 loglikelihood loglikelihood NOUN cjfa-12563 374 10 function function NOUN cjfa-12563 374 11 and and CCONJ cjfa-12563 374 12 the the DET cjfa-12563 374 13 akaike akaike ADJ cjfa-12563 374 14 information information NOUN cjfa-12563 374 15 criterion criterion NOUN cjfa-12563 374 16 ( ( PUNCT cjfa-12563 374 17 aic aic PROPN cjfa-12563 374 18 ) ) PUNCT cjfa-12563 374 19 to to PART cjfa-12563 374 20 evaluate evaluate VERB cjfa-12563 374 21 the the DET cjfa-12563 374 22 goodness goodness NOUN cjfa-12563 374 23 of of ADP cjfa-12563 374 24 fit fit NOUN cjfa-12563 374 25 of of ADP cjfa-12563 374 26 this this DET cjfa-12563 374 27 copula copula NOUN cjfa-12563 374 28 compared compare VERB cjfa-12563 374 29 to to ADP cjfa-12563 374 30 , , PUNCT cjfa-12563 374 31 for for ADP cjfa-12563 374 32 example example NOUN cjfa-12563 374 33 , , PUNCT cjfa-12563 374 34 the the DET cjfa-12563 374 35 gaussian gaussian ADJ cjfa-12563 374 36 copula copula NOUN cjfa-12563 374 37 . . PUNCT cjfa-12563 375 1 the the PRON cjfa-12563 375 2 higher high ADJ cjfa-12563 375 3 the the DET cjfa-12563 375 4 maximised maximised ADJ cjfa-12563 375 5 loglikelihood loglikelihood NOUN cjfa-12563 375 6 function function NOUN cjfa-12563 375 7 or or CCONJ cjfa-12563 375 8 the the DET cjfa-12563 375 9 aic aic PROPN cjfa-12563 375 10 , , PUNCT cjfa-12563 375 11 the the PRON cjfa-12563 375 12 better well ADJ cjfa-12563 375 13 the the DET cjfa-12563 375 14 fit fit NOUN cjfa-12563 375 15 . . PUNCT cjfa-12563 375 16 6 6 NUM cjfa-12563 375 17 ) ) PUNCT cjfa-12563 375 18 combine combine VERB cjfa-12563 375 19 the the DET cjfa-12563 375 20 best well ADV cjfa-12563 375 21 - - PUNCT cjfa-12563 375 22 fitting fit VERB cjfa-12563 375 23 copula copula NOUN cjfa-12563 375 24 with with ADP cjfa-12563 375 25 the the DET cjfa-12563 375 26 estimated estimate VERB cjfa-12563 375 27 marginal marginal ADJ cjfa-12563 375 28 distributions distribution NOUN cjfa-12563 375 29 from from ADP cjfa-12563 375 30 step step NOUN cjfa-12563 375 31 ( ( PUNCT cjfa-12563 375 32 3 3 NUM cjfa-12563 375 33 ) ) PUNCT cjfa-12563 375 34 and and CCONJ cjfa-12563 375 35 generate generate VERB cjfa-12563 375 36 artificial artificial ADJ cjfa-12563 375 37 stock stock NOUN cjfa-12563 375 38 return return NOUN cjfa-12563 375 39 data datum NOUN cjfa-12563 375 40 ( ( PUNCT cjfa-12563 375 41 simulation simulation NOUN cjfa-12563 375 42 ) ) PUNCT cjfa-12563 375 43 . . PUNCT cjfa-12563 376 1 7 7 X cjfa-12563 376 2 ) ) PUNCT cjfa-12563 376 3 determine determine VERB cjfa-12563 376 4 the the DET cjfa-12563 376 5 lowest low ADJ cjfa-12563 376 6 percentile percentile NOUN cjfa-12563 376 7 in in ADP cjfa-12563 376 8 this this DET cjfa-12563 376 9 artificial artificial ADJ cjfa-12563 376 10 distribution distribution NOUN cjfa-12563 376 11 . . PUNCT cjfa-12563 377 1 this this PRON cjfa-12563 377 2 is be AUX cjfa-12563 377 3 the the DET cjfa-12563 377 4 99 99 NUM cjfa-12563 377 5 % % NOUN cjfa-12563 377 6 copulabased copulabase VERB cjfa-12563 377 7 var var NOUN cjfa-12563 377 8 . . PUNCT cjfa-12563 378 1 we we PRON cjfa-12563 378 2 use use VERB cjfa-12563 378 3 both both DET cjfa-12563 378 4 the the DET cjfa-12563 378 5 t t NOUN cjfa-12563 378 6 copula copula NOUN cjfa-12563 378 7 and and CCONJ cjfa-12563 378 8 the the DET cjfa-12563 378 9 gaussian gaussian ADJ cjfa-12563 378 10 copula copula NOUN cjfa-12563 378 11 in in ADP cjfa-12563 378 12 order order NOUN cjfa-12563 378 13 to to PART cjfa-12563 378 14 measure measure VERB cjfa-12563 378 15 the the DET cjfa-12563 378 16 error error NOUN cjfa-12563 378 17 of of ADP cjfa-12563 378 18 applying apply VERB cjfa-12563 378 19 the the DET cjfa-12563 378 20 normal normal ADJ cjfa-12563 378 21 distribution distribution NOUN cjfa-12563 378 22 to to ADP cjfa-12563 378 23 a a DET cjfa-12563 378 24 non non ADJ cjfa-12563 378 25 - - ADJ cjfa-12563 378 26 normally normally ADV cjfa-12563 378 27 distributed distribute VERB cjfa-12563 378 28 return return NOUN cjfa-12563 378 29 series series NOUN cjfa-12563 378 30 . . PUNCT cjfa-12563 379 1 financial financial ADJ cjfa-12563 379 2 data datum NOUN cjfa-12563 379 3 often often ADV cjfa-12563 379 4 exhibit exhibit VERB cjfa-12563 379 5 tail tail NOUN cjfa-12563 379 6 dependence dependence NOUN cjfa-12563 379 7 : : PUNCT cjfa-12563 379 8 both both DET cjfa-12563 379 9 variables variable NOUN cjfa-12563 379 10 tend tend VERB cjfa-12563 379 11 to to PART cjfa-12563 379 12 assume assume VERB cjfa-12563 379 13 very very ADV cjfa-12563 379 14 low low ADJ cjfa-12563 379 15 values value NOUN cjfa-12563 379 16 or or CCONJ cjfa-12563 379 17 very very ADV cjfa-12563 379 18 high high ADJ cjfa-12563 379 19 values value NOUN cjfa-12563 379 20 at at ADP cjfa-12563 379 21 the the DET cjfa-12563 379 22 same same ADJ cjfa-12563 379 23 time time NOUN cjfa-12563 379 24 . . PUNCT cjfa-12563 380 1 more more ADV cjfa-12563 380 2 formally formally ADV cjfa-12563 380 3 , , PUNCT cjfa-12563 380 4 lower low ADJ cjfa-12563 380 5 ( ( PUNCT cjfa-12563 380 6 upper upper ADJ cjfa-12563 380 7 ) ) PUNCT cjfa-12563 380 8 tail tail NOUN cjfa-12563 380 9 dependence dependence NOUN cjfa-12563 380 10 refers refer VERB cjfa-12563 380 11 to to ADP cjfa-12563 380 12 the the DET cjfa-12563 380 13 probability probability NOUN cjfa-12563 380 14 that that SCONJ cjfa-12563 380 15 one one NUM cjfa-12563 380 16 portfolio portfolio NOUN cjfa-12563 380 17 component component NOUN cjfa-12563 380 18 assumes assume VERB cjfa-12563 380 19 very very ADV cjfa-12563 380 20 small small ADJ cjfa-12563 380 21 ( ( PUNCT cjfa-12563 380 22 high high ADJ cjfa-12563 380 23 ) ) PUNCT cjfa-12563 380 24 values value NOUN cjfa-12563 380 25 with with ADP cjfa-12563 380 26 � � PROPN cjfa-12563 380 27 � � PROPN cjfa-12563 380 28 ( ( PUNCT cjfa-12563 380 29 � � PROPN cjfa-12563 380 30 , , PUNCT cjfa-12563 380 31 � � PROPN cjfa-12563 380 32 ) ) PUNCT cjfa-12563 380 33 = = SYM cjfa-12563 380 34 1 1 NUM cjfa-12563 380 35 � � PROPN cjfa-12563 380 36 � � PROPN cjfa-12563 380 37 ( ( PUNCT cjfa-12563 380 38 � � PROPN cjfa-12563 380 39 � � PROPN cjfa-12563 380 40 � � PROPN cjfa-12563 380 41 � � PROPN cjfa-12563 380 42 , , PUNCT cjfa-12563 380 43 � � PROPN cjfa-12563 380 44 � � PROPN cjfa-12563 380 45 � � PROPN cjfa-12563 380 46 � � PROPN cjfa-12563 380 47 ) ) PUNCT cjfa-12563 380 48 � � PROPN cjfa-12563 380 49 � � PROPN cjfa-12563 380 50 = = NOUN cjfa-12563 380 51 1 1 NUM cjfa-12563 380 52 we we PRON cjfa-12563 380 53 also also ADV cjfa-12563 380 54 estimate estimate VERB cjfa-12563 380 55 the the DET cjfa-12563 380 56 copula copula NOUN cjfa-12563 380 57 with with ADP cjfa-12563 380 58 ( ( PUNCT cjfa-12563 380 59 � � PROPN cjfa-12563 380 60 � � PROPN cjfa-12563 380 61 1 1 NUM cjfa-12563 380 62 , , PUNCT cjfa-12563 380 63 � � PROPN cjfa-12563 380 64 � � PROPN cjfa-12563 380 65 1 1 NUM cjfa-12563 380 66 ) ) PUNCT cjfa-12563 380 67 , , PUNCT cjfa-12563 380 68 � � PROPN cjfa-12563 380 69 , , PUNCT cjfa-12563 380 70 ( ( PUNCT cjfa-12563 380 71 � � PROPN cjfa-12563 380 72 � � PROPN cjfa-12563 380 73 � � PROPN cjfa-12563 380 74 , , PUNCT cjfa-12563 380 75 � � PROPN cjfa-12563 380 76 � � PROPN cjfa-12563 380 77 � � PROPN cjfa-12563 380 78 ) ) PUNCT cjfa-12563 380 79 � � PROPN cjfa-12563 380 80 � � PROPN cjfa-12563 380 81 ( ( PUNCT cjfa-12563 380 82 � � PROPN cjfa-12563 380 83 , , PUNCT cjfa-12563 380 84 � � PROPN cjfa-12563 380 85 ) ) PUNCT cjfa-12563 380 86 = = SYM cjfa-12563 380 87 1 1 NUM cjfa-12563 380 88 � � PROPN cjfa-12563 380 89 � � PROPN cjfa-12563 380 90 ( ( PUNCT cjfa-12563 380 91 � � PROPN cjfa-12563 380 92 � � PROPN cjfa-12563 380 93 � � PROPN cjfa-12563 380 94 � � PROPN cjfa-12563 380 95 � � PROPN cjfa-12563 380 96 , , PUNCT cjfa-12563 380 97 � � PROPN cjfa-12563 380 98 � � PROPN cjfa-12563 380 99 � � PROPN cjfa-12563 380 100 � � PROPN cjfa-12563 380 101 � � PROPN cjfa-12563 380 102 ) ) PUNCT cjfa-12563 380 103 � � PROPN cjfa-12563 380 104 � � PROPN cjfa-12563 380 105 = = NOUN cjfa-12563 380 106 1 1 NUM cjfa-12563 380 107 with with ADP cjfa-12563 380 108 ( ( PUNCT cjfa-12563 380 109 � � PROPN cjfa-12563 380 110 , , PUNCT cjfa-12563 380 111 � � PROPN cjfa-12563 380 112 ) ) PUNCT cjfa-12563 380 113 ∈ ∈ PROPN cjfa-12563 381 1 [ [ X cjfa-12563 381 2 0,1 0,1 NUM cjfa-12563 381 3 ] ] PUNCT cjfa-12563 381 4 . . PUNCT cjfa-12563 382 1 both both CCONJ cjfa-12563 382 2 this this DET cjfa-12563 382 3 function function NOUN cjfa-12563 382 4 and and CCONJ cjfa-12563 382 5 its its PRON cjfa-12563 382 6 contour contour NOUN cjfa-12563 382 7 lines line NOUN cjfa-12563 382 8 can can AUX cjfa-12563 382 9 be be AUX cjfa-12563 382 10 visualised visualise VERB cjfa-12563 382 11 in in ADP cjfa-12563 382 12 a a DET cjfa-12563 382 13 graph graph NOUN cjfa-12563 382 14 , , PUNCT cjfa-12563 382 15 and and CCONJ cjfa-12563 382 16 the the DET cjfa-12563 382 17 shape shape NOUN cjfa-12563 382 18 of of ADP cjfa-12563 382 19 these these DET cjfa-12563 382 20 isolines isoline NOUN cjfa-12563 382 21 shows show VERB cjfa-12563 382 22 the the DET cjfa-12563 382 23 relationship relationship NOUN cjfa-12563 382 24 between between ADP cjfa-12563 382 25 x x PROPN cjfa-12563 382 26 and and CCONJ cjfa-12563 382 27 y. y. PROPN cjfa-12563 382 28 perfectly perfectly ADV cjfa-12563 382 29 circular circular ADJ cjfa-12563 382 30 lines line NOUN cjfa-12563 382 31 are be AUX cjfa-12563 382 32 evidence evidence NOUN cjfa-12563 382 33 in in ADP cjfa-12563 382 34 favour favour NOUN cjfa-12563 382 35 of of ADP cjfa-12563 382 36 independence independence NOUN cjfa-12563 382 37 , , PUNCT cjfa-12563 382 38 whereas whereas SCONJ cjfa-12563 382 39 an an DET cjfa-12563 382 40 l l NOUN cjfa-12563 382 41 shape shape NOUN cjfa-12563 382 42 or or CCONJ cjfa-12563 382 43 ellipses ellipsis NOUN cjfa-12563 382 44 suggest suggest VERB cjfa-12563 382 45 dependencies dependency NOUN cjfa-12563 382 46 . . PUNCT cjfa-12563 383 1 the the PRON cjfa-12563 383 2 stronger strong ADJ cjfa-12563 383 3 the the DET cjfa-12563 383 4 dependence dependence NOUN cjfa-12563 383 5 between between ADP cjfa-12563 383 6 two two NUM cjfa-12563 383 7 return return NOUN cjfa-12563 383 8 series series NOUN cjfa-12563 383 9 , , PUNCT cjfa-12563 383 10 the the PRON cjfa-12563 383 11 higher high ADJ cjfa-12563 383 12 the the DET cjfa-12563 383 13 portfolio portfolio NOUN cjfa-12563 383 14 risk risk NOUN cjfa-12563 383 15 , , PUNCT cjfa-12563 383 16 under under ADP cjfa-12563 383 17 otherwise otherwise ADV cjfa-12563 383 18 equal equal ADJ cjfa-12563 383 19 circumstances circumstance NOUN cjfa-12563 383 20 . . PUNCT cjfa-12563 384 1 copulas copula NOUN cjfa-12563 384 2 are be AUX cjfa-12563 384 3 an an DET cjfa-12563 384 4 abstract abstract ADJ cjfa-12563 384 5 concept concept NOUN cjfa-12563 384 6 in in ADP cjfa-12563 384 7 that that SCONJ cjfa-12563 384 8 they they PRON cjfa-12563 384 9 do do AUX cjfa-12563 384 10 not not PART cjfa-12563 384 11 directly directly ADV cjfa-12563 384 12 convey convey VERB cjfa-12563 384 13 the the DET cjfa-12563 384 14 var var NOUN cjfa-12563 384 15 . . PUNCT cjfa-12563 385 1 instead instead ADV cjfa-12563 385 2 , , PUNCT cjfa-12563 385 3 here here ADV cjfa-12563 385 4 is be AUX cjfa-12563 385 5 a a DET cjfa-12563 385 6 step step NOUN cjfa-12563 385 7 - - PUNCT cjfa-12563 385 8 by by ADP cjfa-12563 385 9 - - PUNCT cjfa-12563 385 10 step step NOUN cjfa-12563 385 11 procedure procedure NOUN cjfa-12563 385 12 to to PART cjfa-12563 385 13 estimate estimate VERB cjfa-12563 385 14 the the DET cjfa-12563 385 15 t t NOUN cjfa-12563 385 16 copula copula NOUN cjfa-12563 385 17 and and CCONJ cjfa-12563 385 18 then then ADV cjfa-12563 385 19 the the DET cjfa-12563 385 20 var var NOUN cjfa-12563 385 21 based base VERB cjfa-12563 385 22 on on ADP cjfa-12563 385 23 this this PRON cjfa-12563 385 24 : : PUNCT cjfa-12563 385 25 1 1 NUM cjfa-12563 385 26 ) ) PUNCT cjfa-12563 385 27 for for ADP cjfa-12563 385 28 the the DET cjfa-12563 385 29 univariate univariate ADJ cjfa-12563 385 30 margins margin NOUN cjfa-12563 385 31 , , PUNCT cjfa-12563 385 32 estimate estimate VERB cjfa-12563 385 33 the the DET cjfa-12563 385 34 kernel kernel PROPN cjfa-12563 385 35 density density PROPN cjfa-12563 385 36 . . PUNCT cjfa-12563 386 1 in in ADP cjfa-12563 386 2 addition addition NOUN cjfa-12563 386 3 , , PUNCT cjfa-12563 386 4 fit fit VERB cjfa-12563 386 5 a a DET cjfa-12563 386 6 normal normal ADJ cjfa-12563 386 7 distribution distribution NOUN cjfa-12563 386 8 and and CCONJ cjfa-12563 386 9 a a DET cjfa-12563 386 10 t t NOUN cjfa-12563 386 11 distribution distribution NOUN cjfa-12563 386 12 . . PUNCT cjfa-12563 387 1 2 2 X cjfa-12563 387 2 ) ) PUNCT cjfa-12563 387 3 plot plot NOUN cjfa-12563 387 4 the the DET cjfa-12563 387 5 marginal marginal ADJ cjfa-12563 387 6 distributions distribution NOUN cjfa-12563 387 7 from from ADP cjfa-12563 387 8 step step NOUN cjfa-12563 387 9 ( ( PUNCT cjfa-12563 387 10 1 1 NUM cjfa-12563 387 11 ) ) PUNCT cjfa-12563 387 12 . . PUNCT cjfa-12563 388 1 compare compare PROPN cjfa-12563 388 2 , , PUNCT cjfa-12563 388 3 for for ADP cjfa-12563 388 4 each each DET cjfa-12563 388 5 series series NOUN cjfa-12563 388 6 , , PUNCT cjfa-12563 388 7 the the DET cjfa-12563 388 8 kernel kernel PROPN cjfa-12563 388 9 density density PROPN cjfa-12563 388 10 , , PUNCT cjfa-12563 388 11 the the DET cjfa-12563 388 12 fitted fit VERB cjfa-12563 388 13 normal normal ADJ cjfa-12563 388 14 distribution distribution NOUN cjfa-12563 388 15 , , PUNCT cjfa-12563 388 16 and and CCONJ cjfa-12563 388 17 the the DET cjfa-12563 388 18 fitted fit VERB cjfa-12563 388 19 t t NOUN cjfa-12563 388 20 distribution distribution NOUN cjfa-12563 388 21 . . PUNCT cjfa-12563 389 1 for for ADP cjfa-12563 389 2 the the DET cjfa-12563 389 3 following follow VERB cjfa-12563 389 4 steps step NOUN cjfa-12563 389 5 , , PUNCT cjfa-12563 389 6 assume assume VERB cjfa-12563 389 7 the the DET cjfa-12563 389 8 t t NOUN cjfa-12563 389 9 distribution distribution NOUN cjfa-12563 389 10 achieves achieve VERB cjfa-12563 389 11 a a DET cjfa-12563 389 12 good good ADJ cjfa-12563 389 13 fit fit NOUN cjfa-12563 389 14 to to ADP cjfa-12563 389 15 the the DET cjfa-12563 389 16 empirical empirical ADJ cjfa-12563 389 17 kernel kernel NOUN cjfa-12563 389 18 function function NOUN cjfa-12563 389 19 . . PUNCT cjfa-12563 390 1 3 3 X cjfa-12563 390 2 ) ) PUNCT cjfa-12563 390 3 based base VERB cjfa-12563 390 4 on on ADP cjfa-12563 390 5 t t PROPN cjfa-12563 390 6 distributions distribution NOUN cjfa-12563 390 7 , , PUNCT cjfa-12563 390 8 generate generate VERB cjfa-12563 390 9 1 1 NUM cjfa-12563 390 10 - - PUNCT cjfa-12563 390 11 dimensional dimensional ADJ cjfa-12563 390 12 marginal marginal ADJ cjfa-12563 390 13 distributions distribution NOUN cjfa-12563 390 14 over over ADP cjfa-12563 390 15 a a DET cjfa-12563 390 16 uniform uniform NOUN cjfa-12563 390 17 [ [ X cjfa-12563 390 18 0,1 0,1 NUM cjfa-12563 390 19 ] ] PUNCT cjfa-12563 390 20 interval interval NOUN cjfa-12563 390 21 . . PUNCT cjfa-12563 391 1 4 4 X cjfa-12563 391 2 ) ) PUNCT cjfa-12563 391 3 estimate estimate VERB cjfa-12563 391 4 the the DET cjfa-12563 391 5 t t NOUN cjfa-12563 391 6 copula copula NOUN cjfa-12563 391 7 with with ADP cjfa-12563 391 8 maximum maximum ADJ cjfa-12563 391 9 likelihood likelihood NOUN cjfa-12563 391 10 based base VERB cjfa-12563 391 11 on on ADP cjfa-12563 391 12 the the DET cjfa-12563 391 13 transformed transform VERB cjfa-12563 391 14 data datum NOUN cjfa-12563 391 15 from from ADP cjfa-12563 391 16 step step NOUN cjfa-12563 391 17 ( ( PUNCT cjfa-12563 391 18 3 3 NUM cjfa-12563 391 19 ) ) PUNCT cjfa-12563 391 20 . . PUNCT cjfa-12563 392 1 5 5 X cjfa-12563 392 2 ) ) PUNCT cjfa-12563 392 3 use use VERB cjfa-12563 392 4 the the DET cjfa-12563 392 5 value value NOUN cjfa-12563 392 6 of of ADP cjfa-12563 392 7 the the DET cjfa-12563 392 8 maximised maximised ADJ cjfa-12563 392 9 loglikelihood loglikelihood NOUN cjfa-12563 392 10 function function NOUN cjfa-12563 392 11 and and CCONJ cjfa-12563 392 12 the the DET cjfa-12563 392 13 akaike akaike ADJ cjfa-12563 392 14 information information NOUN cjfa-12563 392 15 criterion criterion NOUN cjfa-12563 392 16 ( ( PUNCT cjfa-12563 392 17 aic aic PROPN cjfa-12563 392 18 ) ) PUNCT cjfa-12563 392 19 to to PART cjfa-12563 392 20 evaluate evaluate VERB cjfa-12563 392 21 the the DET cjfa-12563 392 22 goodness goodness NOUN cjfa-12563 392 23 of of ADP cjfa-12563 392 24 fit fit NOUN cjfa-12563 392 25 of of ADP cjfa-12563 392 26 this this DET cjfa-12563 392 27 copula copula NOUN cjfa-12563 392 28 compared compare VERB cjfa-12563 392 29 to to ADP cjfa-12563 392 30 , , PUNCT cjfa-12563 392 31 for for ADP cjfa-12563 392 32 example example NOUN cjfa-12563 392 33 , , PUNCT cjfa-12563 392 34 the the DET cjfa-12563 392 35 gaussian gaussian ADJ cjfa-12563 392 36 copula copula NOUN cjfa-12563 392 37 . . PUNCT cjfa-12563 393 1 the the PRON cjfa-12563 393 2 higher high ADJ cjfa-12563 393 3 the the DET cjfa-12563 393 4 maximised maximised ADJ cjfa-12563 393 5 loglikelihood loglikelihood NOUN cjfa-12563 393 6 function function NOUN cjfa-12563 393 7 or or CCONJ cjfa-12563 393 8 the the DET cjfa-12563 393 9 aic aic PROPN cjfa-12563 393 10 , , PUNCT cjfa-12563 393 11 the the PRON cjfa-12563 393 12 better well ADJ cjfa-12563 393 13 the the DET cjfa-12563 393 14 fit fit NOUN cjfa-12563 393 15 . . PUNCT cjfa-12563 393 16 6 6 NUM cjfa-12563 393 17 ) ) PUNCT cjfa-12563 393 18 combine combine VERB cjfa-12563 393 19 the the DET cjfa-12563 393 20 best well ADV cjfa-12563 393 21 - - PUNCT cjfa-12563 393 22 fitting fit VERB cjfa-12563 393 23 copula copula NOUN cjfa-12563 393 24 with with ADP cjfa-12563 393 25 the the DET cjfa-12563 393 26 estimated estimate VERB cjfa-12563 393 27 marginal marginal ADJ cjfa-12563 393 28 distributions distribution NOUN cjfa-12563 393 29 from from ADP cjfa-12563 393 30 step step NOUN cjfa-12563 393 31 ( ( PUNCT cjfa-12563 393 32 3 3 NUM cjfa-12563 393 33 ) ) PUNCT cjfa-12563 393 34 and and CCONJ cjfa-12563 393 35 generate generate VERB cjfa-12563 393 36 artificial artificial ADJ cjfa-12563 393 37 stock stock NOUN cjfa-12563 393 38 return return NOUN cjfa-12563 393 39 data datum NOUN cjfa-12563 393 40 ( ( PUNCT cjfa-12563 393 41 simulation simulation NOUN cjfa-12563 393 42 ) ) PUNCT cjfa-12563 393 43 . . PUNCT cjfa-12563 394 1 7 7 X cjfa-12563 394 2 ) ) PUNCT cjfa-12563 394 3 determine determine VERB cjfa-12563 394 4 the the DET cjfa-12563 394 5 lowest low ADJ cjfa-12563 394 6 percentile percentile NOUN cjfa-12563 394 7 in in ADP cjfa-12563 394 8 this this DET cjfa-12563 394 9 artificial artificial ADJ cjfa-12563 394 10 distribution distribution NOUN cjfa-12563 394 11 . . PUNCT cjfa-12563 395 1 this this PRON cjfa-12563 395 2 is be AUX cjfa-12563 395 3 the the DET cjfa-12563 395 4 99 99 NUM cjfa-12563 395 5 % % NOUN cjfa-12563 395 6 copulabased copulabase VERB cjfa-12563 395 7 var var NOUN cjfa-12563 395 8 . . PUNCT cjfa-12563 396 1 we we PRON cjfa-12563 396 2 use use VERB cjfa-12563 396 3 both both DET cjfa-12563 396 4 the the DET cjfa-12563 396 5 t t NOUN cjfa-12563 396 6 copula copula NOUN cjfa-12563 396 7 and and CCONJ cjfa-12563 396 8 the the DET cjfa-12563 396 9 gaussian gaussian ADJ cjfa-12563 396 10 copula copula NOUN cjfa-12563 396 11 in in ADP cjfa-12563 396 12 order order NOUN cjfa-12563 396 13 to to PART cjfa-12563 396 14 measure measure VERB cjfa-12563 396 15 the the DET cjfa-12563 396 16 error error NOUN cjfa-12563 396 17 of of ADP cjfa-12563 396 18 applying apply VERB cjfa-12563 396 19 the the DET cjfa-12563 396 20 normal normal ADJ cjfa-12563 396 21 distribution distribution NOUN cjfa-12563 396 22 to to ADP cjfa-12563 396 23 a a DET cjfa-12563 396 24 non non ADJ cjfa-12563 396 25 - - ADJ cjfa-12563 396 26 normally normally ADV cjfa-12563 396 27 distributed distribute VERB cjfa-12563 396 28 return return NOUN cjfa-12563 396 29 series series NOUN cjfa-12563 396 30 . . PUNCT cjfa-12563 397 1 financial financial ADJ cjfa-12563 397 2 data datum NOUN cjfa-12563 397 3 often often ADV cjfa-12563 397 4 exhibit exhibit VERB cjfa-12563 397 5 tail tail NOUN cjfa-12563 397 6 dependence dependence NOUN cjfa-12563 397 7 : : PUNCT cjfa-12563 397 8 both both DET cjfa-12563 397 9 variables variable NOUN cjfa-12563 397 10 tend tend VERB cjfa-12563 397 11 to to PART cjfa-12563 397 12 assume assume VERB cjfa-12563 397 13 very very ADV cjfa-12563 397 14 low low ADJ cjfa-12563 397 15 values value NOUN cjfa-12563 397 16 or or CCONJ cjfa-12563 397 17 very very ADV cjfa-12563 397 18 high high ADJ cjfa-12563 397 19 values value NOUN cjfa-12563 397 20 at at ADP cjfa-12563 397 21 the the DET cjfa-12563 397 22 same same ADJ cjfa-12563 397 23 time time NOUN cjfa-12563 397 24 . . PUNCT cjfa-12563 398 1 more more ADV cjfa-12563 398 2 formally formally ADV cjfa-12563 398 3 , , PUNCT cjfa-12563 398 4 lower low ADJ cjfa-12563 398 5 ( ( PUNCT cjfa-12563 398 6 upper upper ADJ cjfa-12563 398 7 ) ) PUNCT cjfa-12563 398 8 tail tail NOUN cjfa-12563 398 9 dependence dependence NOUN cjfa-12563 398 10 refers refer VERB cjfa-12563 398 11 to to ADP cjfa-12563 398 12 the the DET cjfa-12563 398 13 probability probability NOUN cjfa-12563 398 14 that that SCONJ cjfa-12563 398 15 one one NUM cjfa-12563 398 16 portfolio portfolio NOUN cjfa-12563 398 17 component component NOUN cjfa-12563 398 18 assumes assume VERB cjfa-12563 398 19 very very ADV cjfa-12563 398 20 small small ADJ cjfa-12563 398 21 ( ( PUNCT cjfa-12563 398 22 high high ADJ cjfa-12563 398 23 ) ) PUNCT cjfa-12563 398 24 values value NOUN cjfa-12563 398 25 . . PUNCT cjfa-12563 399 1 both both CCONJ cjfa-12563 399 2 this this DET cjfa-12563 399 3 function function NOUN cjfa-12563 399 4 and and CCONJ cjfa-12563 399 5 its its PRON cjfa-12563 399 6 contour contour NOUN cjfa-12563 399 7 lines line NOUN cjfa-12563 399 8 can can AUX cjfa-12563 399 9 be be AUX cjfa-12563 399 10 visualised visualise VERB cjfa-12563 399 11 in in ADP cjfa-12563 399 12 a a DET cjfa-12563 399 13 graph graph NOUN cjfa-12563 399 14 , , PUNCT cjfa-12563 399 15 and and CCONJ cjfa-12563 399 16 the the DET cjfa-12563 399 17 shape shape NOUN cjfa-12563 399 18 of of ADP cjfa-12563 399 19 these these DET cjfa-12563 399 20 isolines isoline NOUN cjfa-12563 399 21 shows show VERB cjfa-12563 399 22 the the DET cjfa-12563 399 23 relationship relationship NOUN cjfa-12563 399 24 between between ADP cjfa-12563 399 25 x x PROPN cjfa-12563 399 26 and and CCONJ cjfa-12563 399 27 y. y. PROPN cjfa-12563 399 28 perfectly perfectly ADV cjfa-12563 399 29 circular circular ADJ cjfa-12563 399 30 lines line NOUN cjfa-12563 399 31 are be AUX cjfa-12563 399 32 evidence evidence NOUN cjfa-12563 399 33 in in ADP cjfa-12563 399 34 favour favour NOUN cjfa-12563 399 35 of of ADP cjfa-12563 399 36 independence independence NOUN cjfa-12563 399 37 , , PUNCT cjfa-12563 399 38 whereas whereas SCONJ cjfa-12563 399 39 an an DET cjfa-12563 399 40 l l NOUN cjfa-12563 399 41 shape shape NOUN cjfa-12563 399 42 or or CCONJ cjfa-12563 399 43 ellipses ellipsis NOUN cjfa-12563 399 44 suggest suggest VERB cjfa-12563 399 45 dependencies dependency NOUN cjfa-12563 399 46 . . PUNCT cjfa-12563 400 1 the the PRON cjfa-12563 400 2 stronger strong ADJ cjfa-12563 400 3 the the DET cjfa-12563 400 4 dependence dependence NOUN cjfa-12563 400 5 between between ADP cjfa-12563 400 6 two two NUM cjfa-12563 400 7 return return NOUN cjfa-12563 400 8 series series NOUN cjfa-12563 400 9 , , PUNCT cjfa-12563 400 10 the the PRON cjfa-12563 400 11 higher high ADJ cjfa-12563 400 12 the the DET cjfa-12563 400 13 portfolio portfolio NOUN cjfa-12563 400 14 risk risk NOUN cjfa-12563 400 15 , , PUNCT cjfa-12563 400 16 under under ADP cjfa-12563 400 17 otherwise otherwise ADV cjfa-12563 400 18 equal equal ADJ cjfa-12563 400 19 circumstances circumstance NOUN cjfa-12563 400 20 . . PUNCT cjfa-12563 401 1 christiane christiane PROPN cjfa-12563 401 2 goodfellow goodfellow PROPN cjfa-12563 401 3 , , PUNCT cjfa-12563 401 4 christian christian PROPN cjfa-12563 401 5 salm94 salm94 NOUN cjfa-12563 401 6 copulas copula NOUN cjfa-12563 401 7 are be AUX cjfa-12563 401 8 an an DET cjfa-12563 401 9 abstract abstract ADJ cjfa-12563 401 10 concept concept NOUN cjfa-12563 401 11 in in ADP cjfa-12563 401 12 that that SCONJ cjfa-12563 401 13 they they PRON cjfa-12563 401 14 do do AUX cjfa-12563 401 15 not not PART cjfa-12563 401 16 directly directly ADV cjfa-12563 401 17 convey convey VERB cjfa-12563 401 18 the the DET cjfa-12563 401 19 var var NOUN cjfa-12563 401 20 . . PUNCT cjfa-12563 402 1 instead instead ADV cjfa-12563 402 2 , , PUNCT cjfa-12563 402 3 here here ADV cjfa-12563 402 4 is be AUX cjfa-12563 402 5 a a DET cjfa-12563 402 6 step step NOUN cjfa-12563 402 7 - - PUNCT cjfa-12563 402 8 by by ADP cjfa-12563 402 9 - - PUNCT cjfa-12563 402 10 step step NOUN cjfa-12563 402 11 procedure procedure NOUN cjfa-12563 402 12 to to PART cjfa-12563 402 13 estimate estimate VERB cjfa-12563 402 14 the the DET cjfa-12563 402 15 t t NOUN cjfa-12563 402 16 copula copula NOUN cjfa-12563 402 17 and and CCONJ cjfa-12563 402 18 then then ADV cjfa-12563 402 19 the the DET cjfa-12563 402 20 var var NOUN cjfa-12563 402 21 based base VERB cjfa-12563 402 22 on on ADP cjfa-12563 402 23 this this PRON cjfa-12563 402 24 : : PUNCT cjfa-12563 402 25 1 1 NUM cjfa-12563 402 26 ) ) PUNCT cjfa-12563 402 27 for for ADP cjfa-12563 402 28 the the DET cjfa-12563 402 29 univariate univariate ADJ cjfa-12563 402 30 margins margin NOUN cjfa-12563 402 31 , , PUNCT cjfa-12563 402 32 estimate estimate VERB cjfa-12563 402 33 the the DET cjfa-12563 402 34 kernel kernel PROPN cjfa-12563 402 35 density density PROPN cjfa-12563 402 36 . . PUNCT cjfa-12563 403 1 in in ADP cjfa-12563 403 2 addition addition NOUN cjfa-12563 403 3 , , PUNCT cjfa-12563 403 4 fit fit VERB cjfa-12563 403 5 a a DET cjfa-12563 403 6 normal normal ADJ cjfa-12563 403 7 distribution distribution NOUN cjfa-12563 403 8 and and CCONJ cjfa-12563 403 9 a a DET cjfa-12563 403 10 t t NOUN cjfa-12563 403 11 distribution distribution NOUN cjfa-12563 403 12 . . PUNCT cjfa-12563 404 1 2 2 X cjfa-12563 404 2 ) ) PUNCT cjfa-12563 404 3 plot plot NOUN cjfa-12563 404 4 the the DET cjfa-12563 404 5 marginal marginal ADJ cjfa-12563 404 6 distributions distribution NOUN cjfa-12563 404 7 from from ADP cjfa-12563 404 8 step step NOUN cjfa-12563 404 9 ( ( PUNCT cjfa-12563 404 10 1 1 NUM cjfa-12563 404 11 ) ) PUNCT cjfa-12563 404 12 . . PUNCT cjfa-12563 405 1 compare compare PROPN cjfa-12563 405 2 , , PUNCT cjfa-12563 405 3 for for ADP cjfa-12563 405 4 each each DET cjfa-12563 405 5 series series NOUN cjfa-12563 405 6 , , PUNCT cjfa-12563 405 7 the the DET cjfa-12563 405 8 kernel kernel PROPN cjfa-12563 405 9 density density PROPN cjfa-12563 405 10 , , PUNCT cjfa-12563 405 11 the the DET cjfa-12563 405 12 fitted fit VERB cjfa-12563 405 13 normal normal ADJ cjfa-12563 405 14 distribution distribution NOUN cjfa-12563 405 15 , , PUNCT cjfa-12563 405 16 and and CCONJ cjfa-12563 405 17 the the DET cjfa-12563 405 18 fitted fit VERB cjfa-12563 405 19 t t NOUN cjfa-12563 405 20 distribution distribution NOUN cjfa-12563 405 21 . . PUNCT cjfa-12563 406 1 for for ADP cjfa-12563 406 2 the the DET cjfa-12563 406 3 following follow VERB cjfa-12563 406 4 steps step NOUN cjfa-12563 406 5 , , PUNCT cjfa-12563 406 6 assume assume VERB cjfa-12563 406 7 the the DET cjfa-12563 406 8 t t NOUN cjfa-12563 406 9 distribution distribution NOUN cjfa-12563 406 10 achieves achieve VERB cjfa-12563 406 11 a a DET cjfa-12563 406 12 good good ADJ cjfa-12563 406 13 fit fit NOUN cjfa-12563 406 14 to to ADP cjfa-12563 406 15 the the DET cjfa-12563 406 16 empirical empirical ADJ cjfa-12563 406 17 kernel kernel NOUN cjfa-12563 406 18 function function NOUN cjfa-12563 406 19 . . PUNCT cjfa-12563 407 1 3 3 X cjfa-12563 407 2 ) ) PUNCT cjfa-12563 407 3 based base VERB cjfa-12563 407 4 on on ADP cjfa-12563 407 5 t t PROPN cjfa-12563 407 6 distributions distribution NOUN cjfa-12563 407 7 , , PUNCT cjfa-12563 407 8 generate generate VERB cjfa-12563 407 9 1 1 NUM cjfa-12563 407 10 - - PUNCT cjfa-12563 407 11 dimensional dimensional ADJ cjfa-12563 407 12 marginal marginal ADJ cjfa-12563 407 13 distributions distribution NOUN cjfa-12563 407 14 over over ADP cjfa-12563 407 15 a a DET cjfa-12563 407 16 uniform uniform ADJ cjfa-12563 407 17 interval interval NOUN cjfa-12563 407 18 . . PUNCT cjfa-12563 408 1 4 4 X cjfa-12563 408 2 ) ) PUNCT cjfa-12563 408 3 estimate estimate VERB cjfa-12563 408 4 the the DET cjfa-12563 408 5 t t NOUN cjfa-12563 408 6 copula copula NOUN cjfa-12563 408 7 with with ADP cjfa-12563 408 8 maximum maximum ADJ cjfa-12563 408 9 likelihood likelihood NOUN cjfa-12563 408 10 based base VERB cjfa-12563 408 11 on on ADP cjfa-12563 408 12 the the DET cjfa-12563 408 13 transformed transform VERB cjfa-12563 408 14 data datum NOUN cjfa-12563 408 15 from from ADP cjfa-12563 408 16 step step NOUN cjfa-12563 408 17 ( ( PUNCT cjfa-12563 408 18 3 3 NUM cjfa-12563 408 19 ) ) PUNCT cjfa-12563 408 20 . . PUNCT cjfa-12563 409 1 5 5 X cjfa-12563 409 2 ) ) PUNCT cjfa-12563 409 3 use use VERB cjfa-12563 409 4 the the DET cjfa-12563 409 5 value value NOUN cjfa-12563 409 6 of of ADP cjfa-12563 409 7 the the DET cjfa-12563 409 8 maximised maximised ADJ cjfa-12563 409 9 loglikelihood loglikelihood NOUN cjfa-12563 409 10 function function NOUN cjfa-12563 409 11 and and CCONJ cjfa-12563 409 12 the the DET cjfa-12563 409 13 akaike akaike ADJ cjfa-12563 409 14 information information NOUN cjfa-12563 409 15 criterion criterion NOUN cjfa-12563 409 16 ( ( PUNCT cjfa-12563 409 17 aic aic PROPN cjfa-12563 409 18 ) ) PUNCT cjfa-12563 409 19 to to PART cjfa-12563 409 20 evaluate evaluate VERB cjfa-12563 409 21 the the DET cjfa-12563 409 22 goodness goodness NOUN cjfa-12563 409 23 of of ADP cjfa-12563 409 24 fit fit NOUN cjfa-12563 409 25 of of ADP cjfa-12563 409 26 this this DET cjfa-12563 409 27 copula copula NOUN cjfa-12563 409 28 compared compare VERB cjfa-12563 409 29 to to ADP cjfa-12563 409 30 , , PUNCT cjfa-12563 409 31 for for ADP cjfa-12563 409 32 example example NOUN cjfa-12563 409 33 , , PUNCT cjfa-12563 409 34 the the DET cjfa-12563 409 35 gaussian gaussian ADJ cjfa-12563 409 36 copula copula NOUN cjfa-12563 409 37 . . PUNCT cjfa-12563 410 1 the the PRON cjfa-12563 410 2 higher high ADJ cjfa-12563 410 3 the the DET cjfa-12563 410 4 maximised maximised ADJ cjfa-12563 410 5 loglikelihood loglikelihood NOUN cjfa-12563 410 6 function function NOUN cjfa-12563 410 7 or or CCONJ cjfa-12563 410 8 the the DET cjfa-12563 410 9 aic aic PROPN cjfa-12563 410 10 , , PUNCT cjfa-12563 410 11 the the PRON cjfa-12563 410 12 better well ADJ cjfa-12563 410 13 the the DET cjfa-12563 410 14 fit fit NOUN cjfa-12563 410 15 . . PUNCT cjfa-12563 410 16 6 6 NUM cjfa-12563 410 17 ) ) PUNCT cjfa-12563 410 18 combine combine VERB cjfa-12563 410 19 the the DET cjfa-12563 410 20 best well ADV cjfa-12563 410 21 - - PUNCT cjfa-12563 410 22 fitting fit VERB cjfa-12563 410 23 copula copula NOUN cjfa-12563 410 24 with with ADP cjfa-12563 410 25 the the DET cjfa-12563 410 26 estimated estimate VERB cjfa-12563 410 27 marginal marginal ADJ cjfa-12563 410 28 distributions distribution NOUN cjfa-12563 410 29 from from ADP cjfa-12563 410 30 step step NOUN cjfa-12563 410 31 ( ( PUNCT cjfa-12563 410 32 3 3 NUM cjfa-12563 410 33 ) ) PUNCT cjfa-12563 410 34 and and CCONJ cjfa-12563 410 35 generate generate VERB cjfa-12563 410 36 artificial artificial ADJ cjfa-12563 410 37 stock stock NOUN cjfa-12563 410 38 return return NOUN cjfa-12563 410 39 data datum NOUN cjfa-12563 410 40 ( ( PUNCT cjfa-12563 410 41 simulation simulation NOUN cjfa-12563 410 42 ) ) PUNCT cjfa-12563 410 43 . . PUNCT cjfa-12563 411 1 7 7 X cjfa-12563 411 2 ) ) PUNCT cjfa-12563 411 3 determine determine VERB cjfa-12563 411 4 the the DET cjfa-12563 411 5 lowest low ADJ cjfa-12563 411 6 percentile percentile NOUN cjfa-12563 411 7 in in ADP cjfa-12563 411 8 this this DET cjfa-12563 411 9 artificial artificial ADJ cjfa-12563 411 10 distribution distribution NOUN cjfa-12563 411 11 . . PUNCT cjfa-12563 412 1 this this PRON cjfa-12563 412 2 is be AUX cjfa-12563 412 3 the the DET cjfa-12563 412 4 99 99 NUM cjfa-12563 412 5 % % NOUN cjfa-12563 412 6 copula copula NOUN cjfa-12563 412 7 - - PUNCT cjfa-12563 412 8 based base VERB cjfa-12563 412 9 var var NOUN cjfa-12563 412 10 . . PUNCT cjfa-12563 413 1 we we PRON cjfa-12563 413 2 use use VERB cjfa-12563 413 3 both both DET cjfa-12563 413 4 the the DET cjfa-12563 413 5 t t NOUN cjfa-12563 413 6 copula copula NOUN cjfa-12563 413 7 and and CCONJ cjfa-12563 413 8 the the DET cjfa-12563 413 9 gaussian gaussian ADJ cjfa-12563 413 10 copula copula NOUN cjfa-12563 413 11 in in ADP cjfa-12563 413 12 order order NOUN cjfa-12563 413 13 to to PART cjfa-12563 413 14 measure measure VERB cjfa-12563 413 15 the the DET cjfa-12563 413 16 error error NOUN cjfa-12563 413 17 of of ADP cjfa-12563 413 18 applying apply VERB cjfa-12563 413 19 the the DET cjfa-12563 413 20 normal normal ADJ cjfa-12563 413 21 distribution distribution NOUN cjfa-12563 413 22 to to ADP cjfa-12563 413 23 a a DET cjfa-12563 413 24 non non ADJ cjfa-12563 413 25 - - ADJ cjfa-12563 413 26 normally normally ADV cjfa-12563 413 27 distributed distribute VERB cjfa-12563 413 28 return return NOUN cjfa-12563 413 29 series series NOUN cjfa-12563 413 30 . . PUNCT cjfa-12563 414 1 financial financial ADJ cjfa-12563 414 2 data datum NOUN cjfa-12563 414 3 often often ADV cjfa-12563 414 4 exhibit exhibit VERB cjfa-12563 414 5 tail tail NOUN cjfa-12563 414 6 dependence dependence NOUN cjfa-12563 414 7 : : PUNCT cjfa-12563 414 8 both both DET cjfa-12563 414 9 variables variable NOUN cjfa-12563 414 10 tend tend VERB cjfa-12563 414 11 to to PART cjfa-12563 414 12 assume assume VERB cjfa-12563 414 13 very very ADV cjfa-12563 414 14 low low ADJ cjfa-12563 414 15 values value NOUN cjfa-12563 414 16 or or CCONJ cjfa-12563 414 17 very very ADV cjfa-12563 414 18 high high ADJ cjfa-12563 414 19 values value NOUN cjfa-12563 414 20 at at ADP cjfa-12563 414 21 the the DET cjfa-12563 414 22 same same ADJ cjfa-12563 414 23 time time NOUN cjfa-12563 414 24 . . PUNCT cjfa-12563 415 1 more more ADV cjfa-12563 415 2 formally formally ADV cjfa-12563 415 3 , , PUNCT cjfa-12563 415 4 lower low ADJ cjfa-12563 415 5 ( ( PUNCT cjfa-12563 415 6 upper upper ADJ cjfa-12563 415 7 ) ) PUNCT cjfa-12563 415 8 tail tail NOUN cjfa-12563 415 9 dependence dependence NOUN cjfa-12563 415 10 refers refer VERB cjfa-12563 415 11 to to ADP cjfa-12563 415 12 the the DET cjfa-12563 415 13 probability probability NOUN cjfa-12563 415 14 that that SCONJ cjfa-12563 415 15 one one NUM cjfa-12563 415 16 portfolio portfolio NOUN cjfa-12563 415 17 component component NOUN cjfa-12563 415 18 assumes assume VERB cjfa-12563 415 19 very very ADV cjfa-12563 415 20 small small ADJ cjfa-12563 415 21 ( ( PUNCT cjfa-12563 415 22 high high ADJ cjfa-12563 415 23 ) ) PUNCT cjfa-12563 415 24 values value NOUN cjfa-12563 415 25 given give VERB cjfa-12563 415 26 that that SCONJ cjfa-12563 415 27 the the DET cjfa-12563 415 28 other other ADJ cjfa-12563 415 29 component component NOUN cjfa-12563 415 30 is be AUX cjfa-12563 415 31 already already ADV cjfa-12563 415 32 very very ADV cjfa-12563 415 33 low low ADJ cjfa-12563 415 34 ( ( PUNCT cjfa-12563 415 35 high high ADJ cjfa-12563 415 36 ) ) PUNCT cjfa-12563 415 37 . . PUNCT cjfa-12563 416 1 jointly jointly ADV cjfa-12563 416 2 normally normally ADV cjfa-12563 416 3 distributed distribute VERB cjfa-12563 416 4 random random ADJ cjfa-12563 416 5 variables variable NOUN cjfa-12563 416 6 will will AUX cjfa-12563 416 7 only only ADV cjfa-12563 416 8 have have VERB cjfa-12563 416 9 tail tail NOUN cjfa-12563 416 10 dependence dependence NOUN cjfa-12563 416 11 when when SCONJ cjfa-12563 416 12 they they PRON cjfa-12563 416 13 are be AUX cjfa-12563 416 14 perfectly perfectly ADV cjfa-12563 416 15 correlated correlate VERB cjfa-12563 416 16 ( ( PUNCT cjfa-12563 416 17 rachev rachev VERB cjfa-12563 416 18 et et PROPN cjfa-12563 416 19 al al PROPN cjfa-12563 416 20 . . PROPN cjfa-12563 416 21 , , PUNCT cjfa-12563 416 22 2010 2010 NUM cjfa-12563 416 23 ) ) PUNCT cjfa-12563 416 24 . . PUNCT cjfa-12563 417 1 since since SCONJ cjfa-12563 417 2 tail tail NOUN cjfa-12563 417 3 dependence dependence NOUN cjfa-12563 417 4 is be AUX cjfa-12563 417 5 a a DET cjfa-12563 417 6 common common ADJ cjfa-12563 417 7 phenomenon phenomenon NOUN cjfa-12563 417 8 in in ADP cjfa-12563 417 9 stock stock NOUN cjfa-12563 417 10 returns return NOUN cjfa-12563 417 11 , , PUNCT cjfa-12563 417 12 and and CCONJ cjfa-12563 417 13 since since SCONJ cjfa-12563 417 14 the the DET cjfa-12563 417 15 correlation correlation NOUN cjfa-12563 417 16 between between ADP cjfa-12563 417 17 stock stock NOUN cjfa-12563 417 18 returns return NOUN cjfa-12563 417 19 is be AUX cjfa-12563 417 20 usually usually ADV cjfa-12563 417 21 found find VERB cjfa-12563 417 22 to to PART cjfa-12563 417 23 be be AUX cjfa-12563 417 24 less less ADJ cjfa-12563 417 25 than than ADP cjfa-12563 417 26 1 1 NUM cjfa-12563 417 27 , , PUNCT cjfa-12563 417 28 the the DET cjfa-12563 417 29 gaussian gaussian ADJ cjfa-12563 417 30 copula copula NOUN cjfa-12563 417 31 with with ADP cjfa-12563 417 32 normal normal ADJ cjfa-12563 417 33 marginal marginal ADJ cjfa-12563 417 34 distributions distribution NOUN cjfa-12563 417 35 is be AUX cjfa-12563 417 36 a a DET cjfa-12563 417 37 somewhat somewhat ADV cjfa-12563 417 38 risky risky ADJ cjfa-12563 417 39 choice choice NOUN cjfa-12563 417 40 as as SCONJ cjfa-12563 417 41 it it PRON cjfa-12563 417 42 will will AUX cjfa-12563 417 43 not not PART cjfa-12563 417 44 capture capture VERB cjfa-12563 417 45 joint joint ADJ cjfa-12563 417 46 movements movement NOUN cjfa-12563 417 47 in in ADP cjfa-12563 417 48 extreme extreme ADJ cjfa-12563 417 49 values value NOUN cjfa-12563 417 50 . . PUNCT cjfa-12563 418 1 this this PRON cjfa-12563 418 2 further far ADV cjfa-12563 418 3 adds add VERB cjfa-12563 418 4 to to ADP cjfa-12563 418 5 the the DET cjfa-12563 418 6 argument argument NOUN cjfa-12563 418 7 that that PRON cjfa-12563 418 8 risk risk NOUN cjfa-12563 418 9 measures measure NOUN cjfa-12563 418 10 based base VERB cjfa-12563 418 11 on on ADP cjfa-12563 418 12 the the DET cjfa-12563 418 13 unrealistic unrealistic ADJ cjfa-12563 418 14 assumption assumption NOUN cjfa-12563 418 15 that that SCONJ cjfa-12563 418 16 returns return NOUN cjfa-12563 418 17 follow follow VERB cjfa-12563 418 18 a a DET cjfa-12563 418 19 normal normal ADJ cjfa-12563 418 20 distribution distribution NOUN cjfa-12563 418 21 are be AUX cjfa-12563 418 22 likely likely ADJ cjfa-12563 418 23 to to PART cjfa-12563 418 24 underestimate underestimate VERB cjfa-12563 418 25 portfolio portfolio NOUN cjfa-12563 418 26 risk risk NOUN cjfa-12563 418 27 . . PUNCT cjfa-12563 419 1 risky risky ADJ cjfa-12563 419 2 risk risk NOUN cjfa-12563 419 3 measures measure NOUN cjfa-12563 419 4 … … PUNCT cjfa-12563 419 5 95 95 NUM cjfa-12563 419 6 we we PRON cjfa-12563 419 7 are be AUX cjfa-12563 419 8 now now ADV cjfa-12563 419 9 acquainted acquaint VERB cjfa-12563 419 10 with with ADP cjfa-12563 419 11 three three NUM cjfa-12563 419 12 risk risk NOUN cjfa-12563 419 13 measures measure NOUN cjfa-12563 419 14 : : PUNCT cjfa-12563 419 15 the the DET cjfa-12563 419 16 markowitz markowitz PROPN cjfa-12563 419 17 ( ( PUNCT cjfa-12563 419 18 1952 1952 NUM cjfa-12563 419 19 ) ) PUNCT cjfa-12563 419 20 portfolio portfolio NOUN cjfa-12563 419 21 variance variance NOUN cjfa-12563 419 22 , , PUNCT cjfa-12563 419 23 the the DET cjfa-12563 419 24 value value NOUN cjfa-12563 419 25 at at ADP cjfa-12563 419 26 risk risk NOUN cjfa-12563 419 27 based base VERB cjfa-12563 419 28 on on ADP cjfa-12563 419 29 the the DET cjfa-12563 419 30 historical historical ADJ cjfa-12563 419 31 return return NOUN cjfa-12563 419 32 distribution distribution NOUN cjfa-12563 419 33 , , PUNCT cjfa-12563 419 34 and and CCONJ cjfa-12563 419 35 the the DET cjfa-12563 419 36 value value NOUN cjfa-12563 419 37 at at ADP cjfa-12563 419 38 risk risk NOUN cjfa-12563 419 39 based base VERB cjfa-12563 419 40 on on ADP cjfa-12563 419 41 gaussian gaussian NOUN cjfa-12563 419 42 and and CCONJ cjfa-12563 419 43 t t NOUN cjfa-12563 419 44 copulas copula NOUN cjfa-12563 419 45 . . PUNCT cjfa-12563 420 1 we we PRON cjfa-12563 420 2 will will AUX cjfa-12563 420 3 now now ADV cjfa-12563 420 4 apply apply VERB cjfa-12563 420 5 these these DET cjfa-12563 420 6 risk risk NOUN cjfa-12563 420 7 measures measure NOUN cjfa-12563 420 8 to to ADP cjfa-12563 420 9 the the DET cjfa-12563 420 10 same same ADJ cjfa-12563 420 11 dataset dataset NOUN cjfa-12563 420 12 and and CCONJ cjfa-12563 420 13 compare compare VERB cjfa-12563 420 14 the the DET cjfa-12563 420 15 results result NOUN cjfa-12563 420 16 . . PUNCT cjfa-12563 421 1 we we PRON cjfa-12563 421 2 expect expect VERB cjfa-12563 421 3 that that SCONJ cjfa-12563 421 4 the the DET cjfa-12563 421 5 portfolio portfolio NOUN cjfa-12563 421 6 variance variance NOUN cjfa-12563 421 7 will will AUX cjfa-12563 421 8 underestimate underestimate VERB cjfa-12563 421 9 risk risk NOUN cjfa-12563 421 10 as as SCONJ cjfa-12563 421 11 it it PRON cjfa-12563 421 12 ignores ignore VERB cjfa-12563 421 13 nonlinear nonlinear ADJ cjfa-12563 421 14 dependencies dependency NOUN cjfa-12563 421 15 . . PUNCT cjfa-12563 422 1 likewise likewise ADV cjfa-12563 422 2 , , PUNCT cjfa-12563 422 3 the the DET cjfa-12563 422 4 normal normal ADJ cjfa-12563 422 5 assumption assumption NOUN cjfa-12563 422 6 leads lead VERB cjfa-12563 422 7 to to ADP cjfa-12563 422 8 underestimating underestimate VERB cjfa-12563 422 9 risk risk NOUN cjfa-12563 422 10 with with ADP cjfa-12563 422 11 the the DET cjfa-12563 422 12 value value NOUN cjfa-12563 422 13 at at ADP cjfa-12563 422 14 risk risk NOUN cjfa-12563 422 15 and and CCONJ cjfa-12563 422 16 the the DET cjfa-12563 422 17 gaussian gaussian ADJ cjfa-12563 422 18 copula copula NOUN cjfa-12563 422 19 approaches approach NOUN cjfa-12563 422 20 . . PUNCT cjfa-12563 423 1 as as ADP cjfa-12563 423 2 a a DET cjfa-12563 423 3 result result NOUN cjfa-12563 423 4 , , PUNCT cjfa-12563 423 5 we we PRON cjfa-12563 423 6 expect expect VERB cjfa-12563 423 7 the the DET cjfa-12563 423 8 t t PROPN cjfa-12563 423 9 copula copula NOUN cjfa-12563 423 10 based base VERB cjfa-12563 423 11 var var NOUN cjfa-12563 423 12 to to PART cjfa-12563 423 13 be be AUX cjfa-12563 423 14 the the DET cjfa-12563 423 15 most most ADV cjfa-12563 423 16 accurate accurate ADJ cjfa-12563 423 17 risk risk NOUN cjfa-12563 423 18 measure measure NOUN cjfa-12563 423 19 among among ADP cjfa-12563 423 20 the the DET cjfa-12563 423 21 three three NUM cjfa-12563 423 22 investigated investigate VERB cjfa-12563 423 23 here here ADV cjfa-12563 423 24 . . PUNCT cjfa-12563 424 1 data datum NOUN cjfa-12563 424 2     SPACE cjfa-12563 424 3 and and CCONJ cjfa-12563 424 4     SPACE cjfa-12563 424 5 empirical empirical ADJ cjfa-12563 424 6     SPACE cjfa-12563 424 7 results result NOUN cjfa-12563 424 8 we we PRON cjfa-12563 424 9 use use VERB cjfa-12563 424 10 daily daily ADJ cjfa-12563 424 11 stock stock NOUN cjfa-12563 424 12 price price NOUN cjfa-12563 424 13 data datum NOUN cjfa-12563 424 14 from from ADP cjfa-12563 424 15 yahoo yahoo PROPN cjfa-12563 424 16 finance finance NOUN cjfa-12563 424 17 from from ADP cjfa-12563 424 18 30 30 NUM cjfa-12563 424 19 december december PROPN cjfa-12563 424 20 2010 2010 NUM cjfa-12563 424 21 to to ADP cjfa-12563 424 22 12 12 NUM cjfa-12563 424 23 september september PROPN cjfa-12563 424 24 2016 2016 NUM cjfa-12563 424 25 in in ADP cjfa-12563 424 26 order order NOUN cjfa-12563 424 27 to to PART cjfa-12563 424 28 calculate calculate VERB cjfa-12563 424 29 continuously continuously ADV cjfa-12563 424 30 compounded compound VERB cjfa-12563 424 31 returns return NOUN cjfa-12563 424 32 , , PUNCT cjfa-12563 424 33 resulting result VERB cjfa-12563 424 34 in in ADP cjfa-12563 424 35 1,484 1,484 NUM cjfa-12563 424 36 return return NOUN cjfa-12563 424 37 observations observation NOUN cjfa-12563 424 38 for for ADP cjfa-12563 424 39 the the DET cjfa-12563 424 40 4 4 NUM cjfa-12563 424 41 german german ADJ cjfa-12563 424 42 stocks stock NOUN cjfa-12563 424 43 daimler daimler NOUN cjfa-12563 424 44 , , PUNCT cjfa-12563 424 45 bmw bmw PROPN cjfa-12563 424 46 , , PUNCT cjfa-12563 424 47 basf basf PROPN cjfa-12563 424 48 , , PUNCT cjfa-12563 424 49 and and CCONJ cjfa-12563 424 50 sap sap PROPN cjfa-12563 424 51 from from ADP cjfa-12563 424 52 01 01 NUM cjfa-12563 424 53 january january PROPN cjfa-12563 424 54 2011 2011 NUM cjfa-12563 424 55 to to ADP cjfa-12563 424 56 12 12 NUM cjfa-12563 424 57 september september PROPN cjfa-12563 424 58 2016 2016 NUM cjfa-12563 424 59 . . PUNCT cjfa-12563 425 1 all all DET cjfa-12563 425 2 4 4 NUM cjfa-12563 425 3 stocks stock NOUN cjfa-12563 425 4 are be AUX cjfa-12563 425 5 included include VERB cjfa-12563 425 6 in in ADP cjfa-12563 425 7 the the DET cjfa-12563 425 8 dax dax PROPN cjfa-12563 425 9 index index NOUN cjfa-12563 425 10 , , PUNCT cjfa-12563 425 11 which which PRON cjfa-12563 425 12 is be AUX cjfa-12563 425 13 the the DET cjfa-12563 425 14 bluechip bluechip NOUN cjfa-12563 425 15 index index NOUN cjfa-12563 425 16 of of ADP cjfa-12563 425 17 the the DET cjfa-12563 425 18 30 30 NUM cjfa-12563 425 19 largest large ADJ cjfa-12563 425 20 german german ADJ cjfa-12563 425 21 companies company NOUN cjfa-12563 425 22 traded trade VERB cjfa-12563 425 23 at at ADP cjfa-12563 425 24 deutsche deutsche X cjfa-12563 425 25 börse börse NOUN cjfa-12563 425 26 in in ADP cjfa-12563 425 27 frankfurt frankfurt PROPN cjfa-12563 425 28 . . PUNCT cjfa-12563 426 1 the the DET cjfa-12563 426 2 q q ADJ cjfa-12563 426 3 - - PUNCT cjfa-12563 426 4 q q NOUN cjfa-12563 426 5 - - PUNCT cjfa-12563 426 6 plots plot NOUN cjfa-12563 426 7 of of ADP cjfa-12563 426 8 the the DET cjfa-12563 426 9 return return NOUN cjfa-12563 426 10 data datum NOUN cjfa-12563 426 11 for for ADP cjfa-12563 426 12 all all DET cjfa-12563 426 13 4 4 NUM cjfa-12563 426 14 stocks stock NOUN cjfa-12563 426 15 are be AUX cjfa-12563 426 16 shown show VERB cjfa-12563 426 17 in in ADP cjfa-12563 426 18 figure figure NOUN cjfa-12563 426 19 1 1 NUM cjfa-12563 426 20 . . PUNCT cjfa-12563 427 1 they they PRON cjfa-12563 427 2 indicate indicate VERB cjfa-12563 427 3 that that SCONJ cjfa-12563 427 4 ( ( PUNCT cjfa-12563 427 5 i i NOUN cjfa-12563 427 6 ) ) PUNCT cjfa-12563 427 7 the the DET cjfa-12563 427 8 return return NOUN cjfa-12563 427 9 distributions distribution NOUN cjfa-12563 427 10 are be AUX cjfa-12563 427 11 asymmetric asymmetric ADJ cjfa-12563 427 12 in in SCONJ cjfa-12563 427 13 that that SCONJ cjfa-12563 427 14 the the DET cjfa-12563 427 15 left left ADJ cjfa-12563 427 16 tail tail NOUN cjfa-12563 427 17 is be AUX cjfa-12563 427 18 fatter fat ADJ cjfa-12563 427 19 than than ADP cjfa-12563 427 20 the the DET cjfa-12563 427 21 right right ADJ cjfa-12563 427 22 tail tail NOUN cjfa-12563 427 23 and and CCONJ cjfa-12563 427 24 that that SCONJ cjfa-12563 427 25 ( ( PUNCT cjfa-12563 427 26 ii ii NOUN cjfa-12563 427 27 ) ) PUNCT cjfa-12563 427 28 the the DET cjfa-12563 427 29 normal normal ADJ cjfa-12563 427 30 assumption assumption NOUN cjfa-12563 427 31 along along ADP cjfa-12563 427 32 the the DET cjfa-12563 427 33 diagonal diagonal ADJ cjfa-12563 427 34 line line NOUN cjfa-12563 427 35 is be AUX cjfa-12563 427 36 violated violate VERB cjfa-12563 427 37 at at ADP cjfa-12563 427 38 the the DET cjfa-12563 427 39 95 95 NUM cjfa-12563 427 40 % % NOUN cjfa-12563 427 41 confidence confidence NOUN cjfa-12563 427 42 level level NOUN cjfa-12563 427 43 in in ADP cjfa-12563 427 44 the the DET cjfa-12563 427 45 left left ADJ cjfa-12563 427 46 tail tail NOUN cjfa-12563 427 47 . . PUNCT cjfa-12563 428 1 this this PRON cjfa-12563 428 2 confirms confirm VERB cjfa-12563 428 3 that that SCONJ cjfa-12563 428 4 risk risk NOUN cjfa-12563 428 5 measures measure NOUN cjfa-12563 428 6 based base VERB cjfa-12563 428 7 on on ADP cjfa-12563 428 8 the the DET cjfa-12563 428 9 normal normal ADJ cjfa-12563 428 10 assumption assumption NOUN cjfa-12563 428 11 will will AUX cjfa-12563 428 12 underestimate underestimate VERB cjfa-12563 428 13 the the DET cjfa-12563 428 14 risk risk NOUN cjfa-12563 428 15 a a DET cjfa-12563 428 16 financial financial ADJ cjfa-12563 428 17 institution institution NOUN cjfa-12563 428 18 faces face VERB cjfa-12563 428 19 . . PUNCT cjfa-12563 429 1 while while SCONJ cjfa-12563 429 2 the the DET cjfa-12563 429 3 normal normal ADJ cjfa-12563 429 4 assumption assumption NOUN cjfa-12563 429 5 can can AUX cjfa-12563 429 6 not not PART cjfa-12563 429 7 be be AUX cjfa-12563 429 8 rejected reject VERB cjfa-12563 429 9 in in ADP cjfa-12563 429 10 the the DET cjfa-12563 429 11 upper upper ADJ cjfa-12563 429 12 tail tail NOUN cjfa-12563 429 13 of of ADP cjfa-12563 429 14 the the DET cjfa-12563 429 15 daimler daimler NOUN cjfa-12563 429 16 return return NOUN cjfa-12563 429 17 distribution distribution NOUN cjfa-12563 429 18 , , PUNCT cjfa-12563 429 19 it it PRON cjfa-12563 429 20 is be AUX cjfa-12563 429 21 violated violate VERB cjfa-12563 429 22 just just ADV cjfa-12563 429 23 like like INTJ cjfa-12563 429 24 at at ADP cjfa-12563 429 25 the the DET cjfa-12563 429 26 bottom bottom ADJ cjfa-12563 429 27 end end NOUN cjfa-12563 429 28 of of ADP cjfa-12563 429 29 the the DET cjfa-12563 429 30 distribution distribution NOUN cjfa-12563 429 31 for for ADP cjfa-12563 429 32 bmw bmw PROPN cjfa-12563 429 33 , , PUNCT cjfa-12563 429 34 basf basf PROPN cjfa-12563 429 35 , , PUNCT cjfa-12563 429 36 and and CCONJ cjfa-12563 429 37 sap sap PROPN cjfa-12563 429 38 . . PUNCT cjfa-12563 430 1 christiane christiane PROPN cjfa-12563 430 2 goodfellow goodfellow PROPN cjfa-12563 430 3 , , PUNCT cjfa-12563 430 4 christian christian PROPN cjfa-12563 430 5 salm96 salm96 ADJ cjfa-12563 430 6 figure figure NOUN cjfa-12563 430 7 1 1 NUM cjfa-12563 430 8 . . PUNCT cjfa-12563 431 1 q q X cjfa-12563 431 2 - - PUNCT cjfa-12563 431 3 q q NOUN cjfa-12563 431 4 - - PUNCT cjfa-12563 431 5 plots plot NOUN cjfa-12563 431 6 for for ADP cjfa-12563 431 7 continuous continuous ADJ cjfa-12563 431 8 daily daily ADJ cjfa-12563 431 9 returns return NOUN cjfa-12563 431 10 of of ADP cjfa-12563 431 11 daimler daimler NOUN cjfa-12563 431 12 , , PUNCT cjfa-12563 431 13 bmw bmw PROPN cjfa-12563 431 14 , , PUNCT cjfa-12563 431 15 basf basf PROPN cjfa-12563 431 16 and and CCONJ cjfa-12563 431 17 sap sap PROPN cjfa-12563 431 18 from from ADP cjfa-12563 431 19 1 1 NUM cjfa-12563 431 20 january january PROPN cjfa-12563 431 21 2011 2011 NUM cjfa-12563 431 22 to to ADP cjfa-12563 431 23 12 12 NUM cjfa-12563 431 24 september september PROPN cjfa-12563 431 25 2016 2016 NUM cjfa-12563 431 26 s s NOUN cjfa-12563 431 27 o o NOUN cjfa-12563 431 28 u u NOUN cjfa-12563 431 29 r r NOUN cjfa-12563 431 30 c c NOUN cjfa-12563 431 31 e e NOUN cjfa-12563 431 32 : : PUNCT cjfa-12563 431 33 developed develop VERB cjfa-12563 431 34 by by ADP cjfa-12563 431 35 author author NOUN cjfa-12563 431 36 . . PUNCT cjfa-12563 432 1 the the DET cjfa-12563 432 2 descriptive descriptive ADJ cjfa-12563 432 3 statistics statistic NOUN cjfa-12563 432 4 for for ADP cjfa-12563 432 5 the the DET cjfa-12563 432 6 4 4 NUM cjfa-12563 432 7 return return NOUN cjfa-12563 432 8 series series NOUN cjfa-12563 432 9 are be AUX cjfa-12563 432 10 given give VERB cjfa-12563 432 11 in in ADP cjfa-12563 432 12 table table NOUN cjfa-12563 432 13 1 1 NUM cjfa-12563 432 14 . . PUNCT cjfa-12563 432 15 risky risky ADJ cjfa-12563 432 16 risk risk NOUN cjfa-12563 432 17 measures measure NOUN cjfa-12563 432 18 … … PUNCT cjfa-12563 432 19 97 97 NUM cjfa-12563 432 20 table table NOUN cjfa-12563 432 21 1 1 NUM cjfa-12563 432 22 . . PUNCT cjfa-12563 432 23 descriptive descriptive ADJ cjfa-12563 432 24 statistics statistic NOUN cjfa-12563 432 25 for for ADP cjfa-12563 432 26 return return NOUN cjfa-12563 432 27 series series NOUN cjfa-12563 432 28 of of ADP cjfa-12563 432 29 daimler daimler PROPN cjfa-12563 432 30 , , PUNCT cjfa-12563 432 31 bmw bmw PROPN cjfa-12563 432 32 , , PUNCT cjfa-12563 432 33 basf basf PROPN cjfa-12563 432 34 , , PUNCT cjfa-12563 432 35 and and CCONJ cjfa-12563 432 36 sap sap PROPN cjfa-12563 432 37 from from ADP cjfa-12563 432 38 1 1 NUM cjfa-12563 432 39 january january PROPN cjfa-12563 432 40 2011 2011 NUM cjfa-12563 432 41 to to ADP cjfa-12563 432 42 12 12 NUM cjfa-12563 432 43 september september PROPN cjfa-12563 432 44 2016 2016 NUM cjfa-12563 432 45 daimler daimler PROPN cjfa-12563 432 46 bmw bmw PROPN cjfa-12563 432 47 basf basf PROPN cjfa-12563 432 48 sap sap PROPN cjfa-12563 432 49 number number NOUN cjfa-12563 432 50 of of ADP cjfa-12563 432 51 observations observation NOUN cjfa-12563 432 52 1484 1484 NUM cjfa-12563 432 53 1484 1484 NUM cjfa-12563 432 54 1484 1484 NUM cjfa-12563 432 55 1484 1484 NUM cjfa-12563 432 56 median median NOUN cjfa-12563 432 57 0,01728 0,01728 NOUN cjfa-12563 432 58 0,00000 0,00000 NUM cjfa-12563 432 59 0,03981 0,03981 NOUN cjfa-12563 432 60 0,06012 0,06012 NOUN cjfa-12563 432 61 mean mean VERB cjfa-12563 432 62 0,03105 0,03105 PROPN cjfa-12563 432 63 0,02979 0,02979 NUM cjfa-12563 432 64 0,02648 0,02648 PROPN cjfa-12563 432 65 0,05506 0,05506 PROPN cjfa-12563 432 66 variance variance NOUN cjfa-12563 432 67 3,49495 3,49495 NUM cjfa-12563 432 68 3,50909 3,50909 NUM cjfa-12563 433 1 2,65169 2,65169 NUM cjfa-12563 433 2 1,84047 1,84047 NUM cjfa-12563 433 3 standard standard ADJ cjfa-12563 433 4 deviation deviation NOUN cjfa-12563 433 5 1,86948 1,86948 NUM cjfa-12563 433 6 1,87326 1,87326 NUM cjfa-12563 433 7 1,62840 1,62840 NUM cjfa-12563 433 8 1,35664 1,35664 NUM cjfa-12563 433 9 skewness skewness NOUN cjfa-12563 433 10 -0,22993 -0,22993 PROPN cjfa-12563 433 11 -0,16826 -0,16826 PROPN cjfa-12563 433 12 -0,16072 -0,16072 PROPN cjfa-12563 433 13 -0,33708 -0,33708 PROPN cjfa-12563 433 14 kurtosis kurtosis NOUN cjfa-12563 433 15 1,50169 1,50169 NUM cjfa-12563 433 16 1,55853 1,55853 ADJ cjfa-12563 433 17 1,31826 1,31826 NUM cjfa-12563 433 18 2,41099 2,41099 NUM cjfa-12563 433 19 correlation correlation NOUN cjfa-12563 433 20 coefficient coefficient NOUN cjfa-12563 433 21 0,84 0,84 SYM cjfa-12563 433 22 0,64 0,64 NUM cjfa-12563 433 23 figures figure NOUN cjfa-12563 433 24 reported report VERB cjfa-12563 433 25 in in ADP cjfa-12563 433 26 this this DET cjfa-12563 433 27 table table NOUN cjfa-12563 433 28 are be AUX cjfa-12563 433 29 based base VERB cjfa-12563 433 30 on on ADP cjfa-12563 433 31 source source NOUN cjfa-12563 433 32 : : PUNCT cjfa-12563 433 33 developed develop VERB cjfa-12563 433 34 by by ADP cjfa-12563 433 35 author author NOUN cjfa-12563 433 36 . . PUNCT cjfa-12563 434 1 the the DET cjfa-12563 434 2 descriptive descriptive ADJ cjfa-12563 434 3 statistics statistic NOUN cjfa-12563 434 4 for for ADP cjfa-12563 434 5 the the DET cjfa-12563 434 6 4 4 NUM cjfa-12563 434 7 return return NOUN cjfa-12563 434 8 series series NOUN cjfa-12563 434 9 are be AUX cjfa-12563 434 10 given give VERB cjfa-12563 434 11 in in ADP cjfa-12563 434 12 table table NOUN cjfa-12563 434 13 1 1 NUM cjfa-12563 434 14 . . PUNCT cjfa-12563 434 15 table table NOUN cjfa-12563 434 16 1 1 NUM cjfa-12563 434 17 . . PUNCT cjfa-12563 434 18 descriptive descriptive ADJ cjfa-12563 434 19 statistics statistic NOUN cjfa-12563 434 20 for for ADP cjfa-12563 434 21 return return NOUN cjfa-12563 434 22 series series NOUN cjfa-12563 434 23 of of ADP cjfa-12563 434 24 daimler daimler PROPN cjfa-12563 434 25 , , PUNCT cjfa-12563 434 26 bmw bmw PROPN cjfa-12563 434 27 , , PUNCT cjfa-12563 434 28 basf basf PROPN cjfa-12563 434 29 , , PUNCT cjfa-12563 434 30 and and CCONJ cjfa-12563 434 31 sap sap PROPN cjfa-12563 434 32 from from ADP cjfa-12563 434 33 1 1 NUM cjfa-12563 434 34 january january PROPN cjfa-12563 434 35 2011 2011 NUM cjfa-12563 434 36 to to ADP cjfa-12563 434 37 12 12 NUM cjfa-12563 434 38 september september PROPN cjfa-12563 434 39 2016 2016 NUM cjfa-12563 434 40 daimler daimler PROPN cjfa-12563 434 41 bmw bmw PROPN cjfa-12563 434 42 basf basf PROPN cjfa-12563 434 43 sap sap PROPN cjfa-12563 434 44 number number NOUN cjfa-12563 434 45 of of ADP cjfa-12563 434 46 observations observation NOUN cjfa-12563 434 47 1484 1484 NUM cjfa-12563 434 48 1484 1484 NUM cjfa-12563 434 49 1484 1484 NUM cjfa-12563 434 50 1484 1484 NUM cjfa-12563 434 51 median median NOUN cjfa-12563 434 52 0,01728 0,01728 NOUN cjfa-12563 434 53 0,00000 0,00000 NUM cjfa-12563 434 54 0,03981 0,03981 NOUN cjfa-12563 434 55 0,06012 0,06012 NOUN cjfa-12563 434 56 mean mean VERB cjfa-12563 434 57 0,03105 0,03105 PROPN cjfa-12563 434 58 0,02979 0,02979 NUM cjfa-12563 434 59 0,02648 0,02648 PROPN cjfa-12563 434 60 0,05506 0,05506 PROPN cjfa-12563 434 61 variance variance NOUN cjfa-12563 434 62 3,49495 3,49495 NUM cjfa-12563 434 63 3,50909 3,50909 NUM cjfa-12563 435 1 2,65169 2,65169 NUM cjfa-12563 435 2 1,84047 1,84047 NUM cjfa-12563 435 3 standard standard ADJ cjfa-12563 435 4 deviation deviation NOUN cjfa-12563 435 5 1,86948 1,86948 NUM cjfa-12563 435 6 1,87326 1,87326 NUM cjfa-12563 435 7 1,62840 1,62840 NUM cjfa-12563 435 8 1,35664 1,35664 NUM cjfa-12563 435 9 skewness skewness NOUN cjfa-12563 435 10 -0,22993 -0,22993 PROPN cjfa-12563 435 11 -0,16826 -0,16826 PROPN cjfa-12563 435 12 -0,16072 -0,16072 PROPN cjfa-12563 435 13 -0,33708 -0,33708 PROPN cjfa-12563 435 14 kurtosis kurtosis NOUN cjfa-12563 435 15 1,50169 1,50169 NUM cjfa-12563 435 16 1,55853 1,55853 ADJ cjfa-12563 435 17 1,31826 1,31826 NUM cjfa-12563 435 18 2,41099 2,41099 NUM cjfa-12563 435 19 correlation correlation NOUN cjfa-12563 435 20 coefficient coefficient NOUN cjfa-12563 435 21 0,84 0,84 SYM cjfa-12563 435 22 0,64 0,64 NUM cjfa-12563 435 23 figures figure NOUN cjfa-12563 435 24 reported report VERB cjfa-12563 435 25 in in ADP cjfa-12563 435 26 this this DET cjfa-12563 435 27 table table NOUN cjfa-12563 435 28 are be AUX cjfa-12563 435 29 based base VERB cjfa-12563 435 30 on on ADP cjfa-12563 435 31 . . PUNCT cjfa-12563 436 1 in in ADP cjfa-12563 436 2 the the DET cjfa-12563 436 3 markowitz markowitz PROPN cjfa-12563 436 4 ( ( PUNCT cjfa-12563 436 5 1952 1952 NUM cjfa-12563 436 6 ) ) PUNCT cjfa-12563 436 7 world world NOUN cjfa-12563 436 8 , , PUNCT cjfa-12563 436 9 this this DET cjfa-12563 436 10 table table NOUN cjfa-12563 436 11 gives give VERB cjfa-12563 436 12 sufficient sufficient ADJ cjfa-12563 436 13 risk risk NOUN cjfa-12563 436 14 measures measure NOUN cjfa-12563 436 15 in in ADP cjfa-12563 436 16 that that SCONJ cjfa-12563 436 17 it it PRON cjfa-12563 436 18 lists list VERB cjfa-12563 436 19 standard standard ADJ cjfa-12563 436 20 deviations deviation NOUN cjfa-12563 436 21 as as ADV cjfa-12563 436 22 well well ADV cjfa-12563 436 23 as as ADP cjfa-12563 436 24 correlation correlation NOUN cjfa-12563 436 25 coefficients coefficient NOUN cjfa-12563 436 26 . . PUNCT cjfa-12563 437 1 the the DET cjfa-12563 437 2 latter latter ADJ cjfa-12563 437 3 are be AUX cjfa-12563 437 4 needed need VERB cjfa-12563 437 5 to to PART cjfa-12563 437 6 calculate calculate VERB cjfa-12563 437 7 the the DET cjfa-12563 437 8 return return NOUN cjfa-12563 437 9 covariances covariance NOUN cjfa-12563 437 10 inside inside ADP cjfa-12563 437 11 a a DET cjfa-12563 437 12 portfolio portfolio NOUN cjfa-12563 437 13 . . PUNCT cjfa-12563 437 14 . . PUNCT cjfa-12563 438 1 in in ADP cjfa-12563 438 2 the the DET cjfa-12563 438 3 markowitz markowitz PROPN cjfa-12563 438 4 ( ( PUNCT cjfa-12563 438 5 1952 1952 NUM cjfa-12563 438 6 ) ) PUNCT cjfa-12563 438 7 world world NOUN cjfa-12563 438 8 , , PUNCT cjfa-12563 438 9 this this DET cjfa-12563 438 10 table table NOUN cjfa-12563 438 11 gives give VERB cjfa-12563 438 12 sufficient sufficient ADJ cjfa-12563 438 13 risk risk NOUN cjfa-12563 438 14 measures measure NOUN cjfa-12563 438 15 in in ADP cjfa-12563 438 16 that that SCONJ cjfa-12563 438 17 it it PRON cjfa-12563 438 18 lists list VERB cjfa-12563 438 19 standard standard ADJ cjfa-12563 438 20 deviations deviation NOUN cjfa-12563 438 21 as as ADV cjfa-12563 438 22 well well ADV cjfa-12563 438 23 as as ADP cjfa-12563 438 24 correlation correlation NOUN cjfa-12563 438 25 coefficients coefficient NOUN cjfa-12563 438 26 . . PUNCT cjfa-12563 439 1 the the DET cjfa-12563 439 2 latter latter ADJ cjfa-12563 439 3 are be AUX cjfa-12563 439 4 needed need VERB cjfa-12563 439 5 to to PART cjfa-12563 439 6 calculate calculate VERB cjfa-12563 439 7 the the DET cjfa-12563 439 8 return return NOUN cjfa-12563 439 9 covariances covariance NOUN cjfa-12563 439 10 inside inside ADP cjfa-12563 439 11 a a DET cjfa-12563 439 12 portfolio portfolio NOUN cjfa-12563 439 13 . . PUNCT cjfa-12563 440 1 s s PART cjfa-12563 440 2 o o X cjfa-12563 440 3 u u NOUN cjfa-12563 440 4 r r NOUN cjfa-12563 440 5 c c NOUN cjfa-12563 440 6 e e NOUN cjfa-12563 440 7 : : PUNCT cjfa-12563 440 8 developed develop VERB cjfa-12563 440 9 by by ADP cjfa-12563 440 10 author author NOUN cjfa-12563 440 11 . . PUNCT cjfa-12563 441 1 table table NOUN cjfa-12563 441 2 1 1 NUM cjfa-12563 441 3 shows show VERB cjfa-12563 441 4 that that SCONJ cjfa-12563 441 5 daimler daimler NOUN cjfa-12563 441 6 and and CCONJ cjfa-12563 441 7 bmw bmw PROPN cjfa-12563 441 8 are be AUX cjfa-12563 441 9 riskier risky ADJ cjfa-12563 441 10 individual individual ADJ cjfa-12563 441 11 investments investment NOUN cjfa-12563 441 12 than than ADP cjfa-12563 441 13 basf basf PROPN cjfa-12563 441 14 and and CCONJ cjfa-12563 441 15 sap sap PROPN cjfa-12563 441 16 in in ADP cjfa-12563 441 17 the the DET cjfa-12563 441 18 2011 2011 NUM cjfa-12563 441 19 to to ADP cjfa-12563 441 20 2016 2016 NUM cjfa-12563 441 21 period period NOUN cjfa-12563 441 22 . . PUNCT cjfa-12563 442 1 despite despite SCONJ cjfa-12563 442 2 having have VERB cjfa-12563 442 3 the the DET cjfa-12563 442 4 lowest low ADJ cjfa-12563 442 5 standard standard ADJ cjfa-12563 442 6 deviation deviation NOUN cjfa-12563 442 7 among among ADP cjfa-12563 442 8 the the DET cjfa-12563 442 9 4 4 NUM cjfa-12563 442 10 stocks stock NOUN cjfa-12563 442 11 , , PUNCT cjfa-12563 442 12 sap sap PROPN cjfa-12563 442 13 also also ADV cjfa-12563 442 14 scores score VERB cjfa-12563 442 15 the the DET cjfa-12563 442 16 highest high ADJ cjfa-12563 442 17 mean mean ADJ cjfa-12563 442 18 and and CCONJ cjfa-12563 442 19 median median ADJ cjfa-12563 442 20 return return NOUN cjfa-12563 442 21 . . PUNCT cjfa-12563 443 1 combining combine VERB cjfa-12563 443 2 basf basf PROPN cjfa-12563 443 3 and and CCONJ cjfa-12563 443 4 sap sap PROPN cjfa-12563 443 5 into into ADP cjfa-12563 443 6 a a DET cjfa-12563 443 7 portfolio portfolio NOUN cjfa-12563 443 8 should should AUX cjfa-12563 443 9 be be AUX cjfa-12563 443 10 more more ADV cjfa-12563 443 11 riskreducing riskreducing ADJ cjfa-12563 443 12 than than ADP cjfa-12563 443 13 combining combine VERB cjfa-12563 443 14 daimler daimler NOUN cjfa-12563 443 15 and and CCONJ cjfa-12563 443 16 bmw bmw PROPN cjfa-12563 443 17 , , PUNCT cjfa-12563 443 18 as as SCONJ cjfa-12563 443 19 the the DET cjfa-12563 443 20 correlation correlation NOUN cjfa-12563 443 21 coefficient coefficient NOUN cjfa-12563 443 22 between between ADP cjfa-12563 443 23 the the DET cjfa-12563 443 24 former former ADJ cjfa-12563 443 25 is be AUX cjfa-12563 443 26 lower low ADJ cjfa-12563 443 27 than than ADP cjfa-12563 443 28 for for ADP cjfa-12563 443 29 the the DET cjfa-12563 443 30 latter latter ADJ cjfa-12563 443 31 . . PUNCT cjfa-12563 444 1 in in ADP cjfa-12563 444 2 other other ADJ cjfa-12563 444 3 words word NOUN cjfa-12563 444 4 , , PUNCT cjfa-12563 444 5 basf basf PROPN cjfa-12563 444 6 and and CCONJ cjfa-12563 444 7 sap sap PROPN cjfa-12563 444 8 absorb absorb PROPN cjfa-12563 444 9 , , PUNCT cjfa-12563 444 10 respectively respectively ADV cjfa-12563 444 11 , , PUNCT cjfa-12563 444 12 more more ADJ cjfa-12563 444 13 of of ADP cjfa-12563 444 14 each each DET cjfa-12563 444 15 other other ADJ cjfa-12563 444 16 ’s ’s PART cjfa-12563 444 17 losses loss NOUN cjfa-12563 444 18 than than SCONJ cjfa-12563 444 19 is be AUX cjfa-12563 444 20 the the DET cjfa-12563 444 21 case case NOUN cjfa-12563 444 22 for for ADP cjfa-12563 444 23 daimler daimler NOUN cjfa-12563 444 24 and and CCONJ cjfa-12563 444 25 bmw bmw PROPN cjfa-12563 444 26 . . PUNCT cjfa-12563 445 1 this this PRON cjfa-12563 445 2 is be AUX cjfa-12563 445 3 not not PART cjfa-12563 445 4 surprising surprising ADJ cjfa-12563 445 5 as as ADP cjfa-12563 445 6 2 2 NUM cjfa-12563 445 7 automobile automobile NOUN cjfa-12563 445 8 stocks stock NOUN cjfa-12563 445 9 will will AUX cjfa-12563 445 10 move move VERB cjfa-12563 445 11 more more ADV cjfa-12563 445 12 closely closely ADV cjfa-12563 445 13 together together ADV cjfa-12563 445 14 than than ADP cjfa-12563 445 15 a a DET cjfa-12563 445 16 better well ADV cjfa-12563 445 17 diversified diversified ADJ cjfa-12563 445 18 portfolio portfolio NOUN cjfa-12563 445 19 of of ADP cjfa-12563 445 20 basf basf PROPN cjfa-12563 445 21 and and CCONJ cjfa-12563 445 22 sap sap PROPN cjfa-12563 445 23 . . PUNCT cjfa-12563 446 1 it it PRON cjfa-12563 446 2 should should AUX cjfa-12563 446 3 be be AUX cjfa-12563 446 4 noted note VERB cjfa-12563 446 5 that that SCONJ cjfa-12563 446 6 the the DET cjfa-12563 446 7 markowitz markowitz PROPN cjfa-12563 446 8 ( ( PUNCT cjfa-12563 446 9 1952 1952 NUM cjfa-12563 446 10 ) ) PUNCT cjfa-12563 446 11 risk risk NOUN cjfa-12563 446 12 measures measure NOUN cjfa-12563 446 13 can can AUX cjfa-12563 446 14 be be AUX cjfa-12563 446 15 calculated calculate VERB cjfa-12563 446 16 purely purely ADV cjfa-12563 446 17 based base VERB cjfa-12563 446 18 on on ADP cjfa-12563 446 19 the the DET cjfa-12563 446 20 data datum NOUN cjfa-12563 446 21 in in ADP cjfa-12563 446 22 table table NOUN cjfa-12563 446 23 1 1 NUM cjfa-12563 446 24 . . PUNCT cjfa-12563 447 1 as as SCONJ cjfa-12563 447 2 these these PRON cjfa-12563 447 3 do do AUX cjfa-12563 447 4 not not PART cjfa-12563 447 5 directly directly ADV cjfa-12563 447 6 compare compare VERB cjfa-12563 447 7 to to ADP cjfa-12563 447 8 the the DET cjfa-12563 447 9 risk risk NOUN cjfa-12563 447 10 measures measure NOUN cjfa-12563 447 11 we we PRON cjfa-12563 447 12 derive derive VERB cjfa-12563 447 13 from from ADP cjfa-12563 447 14 the the DET cjfa-12563 447 15 estimated estimate VERB cjfa-12563 447 16 copulas copula NOUN cjfa-12563 447 17 , , PUNCT cjfa-12563 447 18 we we PRON cjfa-12563 447 19 do do AUX cjfa-12563 447 20 not not PART cjfa-12563 447 21 report report VERB cjfa-12563 447 22 the the DET cjfa-12563 447 23 markowitz markowitz PROPN cjfa-12563 447 24 ( ( PUNCT cjfa-12563 447 25 1952 1952 NUM cjfa-12563 447 26 ) ) PUNCT cjfa-12563 447 27 risk risk NOUN cjfa-12563 447 28 measures measure NOUN cjfa-12563 447 29 here here ADV cjfa-12563 447 30 . . PUNCT cjfa-12563 448 1 christiane christiane PROPN cjfa-12563 448 2 goodfellow goodfellow PROPN cjfa-12563 448 3 , , PUNCT cjfa-12563 448 4 christian christian PROPN cjfa-12563 448 5 salm98 salm98 PROPN cjfa-12563 448 6 table table NOUN cjfa-12563 448 7 2 2 NUM cjfa-12563 448 8 . . NUM cjfa-12563 448 9 conventional conventional ADJ cjfa-12563 448 10 conventional conventional ADJ cjfa-12563 448 11 value value NOUN cjfa-12563 448 12 at at ADP cjfa-12563 448 13 risk risk NOUN cjfa-12563 448 14 for for ADP cjfa-12563 448 15 return return NOUN cjfa-12563 448 16 series series NOUN cjfa-12563 448 17 of of ADP cjfa-12563 448 18 daimler daimler PROPN cjfa-12563 448 19 , , PUNCT cjfa-12563 448 20 bmw bmw PROPN cjfa-12563 448 21 , , PUNCT cjfa-12563 448 22 basf basf PROPN cjfa-12563 448 23 , , PUNCT cjfa-12563 448 24 and and CCONJ cjfa-12563 448 25 sap sap PROPN cjfa-12563 448 26 as as ADV cjfa-12563 448 27 well well ADV cjfa-12563 448 28 as as ADP cjfa-12563 448 29 for for ADP cjfa-12563 448 30 a a DET cjfa-12563 448 31 portfolio portfolio NOUN cjfa-12563 448 32 of of ADP cjfa-12563 448 33 daimler daimler NOUN cjfa-12563 448 34 and and CCONJ cjfa-12563 448 35 bmw bmw PROPN cjfa-12563 448 36 and and CCONJ cjfa-12563 448 37 a a DET cjfa-12563 448 38 portfolio portfolio NOUN cjfa-12563 448 39 of of ADP cjfa-12563 448 40 basf basf PROPN cjfa-12563 448 41 and and CCONJ cjfa-12563 448 42 sap sap PROPN cjfa-12563 448 43 var var PROPN cjfa-12563 448 44 historical historical ADJ cjfa-12563 448 45 distribution distribution NOUN cjfa-12563 448 46 var var NOUN cjfa-12563 448 47 normal normal ADJ cjfa-12563 448 48 distribution distribution NOUN cjfa-12563 448 49 difference difference NOUN cjfa-12563 448 50 daimler daimler NOUN cjfa-12563 448 51 5,2391 5,2391 NUM cjfa-12563 448 52 4,3180 4,3180 PROPN cjfa-12563 448 53 0,9211 0,9211 PROPN cjfa-12563 448 54 bmw bmw PROPN cjfa-12563 449 1 4,9841 4,9841 PROPN cjfa-12563 449 2 4,3281 4,3281 PROPN cjfa-12563 449 3 0,6560 0,6560 PROPN cjfa-12563 449 4 basf basf PROPN cjfa-12563 449 5 4,5047 4,5047 PROPN cjfa-12563 449 6 3,7617 3,7617 PROPN cjfa-12563 449 7 0,7430 0,7430 PROPN cjfa-12563 449 8 sap sap PROPN cjfa-12563 450 1 3,7791 3,7791 NUM cjfa-12563 450 2 3,1010 3,1010 PROPN cjfa-12563 450 3 0,6781 0,6781 PROPN cjfa-12563 450 4 daimler daimler PROPN cjfa-12563 450 5 bmw bmw PROPN cjfa-12563 450 6 4,8897 4,8897 PROPN cjfa-12563 450 7 4,1612 4,1612 PROPN cjfa-12563 450 8 0,7285 0,7285 PROPN cjfa-12563 450 9 basf basf PROPN cjfa-12563 450 10 sap sap PROPN cjfa-12563 450 11 3,6310 3,6310 NUM cjfa-12563 450 12 3,1059 3,1059 NUM cjfa-12563 450 13 0,5251 0,5251 NUM cjfa-12563 450 14 figures figure NOUN cjfa-12563 450 15 reported report VERB cjfa-12563 450 16 in in ADP cjfa-12563 450 17 this this DET cjfa-12563 450 18 table table NOUN cjfa-12563 450 19 are be AUX cjfa-12563 450 20 based base VERB cjfa-12563 450 21 on on ADP cjfa-12563 450 22 source source NOUN cjfa-12563 450 23 : : PUNCT cjfa-12563 450 24 developed develop VERB cjfa-12563 450 25 by by ADP cjfa-12563 450 26 author author NOUN cjfa-12563 450 27 . . PUNCT cjfa-12563 451 1 table table NOUN cjfa-12563 451 2 1 1 NUM cjfa-12563 451 3 shows show VERB cjfa-12563 451 4 that that SCONJ cjfa-12563 451 5 daimler daimler NOUN cjfa-12563 451 6 and and CCONJ cjfa-12563 451 7 bmw bmw PROPN cjfa-12563 451 8 are be AUX cjfa-12563 451 9 riskier risky ADJ cjfa-12563 451 10 individual individual ADJ cjfa-12563 451 11 investments investment NOUN cjfa-12563 451 12 than than ADP cjfa-12563 451 13 basf basf PROPN cjfa-12563 451 14 and and CCONJ cjfa-12563 451 15 sap sap PROPN cjfa-12563 451 16 in in ADP cjfa-12563 451 17 the the DET cjfa-12563 451 18 2011 2011 NUM cjfa-12563 451 19 to to ADP cjfa-12563 451 20 2016 2016 NUM cjfa-12563 451 21 period period NOUN cjfa-12563 451 22 . . PUNCT cjfa-12563 452 1 despite despite SCONJ cjfa-12563 452 2 having have VERB cjfa-12563 452 3 the the DET cjfa-12563 452 4 lowest low ADJ cjfa-12563 452 5 standard standard ADJ cjfa-12563 452 6 deviation deviation NOUN cjfa-12563 452 7 among among ADP cjfa-12563 452 8 the the DET cjfa-12563 452 9 4 4 NUM cjfa-12563 452 10 stocks stock NOUN cjfa-12563 452 11 , , PUNCT cjfa-12563 452 12 sap sap PROPN cjfa-12563 452 13 also also ADV cjfa-12563 452 14 scores score VERB cjfa-12563 452 15 the the DET cjfa-12563 452 16 highest high ADJ cjfa-12563 452 17 mean mean ADJ cjfa-12563 452 18 and and CCONJ cjfa-12563 452 19 median median ADJ cjfa-12563 452 20 return return NOUN cjfa-12563 452 21 . . PUNCT cjfa-12563 453 1 combining combine VERB cjfa-12563 453 2 basf basf PROPN cjfa-12563 453 3 and and CCONJ cjfa-12563 453 4 sap sap PROPN cjfa-12563 453 5 into into ADP cjfa-12563 453 6 a a DET cjfa-12563 453 7 portfolio portfolio NOUN cjfa-12563 453 8 should should AUX cjfa-12563 453 9 be be AUX cjfa-12563 453 10 more more ADJ cjfa-12563 453 11 risk risk NOUN cjfa-12563 453 12 - - PUNCT cjfa-12563 453 13 reducing reduce VERB cjfa-12563 453 14 than than ADP cjfa-12563 453 15 combining combine VERB cjfa-12563 453 16 daimler daimler NOUN cjfa-12563 453 17 and and CCONJ cjfa-12563 453 18 bmw bmw PROPN cjfa-12563 453 19 , , PUNCT cjfa-12563 453 20 as as SCONJ cjfa-12563 453 21 the the DET cjfa-12563 453 22 correlation correlation NOUN cjfa-12563 453 23 coefficient coefficient NOUN cjfa-12563 453 24 between between ADP cjfa-12563 453 25 the the DET cjfa-12563 453 26 former former ADJ cjfa-12563 453 27 is be AUX cjfa-12563 453 28 lower low ADJ cjfa-12563 453 29 than than ADP cjfa-12563 453 30 for for ADP cjfa-12563 453 31 the the DET cjfa-12563 453 32 latter latter ADJ cjfa-12563 453 33 . . PUNCT cjfa-12563 454 1 in in ADP cjfa-12563 454 2 other other ADJ cjfa-12563 454 3 words word NOUN cjfa-12563 454 4 , , PUNCT cjfa-12563 454 5 basf basf PROPN cjfa-12563 454 6 and and CCONJ cjfa-12563 454 7 sap sap PROPN cjfa-12563 454 8 absorb absorb PROPN cjfa-12563 454 9 , , PUNCT cjfa-12563 454 10 respectively respectively ADV cjfa-12563 454 11 , , PUNCT cjfa-12563 454 12 more more ADJ cjfa-12563 454 13 of of ADP cjfa-12563 454 14 each each DET cjfa-12563 454 15 other other ADJ cjfa-12563 454 16 's 's PART cjfa-12563 454 17 losses loss NOUN cjfa-12563 454 18 than than SCONJ cjfa-12563 454 19 is be AUX cjfa-12563 454 20 the the DET cjfa-12563 454 21 case case NOUN cjfa-12563 454 22 for for ADP cjfa-12563 454 23 daimler daimler NOUN cjfa-12563 454 24 and and CCONJ cjfa-12563 454 25 bmw bmw PROPN cjfa-12563 454 26 . . PUNCT cjfa-12563 455 1 this this PRON cjfa-12563 455 2 is be AUX cjfa-12563 455 3 not not PART cjfa-12563 455 4 surprising surprising ADJ cjfa-12563 455 5 as as ADP cjfa-12563 455 6 2 2 NUM cjfa-12563 455 7 automobile automobile NOUN cjfa-12563 455 8 stocks stock NOUN cjfa-12563 455 9 will will AUX cjfa-12563 455 10 move move VERB cjfa-12563 455 11 more more ADV cjfa-12563 455 12 closely closely ADV cjfa-12563 455 13 together together ADV cjfa-12563 455 14 than than ADP cjfa-12563 455 15 a a DET cjfa-12563 455 16 better well ADV cjfa-12563 455 17 diversified diversified ADJ cjfa-12563 455 18 portfolio portfolio NOUN cjfa-12563 455 19 of of ADP cjfa-12563 455 20 basf basf PROPN cjfa-12563 455 21 and and CCONJ cjfa-12563 455 22 sap sap PROPN cjfa-12563 455 23 . . PUNCT cjfa-12563 456 1 it it PRON cjfa-12563 456 2 should should AUX cjfa-12563 456 3 be be AUX cjfa-12563 456 4 noted note VERB cjfa-12563 456 5 that that SCONJ cjfa-12563 456 6 the the DET cjfa-12563 456 7 markowitz markowitz PROPN cjfa-12563 456 8 ( ( PUNCT cjfa-12563 456 9 1952 1952 NUM cjfa-12563 456 10 ) ) PUNCT cjfa-12563 456 11 risk risk NOUN cjfa-12563 456 12 measures measure NOUN cjfa-12563 456 13 can can AUX cjfa-12563 456 14 be be AUX cjfa-12563 456 15 calculated calculate VERB cjfa-12563 456 16 purely purely ADV cjfa-12563 456 17 based base VERB cjfa-12563 456 18 on on ADP cjfa-12563 456 19 the the DET cjfa-12563 456 20 data datum NOUN cjfa-12563 456 21 in in ADP cjfa-12563 456 22 table table NOUN cjfa-12563 456 23 1 1 NUM cjfa-12563 456 24 . . PUNCT cjfa-12563 457 1 as as SCONJ cjfa-12563 457 2 these these PRON cjfa-12563 457 3 do do AUX cjfa-12563 457 4 not not PART cjfa-12563 457 5 directly directly ADV cjfa-12563 457 6 compare compare VERB cjfa-12563 457 7 to to ADP cjfa-12563 457 8 the the DET cjfa-12563 457 9 risk risk NOUN cjfa-12563 457 10 measures measure NOUN cjfa-12563 457 11 we we PRON cjfa-12563 457 12 derive derive VERB cjfa-12563 457 13 from from ADP cjfa-12563 457 14 the the DET cjfa-12563 457 15 estimated estimate VERB cjfa-12563 457 16 copulas copula NOUN cjfa-12563 457 17 , , PUNCT cjfa-12563 457 18 we we PRON cjfa-12563 457 19 do do AUX cjfa-12563 457 20 not not PART cjfa-12563 457 21 report report VERB cjfa-12563 457 22 the the DET cjfa-12563 457 23 markowitz markowitz PROPN cjfa-12563 457 24 ( ( PUNCT cjfa-12563 457 25 1952 1952 NUM cjfa-12563 457 26 ) ) PUNCT cjfa-12563 457 27 risk risk NOUN cjfa-12563 457 28 measures measure NOUN cjfa-12563 457 29 here here ADV cjfa-12563 457 30 . . PUNCT cjfa-12563 458 1 table table NOUN cjfa-12563 458 2 2 2 NUM cjfa-12563 458 3 . . NUM cjfa-12563 458 4 conventional conventional ADJ cjfa-12563 458 5 conventional conventional ADJ cjfa-12563 458 6 value value NOUN cjfa-12563 458 7 at at ADP cjfa-12563 458 8 risk risk NOUN cjfa-12563 458 9 for for ADP cjfa-12563 458 10 return return NOUN cjfa-12563 458 11 series series NOUN cjfa-12563 458 12 of of ADP cjfa-12563 458 13 daimler daimler PROPN cjfa-12563 458 14 , , PUNCT cjfa-12563 458 15 bmw bmw PROPN cjfa-12563 458 16 , , PUNCT cjfa-12563 458 17 basf basf PROPN cjfa-12563 458 18 , , PUNCT cjfa-12563 458 19 and and CCONJ cjfa-12563 458 20 sap sap PROPN cjfa-12563 458 21 as as ADV cjfa-12563 458 22 well well ADV cjfa-12563 458 23 as as ADP cjfa-12563 458 24 for for ADP cjfa-12563 458 25 a a DET cjfa-12563 458 26 portfolio portfolio NOUN cjfa-12563 458 27 of of ADP cjfa-12563 458 28 daimler daimler NOUN cjfa-12563 458 29 and and CCONJ cjfa-12563 458 30 bmw bmw PROPN cjfa-12563 458 31 and and CCONJ cjfa-12563 458 32 a a DET cjfa-12563 458 33 portfolio portfolio NOUN cjfa-12563 458 34 of of ADP cjfa-12563 458 35 basf basf PROPN cjfa-12563 458 36 and and CCONJ cjfa-12563 458 37 sap sap PROPN cjfa-12563 458 38 var var PROPN cjfa-12563 458 39 historical historical ADJ cjfa-12563 458 40 distribution distribution NOUN cjfa-12563 458 41 var var NOUN cjfa-12563 458 42 normal normal ADJ cjfa-12563 458 43 distribution distribution NOUN cjfa-12563 458 44 difference difference NOUN cjfa-12563 458 45 daimler daimler NOUN cjfa-12563 458 46 5,2391 5,2391 NUM cjfa-12563 458 47 4,3180 4,3180 PROPN cjfa-12563 458 48 0,9211 0,9211 PROPN cjfa-12563 458 49 bmw bmw PROPN cjfa-12563 459 1 4,9841 4,9841 PROPN cjfa-12563 459 2 4,3281 4,3281 PROPN cjfa-12563 459 3 0,6560 0,6560 PROPN cjfa-12563 459 4 basf basf PROPN cjfa-12563 459 5 4,5047 4,5047 PROPN cjfa-12563 459 6 3,7617 3,7617 PROPN cjfa-12563 459 7 0,7430 0,7430 PROPN cjfa-12563 459 8 sap sap PROPN cjfa-12563 460 1 3,7791 3,7791 NUM cjfa-12563 460 2 3,1010 3,1010 PROPN cjfa-12563 460 3 0,6781 0,6781 PROPN cjfa-12563 460 4 daimler daimler PROPN cjfa-12563 460 5 bmw bmw PROPN cjfa-12563 460 6 4,8897 4,8897 PROPN cjfa-12563 460 7 4,1612 4,1612 PROPN cjfa-12563 460 8 0,7285 0,7285 PROPN cjfa-12563 460 9 basf basf PROPN cjfa-12563 460 10 sap sap PROPN cjfa-12563 460 11 3,6310 3,6310 NUM cjfa-12563 460 12 3,1059 3,1059 NUM cjfa-12563 460 13 0,5251 0,5251 NUM cjfa-12563 460 14 figures figure NOUN cjfa-12563 460 15 reported report VERB cjfa-12563 460 16 in in ADP cjfa-12563 460 17 this this DET cjfa-12563 460 18 table table NOUN cjfa-12563 460 19 are be AUX cjfa-12563 460 20 based base VERB cjfa-12563 460 21 on on ADP cjfa-12563 460 22 . . PUNCT cjfa-12563 461 1 sampling sample VERB cjfa-12563 461 2 period period NOUN cjfa-12563 461 3 is be AUX cjfa-12563 461 4 1 1 NUM cjfa-12563 461 5 january january NOUN cjfa-12563 461 6 2011 2011 NUM cjfa-12563 461 7 to to ADP cjfa-12563 461 8 12 12 NUM cjfa-12563 461 9 september september PROPN cjfa-12563 461 10 2016 2016 NUM cjfa-12563 461 11 , , PUNCT cjfa-12563 461 12 var var NOUN cjfa-12563 461 13 holding holding NOUN cjfa-12563 461 14 period period NOUN cjfa-12563 461 15 1 1 NUM cjfa-12563 461 16 day day NOUN cjfa-12563 461 17 , , PUNCT cjfa-12563 461 18 99 99 NUM cjfa-12563 461 19 % % NOUN cjfa-12563 461 20 confidence confidence NOUN cjfa-12563 461 21 level level NOUN cjfa-12563 461 22 , , PUNCT cjfa-12563 461 23 portfolio portfolio NOUN cjfa-12563 461 24 weights weight VERB cjfa-12563 461 25 50 50 NUM cjfa-12563 461 26 % % NOUN cjfa-12563 461 27 , , PUNCT cjfa-12563 461 28 difference difference NOUN cjfa-12563 461 29 in in ADP cjfa-12563 461 30 absolute absolute ADJ cjfa-12563 461 31 values value NOUN cjfa-12563 461 32 . . PUNCT cjfa-12563 462 1 source source NOUN cjfa-12563 462 2 : : PUNCT cjfa-12563 462 3 developed develop VERB cjfa-12563 462 4 by by ADP cjfa-12563 462 5 author author NOUN cjfa-12563 462 6 . . PUNCT cjfa-12563 463 1 table table NOUN cjfa-12563 463 2 2 2 NUM cjfa-12563 463 3 reports report VERB cjfa-12563 463 4 the the DET cjfa-12563 463 5 value value NOUN cjfa-12563 463 6 at at ADP cjfa-12563 463 7 risk risk NOUN cjfa-12563 463 8 figures figure NOUN cjfa-12563 463 9 for for ADP cjfa-12563 463 10 all all DET cjfa-12563 463 11 4 4 NUM cjfa-12563 463 12 stocks stock NOUN cjfa-12563 463 13 and and CCONJ cjfa-12563 463 14 for for ADP cjfa-12563 463 15 2 2 NUM cjfa-12563 463 16 portfolios portfolio NOUN cjfa-12563 463 17 which which PRON cjfa-12563 463 18 are be AUX cjfa-12563 463 19 constructed construct VERB cjfa-12563 463 20 from from ADP cjfa-12563 463 21 50 50 NUM cjfa-12563 463 22 % % NOUN cjfa-12563 463 23 daimler daimler NOUN cjfa-12563 463 24 and and CCONJ cjfa-12563 463 25 50 50 NUM cjfa-12563 463 26 % % NOUN cjfa-12563 463 27 bmw bmw PROPN cjfa-12563 463 28 in in ADP cjfa-12563 463 29 the the DET cjfa-12563 463 30 first first ADJ cjfa-12563 463 31 instance instance NOUN cjfa-12563 463 32 and and CCONJ cjfa-12563 463 33 50 50 NUM cjfa-12563 463 34 % % NOUN cjfa-12563 463 35 basf basf PROPN cjfa-12563 463 36 and and CCONJ cjfa-12563 463 37 50 50 NUM cjfa-12563 463 38 % % NOUN cjfa-12563 463 39 sap sap NOUN cjfa-12563 463 40 in in ADP cjfa-12563 463 41 the the DET cjfa-12563 463 42 second second ADJ cjfa-12563 463 43 instance instance NOUN cjfa-12563 463 44 , , PUNCT cjfa-12563 463 45 in in ADP cjfa-12563 463 46 order order NOUN cjfa-12563 463 47 to to PART cjfa-12563 463 48 validate validate VERB cjfa-12563 463 49 the the DET cjfa-12563 463 50 assumption assumption NOUN cjfa-12563 463 51 that that SCONJ cjfa-12563 463 52 diversification diversification NOUN cjfa-12563 463 53 is be AUX cjfa-12563 463 54 more more ADV cjfa-12563 463 55 beneficial beneficial ADJ cjfa-12563 463 56 in in ADP cjfa-12563 463 57 the the DET cjfa-12563 463 58 second second ADJ cjfa-12563 463 59 case case NOUN cjfa-12563 463 60 . . PUNCT cjfa-12563 464 1 in in ADP cjfa-12563 464 2 fact fact NOUN cjfa-12563 464 3 , , PUNCT cjfa-12563 464 4 the the DET cjfa-12563 464 5 value value NOUN cjfa-12563 464 6 at at ADP cjfa-12563 464 7 risk risk NOUN cjfa-12563 464 8 for for ADP cjfa-12563 464 9 daimler daimler NOUN cjfa-12563 464 10 and and CCONJ cjfa-12563 464 11 bmw bmw PROPN cjfa-12563 464 12 is be AUX cjfa-12563 464 13 higher high ADJ cjfa-12563 464 14 than than ADP cjfa-12563 464 15 for for ADP cjfa-12563 464 16 basf basf PROPN cjfa-12563 464 17 and and CCONJ cjfa-12563 464 18 sap sap PROPN cjfa-12563 464 19 , , PUNCT cjfa-12563 464 20 suggesting suggest VERB cjfa-12563 464 21 that that SCONJ cjfa-12563 464 22 the the DET cjfa-12563 464 23 expected expect VERB cjfa-12563 464 24 loss loss NOUN cjfa-12563 464 25 is be AUX cjfa-12563 464 26 higher high ADJ cjfa-12563 464 27 for for ADP cjfa-12563 464 28 the the DET cjfa-12563 464 29 riskier risky ADJ cjfa-12563 464 30 portfolio portfolio NOUN cjfa-12563 464 31 . . PUNCT cjfa-12563 465 1 this this PRON cjfa-12563 465 2 is be AUX cjfa-12563 465 3 true true ADJ cjfa-12563 465 4 for for ADP cjfa-12563 465 5 the the DET cjfa-12563 465 6 var var NOUN cjfa-12563 465 7 based base VERB cjfa-12563 465 8 on on ADP cjfa-12563 465 9 the the DET cjfa-12563 465 10 empirical empirical NOUN cjfa-12563 465 11 and and CCONJ cjfa-12563 465 12 the the DET cjfa-12563 465 13 normal normal ADJ cjfa-12563 465 14 distributions distribution NOUN cjfa-12563 465 15 of of ADP cjfa-12563 465 16 the the DET cjfa-12563 465 17 returns return NOUN cjfa-12563 465 18 . . PUNCT cjfa-12563 465 19 . . PUNCT cjfa-12563 466 1 sampling sample VERB cjfa-12563 466 2 period period NOUN cjfa-12563 466 3 is be AUX cjfa-12563 466 4 1 1 NUM cjfa-12563 466 5 january january NOUN cjfa-12563 466 6 2011 2011 NUM cjfa-12563 466 7 to to ADP cjfa-12563 466 8 12 12 NUM cjfa-12563 466 9 september september PROPN cjfa-12563 466 10 2016 2016 NUM cjfa-12563 466 11 , , PUNCT cjfa-12563 466 12 var var NOUN cjfa-12563 466 13 holding holding NOUN cjfa-12563 466 14 period period NOUN cjfa-12563 466 15 1 1 NUM cjfa-12563 466 16 day day NOUN cjfa-12563 466 17 , , PUNCT cjfa-12563 466 18 99 99 NUM cjfa-12563 466 19 % % NOUN cjfa-12563 466 20 confidence confidence NOUN cjfa-12563 466 21 level level NOUN cjfa-12563 466 22 , , PUNCT cjfa-12563 466 23 portfolio portfolio NOUN cjfa-12563 466 24 weights weight VERB cjfa-12563 466 25 50 50 NUM cjfa-12563 466 26 % % NOUN cjfa-12563 466 27 , , PUNCT cjfa-12563 466 28 difference difference NOUN cjfa-12563 466 29 in in ADP cjfa-12563 466 30 absolute absolute ADJ cjfa-12563 466 31 values value NOUN cjfa-12563 466 32 . . PUNCT cjfa-12563 467 1 s s PART cjfa-12563 467 2 o o X cjfa-12563 467 3 u u NOUN cjfa-12563 467 4 r r NOUN cjfa-12563 467 5 c c NOUN cjfa-12563 467 6 e e NOUN cjfa-12563 467 7 : : PUNCT cjfa-12563 467 8 developed develop VERB cjfa-12563 467 9 by by ADP cjfa-12563 467 10 author author NOUN cjfa-12563 467 11 . . PUNCT cjfa-12563 468 1 table table NOUN cjfa-12563 468 2 2 2 NUM cjfa-12563 468 3 reports report VERB cjfa-12563 468 4 the the DET cjfa-12563 468 5 value value NOUN cjfa-12563 468 6 at at ADP cjfa-12563 468 7 risk risk NOUN cjfa-12563 468 8 figures figure NOUN cjfa-12563 468 9 for for ADP cjfa-12563 468 10 all all DET cjfa-12563 468 11 4 4 NUM cjfa-12563 468 12 stocks stock NOUN cjfa-12563 468 13 and and CCONJ cjfa-12563 468 14 for for ADP cjfa-12563 468 15 2 2 NUM cjfa-12563 468 16 portfolios portfolio NOUN cjfa-12563 468 17 which which PRON cjfa-12563 468 18 are be AUX cjfa-12563 468 19 constructed construct VERB cjfa-12563 468 20 from from ADP cjfa-12563 468 21 50 50 NUM cjfa-12563 468 22 % % NOUN cjfa-12563 468 23 daimler daimler NOUN cjfa-12563 468 24 and and CCONJ cjfa-12563 468 25 50 50 NUM cjfa-12563 468 26 % % NOUN cjfa-12563 468 27 bmw bmw PROPN cjfa-12563 468 28 in in ADP cjfa-12563 468 29 the the DET cjfa-12563 468 30 first first ADJ cjfa-12563 468 31 instance instance NOUN cjfa-12563 468 32 and and CCONJ cjfa-12563 468 33 50 50 NUM cjfa-12563 468 34 % % NOUN cjfa-12563 468 35 basf basf PROPN cjfa-12563 468 36 and and CCONJ cjfa-12563 468 37 50 50 NUM cjfa-12563 468 38 % % NOUN cjfa-12563 468 39 sap sap NOUN cjfa-12563 468 40 in in ADP cjfa-12563 468 41 the the DET cjfa-12563 468 42 second second ADJ cjfa-12563 468 43 instance instance NOUN cjfa-12563 468 44 , , PUNCT cjfa-12563 468 45 in in ADP cjfa-12563 468 46 order order NOUN cjfa-12563 468 47 to to PART cjfa-12563 468 48 validate validate VERB cjfa-12563 468 49 the the DET cjfa-12563 468 50 assumption assumption NOUN cjfa-12563 468 51 that that SCONJ cjfa-12563 468 52 diversification diversification NOUN cjfa-12563 468 53 is be AUX cjfa-12563 468 54 more more ADV cjfa-12563 468 55 beneficial beneficial ADJ cjfa-12563 468 56 in in ADP cjfa-12563 468 57 the the DET cjfa-12563 468 58 second second ADJ cjfa-12563 468 59 case case NOUN cjfa-12563 468 60 . . PUNCT cjfa-12563 469 1 in in ADP cjfa-12563 469 2 fact fact NOUN cjfa-12563 469 3 , , PUNCT cjfa-12563 469 4 the the DET cjfa-12563 469 5 value value NOUN cjfa-12563 469 6 at at ADP cjfa-12563 469 7 risk risk NOUN cjfa-12563 469 8 for for ADP cjfa-12563 469 9 daimler daimler NOUN cjfa-12563 469 10 and and CCONJ cjfa-12563 469 11 bmw bmw PROPN cjfa-12563 469 12 is be AUX cjfa-12563 469 13 higher high ADJ cjfa-12563 469 14 than than ADP cjfa-12563 469 15 for for ADP cjfa-12563 469 16 basf basf PROPN cjfa-12563 469 17 and and CCONJ cjfa-12563 469 18 sap sap PROPN cjfa-12563 469 19 , , PUNCT cjfa-12563 469 20 suggesting suggest VERB cjfa-12563 469 21 that that SCONJ cjfa-12563 469 22 the the DET cjfa-12563 469 23 expected expect VERB cjfa-12563 469 24 loss loss NOUN cjfa-12563 469 25 is be AUX cjfa-12563 469 26 higher high ADJ cjfa-12563 469 27 for for ADP cjfa-12563 469 28 the the DET cjfa-12563 469 29 riskier risky ADJ cjfa-12563 469 30 portfolio portfolio NOUN cjfa-12563 469 31 . . PUNCT cjfa-12563 470 1 this this PRON cjfa-12563 470 2 is be AUX cjfa-12563 470 3 true true ADJ cjfa-12563 470 4 for for ADP cjfa-12563 470 5 the the DET cjfa-12563 470 6 var var NOUN cjfa-12563 470 7 based base VERB cjfa-12563 470 8 on on ADP cjfa-12563 470 9 the the DET cjfa-12563 470 10 empirical empirical NOUN cjfa-12563 470 11 and and CCONJ cjfa-12563 470 12 the the DET cjfa-12563 470 13 normal normal ADJ cjfa-12563 470 14 distributions distribution NOUN cjfa-12563 470 15 of of ADP cjfa-12563 470 16 the the DET cjfa-12563 470 17 returns return NOUN cjfa-12563 470 18 . . PUNCT cjfa-12563 471 1 indeed indeed ADV cjfa-12563 471 2 , , PUNCT cjfa-12563 471 3 the the DET cjfa-12563 471 4 normal normal ADJ cjfa-12563 471 5 assumption assumption NOUN cjfa-12563 471 6 underestimates underestimate VERB cjfa-12563 471 7 the the DET cjfa-12563 471 8 risk risk NOUN cjfa-12563 471 9 ( ( PUNCT cjfa-12563 471 10 see see VERB cjfa-12563 471 11 column column NOUN cjfa-12563 471 12 ‘ ' PUNCT cjfa-12563 471 13 difference difference NOUN cjfa-12563 471 14 ’ ' PUNCT cjfa-12563 471 15 in in ADP cjfa-12563 471 16 table table NOUN cjfa-12563 471 17 2 2 NUM cjfa-12563 471 18 ) ) PUNCT cjfa-12563 471 19 . . PUNCT cjfa-12563 472 1 not not PART cjfa-12563 472 2 surprisingly surprisingly ADV cjfa-12563 472 3 , , PUNCT cjfa-12563 472 4 this this PRON cjfa-12563 472 5 holds hold VERB cjfa-12563 472 6 true true ADJ cjfa-12563 472 7 for for ADP cjfa-12563 472 8 individual individual ADJ cjfa-12563 472 9 stocks stock NOUN cjfa-12563 472 10 and and CCONJ cjfa-12563 472 11 for for ADP cjfa-12563 472 12 portfolios portfolio NOUN cjfa-12563 472 13 . . PUNCT cjfa-12563 473 1 measured measure VERB cjfa-12563 473 2 in in ADP cjfa-12563 473 3 euros euro NOUN cjfa-12563 473 4 , , PUNCT cjfa-12563 473 5 for for ADP cjfa-12563 473 6 example example NOUN cjfa-12563 473 7 , , PUNCT cjfa-12563 473 8 and and CCONJ cjfa-12563 473 9 based base VERB cjfa-12563 473 10 on on ADP cjfa-12563 473 11 a a DET cjfa-12563 473 12 1 1 NUM cjfa-12563 473 13 million million NUM cjfa-12563 473 14 euro euro NOUN cjfa-12563 473 15 portfolio portfolio NOUN cjfa-12563 473 16 in in ADP cjfa-12563 473 17 daimler daimler NOUN cjfa-12563 473 18 stocks stock NOUN cjfa-12563 473 19 , , PUNCT cjfa-12563 473 20 the the DET cjfa-12563 473 21 maximum maximum ADJ cjfa-12563 473 22 expected expected ADJ cjfa-12563 473 23 loss loss NOUN cjfa-12563 473 24 amounts amount VERB cjfa-12563 473 25 to to ADP cjfa-12563 473 26 52,391 52,391 NUM cjfa-12563 473 27 euros euro NOUN cjfa-12563 473 28 empirically empirically ADV cjfa-12563 473 29 or or CCONJ cjfa-12563 473 30 43,180 43,180 NUM cjfa-12563 473 31 euros euro NOUN cjfa-12563 473 32 based base VERB cjfa-12563 473 33 on on ADP cjfa-12563 473 34 the the DET cjfa-12563 473 35 normal normal ADJ cjfa-12563 473 36 assumption assumption NOUN cjfa-12563 473 37 , , PUNCT cjfa-12563 473 38 i.e. i.e. X cjfa-12563 473 39 a a DET cjfa-12563 473 40 difference difference NOUN cjfa-12563 473 41 in in ADP cjfa-12563 473 42 risk risk NOUN cjfa-12563 473 43 measure measure NOUN cjfa-12563 473 44 of of ADP cjfa-12563 473 45 9,211 9,211 NUM cjfa-12563 473 46 euros euro NOUN cjfa-12563 473 47 or or CCONJ cjfa-12563 473 48 18 18 NUM cjfa-12563 473 49 % % NOUN cjfa-12563 473 50 of of ADP cjfa-12563 473 51 the the DET cjfa-12563 473 52 empirical empirical ADJ cjfa-12563 473 53 approach approach NOUN cjfa-12563 473 54 ( ( PUNCT cjfa-12563 473 55 or or CCONJ cjfa-12563 473 56 21 21 NUM cjfa-12563 473 57 % % NOUN cjfa-12563 473 58 under under ADP cjfa-12563 473 59 the the DET cjfa-12563 473 60 normal normal ADJ cjfa-12563 473 61 assumption assumption NOUN cjfa-12563 473 62 , , PUNCT cjfa-12563 473 63 which which PRON cjfa-12563 473 64 is be AUX cjfa-12563 473 65 evidently evidently ADV cjfa-12563 473 66 wrong wrong ADJ cjfa-12563 473 67 ) ) PUNCT cjfa-12563 473 68 . . PUNCT cjfa-12563 474 1 the the DET cjfa-12563 474 2 normal normal ADJ cjfa-12563 474 3 assumption assumption NOUN cjfa-12563 474 4 therefore therefore ADV cjfa-12563 474 5 produces produce VERB cjfa-12563 474 6 an an DET cjfa-12563 474 7 economically economically ADV cjfa-12563 474 8 significant significant ADJ cjfa-12563 474 9 underestimate underestimate NOUN cjfa-12563 474 10 of of ADP cjfa-12563 474 11 risk risk NOUN cjfa-12563 474 12 . . PUNCT cjfa-12563 475 1 it it PRON cjfa-12563 475 2 should should AUX cjfa-12563 475 3 thus thus ADV cjfa-12563 475 4 be be AUX cjfa-12563 475 5 avoided avoid VERB cjfa-12563 475 6 in in ADP cjfa-12563 475 7 practice practice NOUN cjfa-12563 475 8 , , PUNCT cjfa-12563 475 9 even even ADV cjfa-12563 475 10 though though SCONJ cjfa-12563 475 11 the the DET cjfa-12563 475 12 original original ADJ cjfa-12563 475 13 riskmetrics riskmetric NOUN cjfa-12563 475 14 methodology methodology NOUN cjfa-12563 475 15 developed develop VERB cjfa-12563 475 16 by by ADP cjfa-12563 475 17 jp jp PROPN cjfa-12563 475 18 morgan morgan PROPN cjfa-12563 475 19 relied rely VERB cjfa-12563 475 20 on on ADP cjfa-12563 475 21 the the DET cjfa-12563 475 22 normal normal ADJ cjfa-12563 475 23 assumption assumption NOUN cjfa-12563 475 24 . . PUNCT cjfa-12563 476 1 since since SCONJ cjfa-12563 476 2 portfolio portfolio NOUN cjfa-12563 476 3 theory theory NOUN cjfa-12563 476 4 is be AUX cjfa-12563 476 5 also also ADV cjfa-12563 476 6 based base VERB cjfa-12563 476 7 on on ADP cjfa-12563 476 8 the the DET cjfa-12563 476 9 normal normal ADJ cjfa-12563 476 10 assumption assumption NOUN cjfa-12563 476 11 , , PUNCT cjfa-12563 476 12 its its PRON cjfa-12563 476 13 estimation estimation NOUN cjfa-12563 476 14 results result NOUN cjfa-12563 476 15 based base VERB cjfa-12563 476 16 on on ADP cjfa-12563 476 17 the the DET cjfa-12563 476 18 figures figure NOUN cjfa-12563 476 19 in in ADP cjfa-12563 476 20 table table NOUN cjfa-12563 476 21 1 1 NUM cjfa-12563 476 22 should should AUX cjfa-12563 476 23 be be AUX cjfa-12563 476 24 taken take VERB cjfa-12563 476 25 with with ADP cjfa-12563 476 26 a a DET cjfa-12563 476 27 large large ADJ cjfa-12563 476 28 grain grain NOUN cjfa-12563 476 29 of of ADP cjfa-12563 476 30 salt salt NOUN cjfa-12563 476 31 . . PUNCT cjfa-12563 477 1 these these DET cjfa-12563 477 2 estimation estimation NOUN cjfa-12563 477 3 results result NOUN cjfa-12563 477 4 are be AUX cjfa-12563 477 5 not not PART cjfa-12563 477 6 reported report VERB cjfa-12563 477 7 here here ADV cjfa-12563 477 8 because because SCONJ cjfa-12563 477 9 they they PRON cjfa-12563 477 10 can can AUX cjfa-12563 477 11 not not PART cjfa-12563 477 12 be be AUX cjfa-12563 477 13 directly directly ADV cjfa-12563 477 14 compared compare VERB cjfa-12563 477 15 to to ADP cjfa-12563 477 16 the the DET cjfa-12563 477 17 var var NOUN cjfa-12563 477 18 estimations estimation NOUN cjfa-12563 477 19 based base VERB cjfa-12563 477 20 on on ADP cjfa-12563 477 21 copulas copula NOUN cjfa-12563 477 22 . . PUNCT cjfa-12563 478 1 risky risky ADJ cjfa-12563 478 2 risk risk NOUN cjfa-12563 478 3 measures measure NOUN cjfa-12563 478 4 … … PUNCT cjfa-12563 478 5 99 99 NUM cjfa-12563 478 6 interestingly interestingly ADV cjfa-12563 478 7 , , PUNCT cjfa-12563 478 8 the the DET cjfa-12563 478 9 return return NOUN cjfa-12563 478 10 series series NOUN cjfa-12563 478 11 whose whose DET cjfa-12563 478 12 bottom bottom ADJ cjfa-12563 478 13 tail tail NOUN cjfa-12563 478 14 deviates deviate VERB cjfa-12563 478 15 the the DET cjfa-12563 478 16 most most ADJ cjfa-12563 478 17 from from ADP cjfa-12563 478 18 the the DET cjfa-12563 478 19 normal normal ADJ cjfa-12563 478 20 assumption assumption NOUN cjfa-12563 478 21 , , PUNCT cjfa-12563 478 22 is be AUX cjfa-12563 478 23 sap sap PROPN cjfa-12563 478 24 ( ( PUNCT cjfa-12563 478 25 see see VERB cjfa-12563 478 26 figure figure NOUN cjfa-12563 478 27 1 1 NUM cjfa-12563 478 28 ) ) PUNCT cjfa-12563 478 29 . . PUNCT cjfa-12563 479 1 despite despite SCONJ cjfa-12563 479 2 this this DET cjfa-12563 479 3 observation observation NOUN cjfa-12563 479 4 , , PUNCT cjfa-12563 479 5 the the DET cjfa-12563 479 6 difference difference NOUN cjfa-12563 479 7 between between ADP cjfa-12563 479 8 the the DET cjfa-12563 479 9 empirical empirical ADJ cjfa-12563 479 10 var var NOUN cjfa-12563 479 11 and and CCONJ cjfa-12563 479 12 the the DET cjfa-12563 479 13 normal normal ADJ cjfa-12563 479 14 var var NOUN cjfa-12563 479 15 for for ADP cjfa-12563 479 16 sap sap PROPN cjfa-12563 479 17 amounts amount NOUN cjfa-12563 479 18 to to ADP cjfa-12563 479 19 0.6781 0.6781 NUM cjfa-12563 479 20 or or CCONJ cjfa-12563 479 21 18 18 NUM cjfa-12563 479 22 % % NOUN cjfa-12563 479 23 of of ADP cjfa-12563 479 24 the the DET cjfa-12563 479 25 empirical empirical ADJ cjfa-12563 479 26 approach approach NOUN cjfa-12563 479 27 , , PUNCT cjfa-12563 479 28 just just ADV cjfa-12563 479 29 like like ADP cjfa-12563 479 30 for for ADP cjfa-12563 479 31 daimler daimler NOUN cjfa-12563 479 32 . . PUNCT cjfa-12563 480 1 by by ADP cjfa-12563 480 2 contrast contrast NOUN cjfa-12563 480 3 , , PUNCT cjfa-12563 480 4 bmw bmw PROPN cjfa-12563 480 5 produces produce VERB cjfa-12563 480 6 a a DET cjfa-12563 480 7 difference difference NOUN cjfa-12563 480 8 between between ADP cjfa-12563 480 9 the the DET cjfa-12563 480 10 empirical empirical NOUN cjfa-12563 480 11 and and CCONJ cjfa-12563 480 12 the the DET cjfa-12563 480 13 normal normal ADJ cjfa-12563 480 14 vars var NOUN cjfa-12563 480 15 of of ADP cjfa-12563 480 16 only only ADV cjfa-12563 480 17 13 13 NUM cjfa-12563 480 18 % % NOUN cjfa-12563 480 19 of of ADP cjfa-12563 480 20 the the DET cjfa-12563 480 21 empirical empirical ADJ cjfa-12563 480 22 value value NOUN cjfa-12563 480 23 , , PUNCT cjfa-12563 480 24 while while SCONJ cjfa-12563 480 25 basf basf PROPN cjfa-12563 480 26 produces produce VERB cjfa-12563 480 27 16.5 16.5 NUM cjfa-12563 480 28 % % NOUN cjfa-12563 480 29 even even ADV cjfa-12563 480 30 though though SCONJ cjfa-12563 480 31 its its PRON cjfa-12563 480 32 bottom bottom ADJ cjfa-12563 480 33 tail tail NOUN cjfa-12563 480 34 appears appear VERB cjfa-12563 480 35 to to PART cjfa-12563 480 36 be be AUX cjfa-12563 480 37 much much ADV cjfa-12563 480 38 closer close ADJ cjfa-12563 480 39 to to ADP cjfa-12563 480 40 the the DET cjfa-12563 480 41 normal normal ADJ cjfa-12563 480 42 assumption assumption NOUN cjfa-12563 480 43 than than ADP cjfa-12563 480 44 that that PRON cjfa-12563 480 45 of of ADP cjfa-12563 480 46 bmw bmw PROPN cjfa-12563 480 47 or or CCONJ cjfa-12563 480 48 indeed indeed ADV cjfa-12563 480 49 sap sap PROPN cjfa-12563 480 50 . . PUNCT cjfa-12563 481 1 in in ADP cjfa-12563 481 2 order order NOUN cjfa-12563 481 3 to to PART cjfa-12563 481 4 determine determine VERB cjfa-12563 481 5 whether whether SCONJ cjfa-12563 481 6 the the DET cjfa-12563 481 7 pairwise pairwise NOUN cjfa-12563 481 8 dependencies dependency NOUN cjfa-12563 481 9 between between ADP cjfa-12563 481 10 the the DET cjfa-12563 481 11 return return NOUN cjfa-12563 481 12 series series NOUN cjfa-12563 481 13 are be AUX cjfa-12563 481 14 strong strong ADJ cjfa-12563 481 15 enough enough ADV cjfa-12563 481 16 to to PART cjfa-12563 481 17 require require VERB cjfa-12563 481 18 a a DET cjfa-12563 481 19 copula copula NOUN cjfa-12563 481 20 capturing capture VERB cjfa-12563 481 21 this this DET cjfa-12563 481 22 covariation covariation NOUN cjfa-12563 481 23 at at ADV cjfa-12563 481 24 all all ADV cjfa-12563 481 25 , , PUNCT cjfa-12563 481 26 we we PRON cjfa-12563 481 27 plot plot VERB cjfa-12563 481 28 the the DET cjfa-12563 481 29 empirical empirical ADJ cjfa-12563 481 30 copula copula NOUN cjfa-12563 481 31 cumulative cumulative ADJ cjfa-12563 481 32 density density NOUN cjfa-12563 481 33 functions function NOUN cjfa-12563 481 34 and and CCONJ cjfa-12563 481 35 the the DET cjfa-12563 481 36 copula copula ADJ cjfa-12563 481 37 densities density NOUN cjfa-12563 481 38 for for ADP cjfa-12563 481 39 the the DET cjfa-12563 481 40 two two NUM cjfa-12563 481 41 portfolios portfolio NOUN cjfa-12563 481 42 of of ADP cjfa-12563 481 43 daimler daimler NOUN cjfa-12563 481 44 and and CCONJ cjfa-12563 481 45 bmw bmw PROPN cjfa-12563 481 46 ( ( PUNCT cjfa-12563 481 47 figure figure NOUN cjfa-12563 481 48 2 2 NUM cjfa-12563 481 49 ) ) PUNCT cjfa-12563 481 50 and and CCONJ cjfa-12563 481 51 basf basf PROPN cjfa-12563 481 52 and and CCONJ cjfa-12563 481 53 sap sap PROPN cjfa-12563 481 54 ( ( PUNCT cjfa-12563 481 55 figure figure NOUN cjfa-12563 481 56 3 3 NUM cjfa-12563 481 57 ) ) PUNCT cjfa-12563 481 58 . . PUNCT cjfa-12563 482 1 both both DET cjfa-12563 482 2 estimations estimation NOUN cjfa-12563 482 3 are be AUX cjfa-12563 482 4 non non ADJ cjfa-12563 482 5 - - ADJ cjfa-12563 482 6 parametric parametric ADJ cjfa-12563 482 7 , , PUNCT cjfa-12563 482 8 i.e. i.e. X cjfa-12563 482 9 neither neither DET cjfa-12563 482 10 assumes assume VERB cjfa-12563 482 11 that that SCONJ cjfa-12563 482 12 the the DET cjfa-12563 482 13 returns return NOUN cjfa-12563 482 14 follow follow VERB cjfa-12563 482 15 a a DET cjfa-12563 482 16 normal normal ADJ cjfa-12563 482 17 or or CCONJ cjfa-12563 482 18 a a DET cjfa-12563 482 19 t t NOUN cjfa-12563 482 20 distribution distribution NOUN cjfa-12563 482 21 . . PUNCT cjfa-12563 483 1 the the DET cjfa-12563 483 2 contour contour NOUN cjfa-12563 483 3 lines line NOUN cjfa-12563 483 4 indicate indicate VERB cjfa-12563 483 5 that that SCONJ cjfa-12563 483 6 the the DET cjfa-12563 483 7 stocks stock NOUN cjfa-12563 483 8 are be AUX cjfa-12563 483 9 strongly strongly ADV cjfa-12563 483 10 dependent dependent ADJ cjfa-12563 483 11 in in ADP cjfa-12563 483 12 that that SCONJ cjfa-12563 483 13 the the DET cjfa-12563 483 14 isolines isoline NOUN cjfa-12563 483 15 for for ADP cjfa-12563 483 16 the the DET cjfa-12563 483 17 cumulative cumulative ADJ cjfa-12563 483 18 density density NOUN cjfa-12563 483 19 functions function NOUN cjfa-12563 483 20 are be AUX cjfa-12563 483 21 l l NOUN cjfa-12563 483 22 shaped shape VERB cjfa-12563 483 23 and and CCONJ cjfa-12563 483 24 the the DET cjfa-12563 483 25 isolines isoline NOUN cjfa-12563 483 26 for for ADP cjfa-12563 483 27 the the DET cjfa-12563 483 28 copula copula ADJ cjfa-12563 483 29 densities density NOUN cjfa-12563 483 30 are be AUX cjfa-12563 483 31 ellipses ellipsis NOUN cjfa-12563 483 32 rather rather ADV cjfa-12563 483 33 than than ADP cjfa-12563 483 34 circles circle NOUN cjfa-12563 483 35 . . PUNCT cjfa-12563 484 1 we we PRON cjfa-12563 484 2 conclude conclude VERB cjfa-12563 484 3 from from ADP cjfa-12563 484 4 this this PRON cjfa-12563 484 5 that that SCONJ cjfa-12563 484 6 it it PRON cjfa-12563 484 7 is be AUX cjfa-12563 484 8 worth worth ADJ cjfa-12563 484 9 proceeding proceed VERB cjfa-12563 484 10 with with ADP cjfa-12563 484 11 the the DET cjfa-12563 484 12 copula copula NOUN cjfa-12563 484 13 estimation estimation NOUN cjfa-12563 484 14 as as SCONJ cjfa-12563 484 15 there there PRON cjfa-12563 484 16 are be VERB cjfa-12563 484 17 substantial substantial ADJ cjfa-12563 484 18 dependencies dependency NOUN cjfa-12563 484 19 between between ADP cjfa-12563 484 20 the the DET cjfa-12563 484 21 stock stock NOUN cjfa-12563 484 22 returns return NOUN cjfa-12563 484 23 under under ADP cjfa-12563 484 24 investigation investigation NOUN cjfa-12563 484 25 here here ADV cjfa-12563 484 26 . . PUNCT cjfa-12563 485 1 christiane christiane PROPN cjfa-12563 485 2 goodfellow goodfellow PROPN cjfa-12563 485 3 , , PUNCT cjfa-12563 485 4 christian christian PROPN cjfa-12563 485 5 salm100 salm100 PROPN cjfa-12563 485 6 figure figure NOUN cjfa-12563 485 7 2 2 NUM cjfa-12563 485 8 . . PUNCT cjfa-12563 485 9 empirical empirical ADJ cjfa-12563 485 10 ( ( PUNCT cjfa-12563 485 11 non non ADJ cjfa-12563 485 12 - - ADJ cjfa-12563 485 13 parametric parametric ADJ cjfa-12563 485 14 ) ) PUNCT cjfa-12563 485 15 copula copula NOUN cjfa-12563 485 16 cdf cdf PROPN cjfa-12563 485 17 and and CCONJ cjfa-12563 485 18 copula copula NOUN cjfa-12563 485 19 density density NOUN cjfa-12563 485 20 for for ADP cjfa-12563 485 21 daimler daimler NOUN cjfa-12563 485 22 and and CCONJ cjfa-12563 485 23 bmw bmw ADJ cjfa-12563 485 24 returns return NOUN cjfa-12563 485 25 from from ADP cjfa-12563 485 26 1 1 NUM cjfa-12563 485 27 january january NOUN cjfa-12563 485 28 2011 2011 NUM cjfa-12563 485 29 to to ADP cjfa-12563 485 30 12 12 NUM cjfa-12563 485 31 september september PROPN cjfa-12563 485 32 2016 2016 NUM cjfa-12563 485 33 s s NOUN cjfa-12563 485 34 o o NOUN cjfa-12563 485 35 u u NOUN cjfa-12563 485 36 r r NOUN cjfa-12563 485 37 c c NOUN cjfa-12563 485 38 e e NOUN cjfa-12563 485 39 : : PUNCT cjfa-12563 485 40 developed develop VERB cjfa-12563 485 41 by by ADP cjfa-12563 485 42 author author NOUN cjfa-12563 485 43 . . PUNCT cjfa-12563 486 1 risky risky ADJ cjfa-12563 486 2 risk risk NOUN cjfa-12563 486 3 measures measure NOUN cjfa-12563 486 4 … … PUNCT cjfa-12563 486 5 101 101 NUM cjfa-12563 486 6 figure figure NOUN cjfa-12563 486 7 3 3 NUM cjfa-12563 486 8 . . PUNCT cjfa-12563 487 1 empirical empirical ADJ cjfa-12563 487 2 ( ( PUNCT cjfa-12563 487 3 non non ADJ cjfa-12563 487 4 - - ADJ cjfa-12563 487 5 parametric parametric ADJ cjfa-12563 487 6 ) ) PUNCT cjfa-12563 487 7 copula copula NOUN cjfa-12563 487 8 cdf cdf PROPN cjfa-12563 487 9 and and CCONJ cjfa-12563 487 10 copula copula NOUN cjfa-12563 487 11 density density NOUN cjfa-12563 487 12 for for ADP cjfa-12563 487 13 basf basf PROPN cjfa-12563 487 14 and and CCONJ cjfa-12563 487 15 sap sap PROPN cjfa-12563 487 16 returns return NOUN cjfa-12563 487 17 from from ADP cjfa-12563 487 18 1 1 NUM cjfa-12563 487 19 january january NOUN cjfa-12563 487 20 2011 2011 NUM cjfa-12563 487 21 to to ADP cjfa-12563 487 22 12 12 NUM cjfa-12563 487 23 september september PROPN cjfa-12563 487 24 2016 2016 NUM cjfa-12563 487 25 s s NOUN cjfa-12563 487 26 o o NOUN cjfa-12563 487 27 u u NOUN cjfa-12563 487 28 r r NOUN cjfa-12563 487 29 c c NOUN cjfa-12563 487 30 e e NOUN cjfa-12563 487 31 : : PUNCT cjfa-12563 487 32 developed develop VERB cjfa-12563 487 33 by by ADP cjfa-12563 487 34 author author NOUN cjfa-12563 487 35 . . PUNCT cjfa-12563 488 1 in in ADP cjfa-12563 488 2 light light NOUN cjfa-12563 488 3 of of ADP cjfa-12563 488 4 these these DET cjfa-12563 488 5 conclusions conclusion NOUN cjfa-12563 488 6 , , PUNCT cjfa-12563 488 7 we we PRON cjfa-12563 488 8 need need VERB cjfa-12563 488 9 to to PART cjfa-12563 488 10 determine determine VERB cjfa-12563 488 11 the the DET cjfa-12563 488 12 suitable suitable ADJ cjfa-12563 488 13 marginal marginal ADJ cjfa-12563 488 14 distribution distribution NOUN cjfa-12563 488 15 for for ADP cjfa-12563 488 16 each each PRON cjfa-12563 488 17 of of ADP cjfa-12563 488 18 the the DET cjfa-12563 488 19 4 4 NUM cjfa-12563 488 20 stock stock NOUN cjfa-12563 488 21 returns return NOUN cjfa-12563 488 22 . . PUNCT cjfa-12563 489 1 figures figure NOUN cjfa-12563 489 2 4 4 NUM cjfa-12563 489 3 and and CCONJ cjfa-12563 489 4 5 5 NUM cjfa-12563 489 5 present present VERB cjfa-12563 489 6 the the DET cjfa-12563 489 7 kernel kernel PROPN cjfa-12563 489 8 density density PROPN cjfa-12563 489 9 , , PUNCT cjfa-12563 489 10 which which PRON cjfa-12563 489 11 is be AUX cjfa-12563 489 12 effectively effectively ADV cjfa-12563 489 13 the the DET cjfa-12563 489 14 empirical empirical ADJ cjfa-12563 489 15 frequency frequency NOUN cjfa-12563 489 16 distribution distribution NOUN cjfa-12563 489 17 , , PUNCT cjfa-12563 489 18 in in ADP cjfa-12563 489 19 comparison comparison NOUN cjfa-12563 489 20 to to ADP cjfa-12563 489 21 the the DET cjfa-12563 489 22 fitted fit VERB cjfa-12563 489 23 normal normal ADJ cjfa-12563 489 24 and and CCONJ cjfa-12563 489 25 t t NOUN cjfa-12563 489 26 distributions distribution NOUN cjfa-12563 489 27 . . PUNCT cjfa-12563 490 1 not not PART cjfa-12563 490 2 surprisingly surprisingly ADV cjfa-12563 490 3 , , PUNCT cjfa-12563 490 4 the the DET cjfa-12563 490 5 t t NOUN cjfa-12563 490 6 distribution distribution NOUN cjfa-12563 490 7 is be AUX cjfa-12563 490 8 the the DET cjfa-12563 490 9 best good ADJ cjfa-12563 490 10 fit fit NOUN cjfa-12563 490 11 for for ADP cjfa-12563 490 12 the the DET cjfa-12563 490 13 tails tail NOUN cjfa-12563 490 14 of of ADP cjfa-12563 490 15 the the DET cjfa-12563 490 16 distributions distribution NOUN cjfa-12563 490 17 . . PUNCT cjfa-12563 491 1 we we PRON cjfa-12563 491 2 therefore therefore ADV cjfa-12563 491 3 expect expect VERB cjfa-12563 491 4 that that SCONJ cjfa-12563 491 5 the the DET cjfa-12563 491 6 var var NOUN cjfa-12563 491 7 based base VERB cjfa-12563 491 8 on on ADP cjfa-12563 491 9 the the DET cjfa-12563 491 10 gaussian gaussian ADJ cjfa-12563 491 11 copula copula NOUN cjfa-12563 491 12 will will AUX cjfa-12563 491 13 underestimate underestimate VERB cjfa-12563 491 14 the the DET cjfa-12563 491 15 risk risk NOUN cjfa-12563 491 16 , , PUNCT cjfa-12563 491 17 just just ADV cjfa-12563 491 18 like like ADP cjfa-12563 491 19 the the DET cjfa-12563 491 20 normal normal ADJ cjfa-12563 491 21 assumption assumption NOUN cjfa-12563 491 22 for for ADP cjfa-12563 491 23 the the DET cjfa-12563 491 24 conventional conventional ADJ cjfa-12563 491 25 var var NOUN cjfa-12563 491 26 calculation calculation NOUN cjfa-12563 491 27 . . PUNCT cjfa-12563 492 1 christiane christiane PROPN cjfa-12563 492 2 goodfellow goodfellow PROPN cjfa-12563 492 3 , , PUNCT cjfa-12563 492 4 christian christian ADJ cjfa-12563 492 5 salm102 salm102 PROPN cjfa-12563 492 6 figure figure NOUN cjfa-12563 492 7 4 4 NUM cjfa-12563 492 8 . . PUNCT cjfa-12563 492 9 fitted fit VERB cjfa-12563 492 10 mariginal mariginal NOUN cjfa-12563 492 11 distributions distribution NOUN cjfa-12563 492 12 functions function NOUN cjfa-12563 492 13 for for ADP cjfa-12563 492 14 daimler daimler NOUN cjfa-12563 492 15 and and CCONJ cjfa-12563 492 16 bmw bmw ADJ cjfa-12563 492 17 returns return NOUN cjfa-12563 492 18 from from ADP cjfa-12563 492 19 1 1 NUM cjfa-12563 492 20 january january NOUN cjfa-12563 492 21 2011 2011 NUM cjfa-12563 492 22 to to ADP cjfa-12563 492 23 12 12 NUM cjfa-12563 492 24 september september PROPN cjfa-12563 492 25 2016 2016 NUM cjfa-12563 492 26 s s NOUN cjfa-12563 492 27 o o NOUN cjfa-12563 492 28 u u NOUN cjfa-12563 492 29 r r NOUN cjfa-12563 492 30 c c NOUN cjfa-12563 492 31 e e NOUN cjfa-12563 492 32 : : PUNCT cjfa-12563 492 33 developed develop VERB cjfa-12563 492 34 by by ADP cjfa-12563 492 35 author author NOUN cjfa-12563 492 36 . . PUNCT cjfa-12563 493 1 figure figure NOUN cjfa-12563 493 2 5 5 NUM cjfa-12563 493 3 . . PUNCT cjfa-12563 493 4 fitted fit VERB cjfa-12563 493 5 mariginal mariginal NOUN cjfa-12563 493 6 distributions distribution NOUN cjfa-12563 493 7 functions function NOUN cjfa-12563 493 8 for for ADP cjfa-12563 493 9 basf basf PROPN cjfa-12563 493 10 and and CCONJ cjfa-12563 493 11 sap sap PROPN cjfa-12563 493 12 returns return NOUN cjfa-12563 493 13 from from ADP cjfa-12563 493 14 1 1 NUM cjfa-12563 493 15 january january NOUN cjfa-12563 493 16 2011 2011 NUM cjfa-12563 493 17 to to ADP cjfa-12563 493 18 12 12 NUM cjfa-12563 493 19 september september PROPN cjfa-12563 493 20 2016 2016 NUM cjfa-12563 493 21 s s NOUN cjfa-12563 493 22 o o NOUN cjfa-12563 493 23 u u NOUN cjfa-12563 493 24 r r NOUN cjfa-12563 493 25 c c NOUN cjfa-12563 493 26 e e NOUN cjfa-12563 493 27 : : PUNCT cjfa-12563 493 28 developed develop VERB cjfa-12563 493 29 by by ADP cjfa-12563 493 30 author author NOUN cjfa-12563 493 31 . . PUNCT cjfa-12563 494 1 finally finally ADV cjfa-12563 494 2 , , PUNCT cjfa-12563 494 3 table table NOUN cjfa-12563 494 4 3 3 NUM cjfa-12563 494 5 reports report NOUN cjfa-12563 494 6 copula copula NOUN cjfa-12563 494 7 - - PUNCT cjfa-12563 494 8 based base VERB cjfa-12563 494 9 var var NOUN cjfa-12563 494 10 figures figure NOUN cjfa-12563 494 11 . . PUNCT cjfa-12563 495 1 risky risky ADJ cjfa-12563 495 2 risk risk NOUN cjfa-12563 495 3 measures measure NOUN cjfa-12563 495 4 … … SYM cjfa-12563 495 5 103 103 NUM cjfa-12563 495 6 table table NOUN cjfa-12563 495 7 3 3 NUM cjfa-12563 495 8 . . PUNCT cjfa-12563 495 9 copula copula NOUN cjfa-12563 495 10 - - PUNCT cjfa-12563 495 11 based base VERB cjfa-12563 495 12 value value NOUN cjfa-12563 495 13 at at ADP cjfa-12563 495 14 risk risk NOUN cjfa-12563 495 15 for for ADP cjfa-12563 495 16 return return NOUN cjfa-12563 495 17 series series NOUN cjfa-12563 495 18 of of ADP cjfa-12563 495 19 daimler daimler PROPN cjfa-12563 495 20 , , PUNCT cjfa-12563 495 21 bmw bmw PROPN cjfa-12563 495 22 , , PUNCT cjfa-12563 495 23 basf basf PROPN cjfa-12563 495 24 , , PUNCT cjfa-12563 495 25 and and CCONJ cjfa-12563 495 26 sap sap PROPN cjfa-12563 495 27 as as ADV cjfa-12563 495 28 well well ADV cjfa-12563 495 29 as as ADP cjfa-12563 495 30 for for ADP cjfa-12563 495 31 a a DET cjfa-12563 495 32 portfolio portfolio NOUN cjfa-12563 495 33 of of ADP cjfa-12563 495 34 daimler daimler NOUN cjfa-12563 495 35 and and CCONJ cjfa-12563 495 36 bmw bmw PROPN cjfa-12563 495 37 and and CCONJ cjfa-12563 495 38 a a DET cjfa-12563 495 39 portfolio portfolio NOUN cjfa-12563 495 40 of of ADP cjfa-12563 495 41 basf basf PROPN cjfa-12563 495 42 and and CCONJ cjfa-12563 495 43 sap sap PROPN cjfa-12563 495 44 t t PROPN cjfa-12563 495 45 - - PUNCT cjfa-12563 495 46 copula copula NOUN cjfa-12563 495 47 var var NOUN cjfa-12563 495 48 gaussian gaussian NOUN cjfa-12563 495 49 copula copula NOUN cjfa-12563 495 50 var var NOUN cjfa-12563 495 51 difference difference NOUN cjfa-12563 495 52 daimler daimler PROPN cjfa-12563 495 53 bmw bmw PROPN cjfa-12563 495 54 3,7277 3,7277 PROPN cjfa-12563 496 1 3,2986 3,2986 PROPN cjfa-12563 496 2 0,4291 0,4291 PROPN cjfa-12563 496 3 basf basf PROPN cjfa-12563 496 4 sap sap PROPN cjfa-12563 496 5 3,6121 3,6121 NUM cjfa-12563 496 6 2,4119 2,4119 NUM cjfa-12563 496 7 1,2002 1,2002 NUM cjfa-12563 496 8 figures figure NOUN cjfa-12563 496 9 reported report VERB cjfa-12563 496 10 in in ADP cjfa-12563 496 11 this this DET cjfa-12563 496 12 table table NOUN cjfa-12563 496 13 are be AUX cjfa-12563 496 14 based base VERB cjfa-12563 496 15 on on ADP cjfa-12563 496 16 daimler daimler PROPN cjfa-12563 496 17 bmw bmw PROPN cjfa-12563 496 18 3,7277 3,7277 PROPN cjfa-12563 496 19 3,2986 3,2986 PROPN cjfa-12563 496 20 0,4291 0,4291 PROPN cjfa-12563 496 21 basf basf PROPN cjfa-12563 496 22 sap sap PROPN cjfa-12563 496 23 3,6121 3,6121 NUM cjfa-12563 496 24 2,4119 2,4119 NUM cjfa-12563 496 25 1,2002 1,2002 NUM cjfa-12563 496 26 figures figure NOUN cjfa-12563 496 27 reported report VERB cjfa-12563 496 28 in in ADP cjfa-12563 496 29 this this DET cjfa-12563 496 30 table table NOUN cjfa-12563 496 31 are be AUX cjfa-12563 496 32 based base VERB cjfa-12563 496 33 on on ADP cjfa-12563 496 34 . . PUNCT cjfa-12563 497 1 sampling sample VERB cjfa-12563 497 2 period period NOUN cjfa-12563 497 3 is be AUX cjfa-12563 497 4 1 1 NUM cjfa-12563 497 5 january january NOUN cjfa-12563 497 6 2011 2011 NUM cjfa-12563 497 7 to to ADP cjfa-12563 497 8 12 12 NUM cjfa-12563 497 9 september september PROPN cjfa-12563 497 10 2016 2016 NUM cjfa-12563 497 11 , , PUNCT cjfa-12563 497 12 var var NOUN cjfa-12563 497 13 holding holding NOUN cjfa-12563 497 14 period period NOUN cjfa-12563 497 15 1 1 NUM cjfa-12563 497 16 day day NOUN cjfa-12563 497 17 , , PUNCT cjfa-12563 497 18 99 99 NUM cjfa-12563 497 19 % % NOUN cjfa-12563 497 20 confidence confidence NOUN cjfa-12563 497 21 level level NOUN cjfa-12563 497 22 , , PUNCT cjfa-12563 497 23 portfolio portfolio NOUN cjfa-12563 497 24 weights weight VERB cjfa-12563 497 25 50 50 NUM cjfa-12563 497 26 % % NOUN cjfa-12563 497 27 , , PUNCT cjfa-12563 497 28 difference difference NOUN cjfa-12563 497 29 in in ADP cjfa-12563 497 30 absolute absolute ADJ cjfa-12563 497 31 values value NOUN cjfa-12563 497 32 . . PUNCT cjfa-12563 498 1 source source NOUN cjfa-12563 498 2 : : PUNCT cjfa-12563 498 3 developed develop VERB cjfa-12563 498 4 by by ADP cjfa-12563 498 5 author author NOUN cjfa-12563 498 6 . . PUNCT cjfa-12563 499 1 similarly similarly ADV cjfa-12563 499 2 to to ADP cjfa-12563 499 3 the the DET cjfa-12563 499 4 conventional conventional ADJ cjfa-12563 499 5 var var NOUN cjfa-12563 499 6 estimates estimate NOUN cjfa-12563 499 7 reported report VERB cjfa-12563 499 8 in in ADP cjfa-12563 499 9 table table NOUN cjfa-12563 499 10 2 2 NUM cjfa-12563 499 11 , , PUNCT cjfa-12563 499 12 we we PRON cjfa-12563 499 13 find find VERB cjfa-12563 499 14 that that SCONJ cjfa-12563 499 15 the the DET cjfa-12563 499 16 normal normal ADJ cjfa-12563 499 17 assumption assumption NOUN cjfa-12563 499 18 leads lead VERB cjfa-12563 499 19 to to ADP cjfa-12563 499 20 underestimating underestimate VERB cjfa-12563 499 21 risk risk NOUN cjfa-12563 499 22 ( ( PUNCT cjfa-12563 499 23 see see VERB cjfa-12563 499 24 column column NOUN cjfa-12563 499 25 ' ' PUNCT cjfa-12563 499 26 difference difference NOUN cjfa-12563 499 27 ' ' PUNCT cjfa-12563 499 28 in in ADP cjfa-12563 499 29 table table NOUN cjfa-12563 499 30 3 3 NUM cjfa-12563 499 31 ) ) PUNCT cjfa-12563 499 32 . . PUNCT cjfa-12563 500 1 we we PRON cjfa-12563 500 2 only only ADV cjfa-12563 500 3 report report VERB cjfa-12563 500 4 the the DET cjfa-12563 500 5 results result NOUN cjfa-12563 500 6 for for ADP cjfa-12563 500 7 the the DET cjfa-12563 500 8 two two NUM cjfa-12563 500 9 portfolios portfolio NOUN cjfa-12563 500 10 as as ADP cjfa-12563 500 11 a a DET cjfa-12563 500 12 copula copula NOUN cjfa-12563 500 13 does do AUX cjfa-12563 500 14 not not PART cjfa-12563 500 15 make make VERB cjfa-12563 500 16 sense sense NOUN cjfa-12563 500 17 for for ADP cjfa-12563 500 18 individual individual ADJ cjfa-12563 500 19 return return NOUN cjfa-12563 500 20 series series NOUN cjfa-12563 500 21 . . PUNCT cjfa-12563 501 1 for for ADP cjfa-12563 501 2 the the DET cjfa-12563 501 3 automobile automobile NOUN cjfa-12563 501 4 portfolio portfolio NOUN cjfa-12563 501 5 , , PUNCT cjfa-12563 501 6 we we PRON cjfa-12563 501 7 underestimate underestimate VERB cjfa-12563 501 8 risk risk NOUN cjfa-12563 501 9 with with ADP cjfa-12563 501 10 the the DET cjfa-12563 501 11 gaussian gaussian ADJ cjfa-12563 501 12 approach approach NOUN cjfa-12563 501 13 by by ADP cjfa-12563 501 14 4,291 4,291 NUM cjfa-12563 501 15 euros euro NOUN cjfa-12563 501 16 or or CCONJ cjfa-12563 501 17 11.5 11.5 NUM cjfa-12563 501 18 % % NOUN cjfa-12563 501 19 of of ADP cjfa-12563 501 20 the the DET cjfa-12563 501 21 t t NOUN cjfa-12563 501 22 distribution distribution NOUN cjfa-12563 501 23 var var NOUN cjfa-12563 501 24 if if SCONJ cjfa-12563 501 25 1 1 NUM cjfa-12563 501 26 million million NUM cjfa-12563 501 27 euros euro NOUN cjfa-12563 501 28 are be AUX cjfa-12563 501 29 invested invest VERB cjfa-12563 501 30 into into ADP cjfa-12563 501 31 this this DET cjfa-12563 501 32 portfolio portfolio NOUN cjfa-12563 501 33 . . PUNCT cjfa-12563 502 1 by by ADP cjfa-12563 502 2 contrast contrast NOUN cjfa-12563 502 3 , , PUNCT cjfa-12563 502 4 for for ADP cjfa-12563 502 5 the the DET cjfa-12563 502 6 better well ADV cjfa-12563 502 7 diversified diversified ADJ cjfa-12563 502 8 portfolio portfolio NOUN cjfa-12563 502 9 of of ADP cjfa-12563 502 10 basf basf PROPN cjfa-12563 502 11 and and CCONJ cjfa-12563 502 12 sap sap PROPN cjfa-12563 502 13 , , PUNCT cjfa-12563 502 14 we we PRON cjfa-12563 502 15 underestimate underestimate VERB cjfa-12563 502 16 risk risk NOUN cjfa-12563 502 17 by by ADP cjfa-12563 502 18 12,002 12,002 NUM cjfa-12563 502 19 euros euro NOUN cjfa-12563 502 20 or or CCONJ cjfa-12563 502 21 33 33 NUM cjfa-12563 502 22 % % NOUN cjfa-12563 502 23 of of ADP cjfa-12563 502 24 the the DET cjfa-12563 502 25 t t NOUN cjfa-12563 502 26 distribution distribution NOUN cjfa-12563 502 27 var var NOUN cjfa-12563 502 28 for for ADP cjfa-12563 502 29 a a DET cjfa-12563 502 30 1 1 NUM cjfa-12563 502 31 - - PUNCT cjfa-12563 502 32 million million NUM cjfa-12563 502 33 euro euro NOUN cjfa-12563 502 34 portfolio portfolio NOUN cjfa-12563 502 35 . . PUNCT cjfa-12563 503 1 with with ADP cjfa-12563 503 2 these these DET cjfa-12563 503 3 results result NOUN cjfa-12563 503 4 , , PUNCT cjfa-12563 503 5 we we PRON cjfa-12563 503 6 confirm confirm VERB cjfa-12563 503 7 our our PRON cjfa-12563 503 8 conjecture conjecture NOUN cjfa-12563 503 9 and and CCONJ cjfa-12563 503 10 our our PRON cjfa-12563 503 11 earlier early ADJ cjfa-12563 503 12 conclusion conclusion NOUN cjfa-12563 503 13 that that SCONJ cjfa-12563 503 14 the the DET cjfa-12563 503 15 normal normal ADJ cjfa-12563 503 16 assumption assumption NOUN cjfa-12563 503 17 substantially substantially ADV cjfa-12563 503 18 underestimates underestimate VERB cjfa-12563 503 19 risk risk NOUN cjfa-12563 503 20 and and CCONJ cjfa-12563 503 21 should should AUX cjfa-12563 503 22 therefore therefore ADV cjfa-12563 503 23 be be AUX cjfa-12563 503 24 avoided avoid VERB cjfa-12563 503 25 in in ADP cjfa-12563 503 26 practice practice NOUN cjfa-12563 503 27 . . PUNCT cjfa-12563 504 1 while while SCONJ cjfa-12563 504 2 the the DET cjfa-12563 504 3 empirical empirical ADJ cjfa-12563 504 4 distribution distribution NOUN cjfa-12563 504 5 is be AUX cjfa-12563 504 6 certainly certainly ADV cjfa-12563 504 7 the the DET cjfa-12563 504 8 best good ADJ cjfa-12563 504 9 fit fit NOUN cjfa-12563 504 10 , , PUNCT cjfa-12563 504 11 the the DET cjfa-12563 504 12 t t NOUN cjfa-12563 504 13 distribution distribution NOUN cjfa-12563 504 14 works work VERB cjfa-12563 504 15 reasonably reasonably ADV cjfa-12563 504 16 well well ADV cjfa-12563 504 17 for for ADP cjfa-12563 504 18 the the DET cjfa-12563 504 19 4 4 NUM cjfa-12563 504 20 return return NOUN cjfa-12563 504 21 series series NOUN cjfa-12563 504 22 investigated investigate VERB cjfa-12563 504 23 here here ADV cjfa-12563 504 24 ( ( PUNCT cjfa-12563 504 25 see see VERB cjfa-12563 504 26 figures figure NOUN cjfa-12563 504 27 4 4 NUM cjfa-12563 504 28 and and CCONJ cjfa-12563 504 29 5 5 NUM cjfa-12563 504 30 ) ) PUNCT cjfa-12563 504 31 . . PUNCT cjfa-12563 505 1 as as ADP cjfa-12563 505 2 a a DET cjfa-12563 505 3 robustness robustness NOUN cjfa-12563 505 4 check check NOUN cjfa-12563 505 5 , , PUNCT cjfa-12563 505 6 we we PRON cjfa-12563 505 7 calculate calculate VERB cjfa-12563 505 8 the the DET cjfa-12563 505 9 same same ADJ cjfa-12563 505 10 indicators indicator NOUN cjfa-12563 505 11 for for ADP cjfa-12563 505 12 the the DET cjfa-12563 505 13 stress stress NOUN cjfa-12563 505 14 period period NOUN cjfa-12563 505 15 of of ADP cjfa-12563 505 16 02 02 NUM cjfa-12563 505 17 july july PROPN cjfa-12563 505 18 2007 2007 NUM cjfa-12563 505 19 to to ADP cjfa-12563 505 20 31 31 NUM cjfa-12563 505 21 december december PROPN cjfa-12563 505 22 2009 2009 NUM cjfa-12563 505 23 . . PUNCT cjfa-12563 506 1 during during ADP cjfa-12563 506 2 this this DET cjfa-12563 506 3 time time NOUN cjfa-12563 506 4 , , PUNCT cjfa-12563 506 5 the the DET cjfa-12563 506 6 global global ADJ cjfa-12563 506 7 financial financial ADJ cjfa-12563 506 8 crisis crisis NOUN cjfa-12563 506 9 had have VERB cjfa-12563 506 10 its its PRON cjfa-12563 506 11 heaviest heavy ADJ cjfa-12563 506 12 impact impact NOUN cjfa-12563 506 13 on on ADP cjfa-12563 506 14 financial financial ADJ cjfa-12563 506 15 markets market NOUN cjfa-12563 506 16 . . PUNCT cjfa-12563 507 1 therefore therefore ADV cjfa-12563 507 2 , , PUNCT cjfa-12563 507 3 the the DET cjfa-12563 507 4 var var NOUN cjfa-12563 507 5 calculated calculate VERB cjfa-12563 507 6 for for ADP cjfa-12563 507 7 this this DET cjfa-12563 507 8 period period NOUN cjfa-12563 507 9 is be AUX cjfa-12563 507 10 interpreted interpret VERB cjfa-12563 507 11 as as ADP cjfa-12563 507 12 the the DET cjfa-12563 507 13 stressed stressed ADJ cjfa-12563 507 14 var var NOUN cjfa-12563 507 15 in in ADP cjfa-12563 507 16 the the DET cjfa-12563 507 17 basel basel PROPN cjfa-12563 507 18 iii iii PROPN cjfa-12563 507 19 framework framework NOUN cjfa-12563 507 20 . . PUNCT cjfa-12563 508 1 tables table NOUN cjfa-12563 508 2 4 4 NUM cjfa-12563 508 3 to to PART cjfa-12563 508 4 6 6 NUM cjfa-12563 508 5 summarise summarise VERB cjfa-12563 508 6 the the DET cjfa-12563 508 7 results result NOUN cjfa-12563 508 8 . . PUNCT cjfa-12563 509 1 table table NOUN cjfa-12563 509 2 4 4 NUM cjfa-12563 509 3 . . PUNCT cjfa-12563 509 4 descriptive descriptive ADJ cjfa-12563 509 5 statistics statistic NOUN cjfa-12563 509 6 for for ADP cjfa-12563 509 7 stressed stressed ADJ cjfa-12563 509 8 return return NOUN cjfa-12563 509 9 series series NOUN cjfa-12563 509 10 of of ADP cjfa-12563 509 11 daimler daimler PROPN cjfa-12563 509 12 , , PUNCT cjfa-12563 509 13 bmw bmw PROPN cjfa-12563 509 14 , , PUNCT cjfa-12563 509 15 basf basf PROPN cjfa-12563 509 16 , , PUNCT cjfa-12563 509 17 and and CCONJ cjfa-12563 509 18 sap sap PROPN cjfa-12563 509 19 from from ADP cjfa-12563 509 20 02 02 NUM cjfa-12563 509 21 july july PROPN cjfa-12563 509 22 2007 2007 NUM cjfa-12563 509 23 to to ADP cjfa-12563 509 24 31 31 NUM cjfa-12563 509 25 december december PROPN cjfa-12563 509 26 2009 2009 NUM cjfa-12563 509 27 daimler daimler NOUN cjfa-12563 509 28 bmw bmw PROPN cjfa-12563 509 29 basf basf PROPN cjfa-12563 509 30 sap sap PROPN cjfa-12563 509 31 number number NOUN cjfa-12563 509 32 of of ADP cjfa-12563 509 33 observations observation NOUN cjfa-12563 509 34 635 635 NUM cjfa-12563 509 35 634 634 NUM cjfa-12563 509 36 637 637 NUM cjfa-12563 509 37 635 635 NUM cjfa-12563 509 38 median median NOUN cjfa-12563 509 39 0,00000 0,00000 ADJ cjfa-12563 509 40 -0,03806 -0,03806 X cjfa-12563 509 41 0,00000 0,00000 ADJ cjfa-12563 510 1 0,00000 0,00000 NUM cjfa-12563 510 2 mean mean VERB cjfa-12563 510 3 -0,07830 -0,07830 PROPN cjfa-12563 510 4 -0,04896 -0,04896 PROPN cjfa-12563 510 5 -0,00651 -0,00651 PROPN cjfa-12563 510 6 -0,01690 -0,01690 PROPN cjfa-12563 510 7 variance variance NOUN cjfa-12563 510 8 10,52665 10,52665 NUM cjfa-12563 510 9 8,09299 8,09299 NOUN cjfa-12563 510 10 7,27877 7,27877 PROPN cjfa-12563 510 11 4,61677 4,61677 PROPN cjfa-12563 510 12 standard standard ADJ cjfa-12563 510 13 deviation deviation NOUN cjfa-12563 510 14 3,24448 3,24448 NUM cjfa-12563 510 15 2,84482 2,84482 NUM cjfa-12563 510 16 2,69792 2,69792 NUM cjfa-12563 510 17 2,14867 2,14867 NUM cjfa-12563 510 18 skewness skewness NOUN cjfa-12563 510 19 0,47567 0,47567 PROPN cjfa-12563 510 20 0,31012 0,31012 PROPN cjfa-12563 510 21 0,18209 0,18209 NOUN cjfa-12563 510 22 -0,38797 -0,38797 PROPN cjfa-12563 510 23 kurtosis kurtosis VERB cjfa-12563 510 24 5,53263 5,53263 NUM cjfa-12563 510 25 3,47062 3,47062 NUM cjfa-12563 510 26 6,70795 6,70795 NUM cjfa-12563 510 27 13,16942 13,16942 NUM cjfa-12563 510 28 correlation correlation NOUN cjfa-12563 510 29 coefficient coefficient NOUN cjfa-12563 510 30 0,75 0,75 NUM cjfa-12563 510 31 0,47 0,47 NUM cjfa-12563 510 32 figures figure NOUN cjfa-12563 510 33 reported report VERB cjfa-12563 510 34 in in ADP cjfa-12563 510 35 this this DET cjfa-12563 510 36 table table NOUN cjfa-12563 510 37 are be AUX cjfa-12563 510 38 based base VERB cjfa-12563 510 39 . . PUNCT cjfa-12563 511 1 in in ADP cjfa-12563 511 2 the the DET cjfa-12563 511 3 markowitz markowitz PROPN cjfa-12563 511 4 ( ( PUNCT cjfa-12563 511 5 1952 1952 NUM cjfa-12563 511 6 ) ) PUNCT cjfa-12563 511 7 world world NOUN cjfa-12563 511 8 , , PUNCT cjfa-12563 511 9 this this DET cjfa-12563 511 10 table table NOUN cjfa-12563 511 11 gives give VERB cjfa-12563 511 12 sufficient sufficient ADJ cjfa-12563 511 13 risk risk NOUN cjfa-12563 511 14 measures measure NOUN cjfa-12563 511 15 in in ADP cjfa-12563 511 16 that that SCONJ cjfa-12563 511 17 it it PRON cjfa-12563 511 18 lists list VERB cjfa-12563 511 19 standard standard ADJ cjfa-12563 511 20 deviations deviation NOUN cjfa-12563 511 21 as as ADV cjfa-12563 511 22 well well ADV cjfa-12563 511 23 as as ADP cjfa-12563 511 24 correlation correlation NOUN cjfa-12563 511 25 coefficients coefficient NOUN cjfa-12563 511 26 . . PUNCT cjfa-12563 512 1 the the DET cjfa-12563 512 2 latter latter ADJ cjfa-12563 512 3 are be AUX cjfa-12563 512 4 . . PUNCT cjfa-12563 513 1 sampling sample VERB cjfa-12563 513 2 period period NOUN cjfa-12563 513 3 is be AUX cjfa-12563 513 4 1 1 NUM cjfa-12563 513 5 january january NOUN cjfa-12563 513 6 2011 2011 NUM cjfa-12563 513 7 to to ADP cjfa-12563 513 8 12 12 NUM cjfa-12563 513 9 september september PROPN cjfa-12563 513 10 2016 2016 NUM cjfa-12563 513 11 , , PUNCT cjfa-12563 513 12 var var NOUN cjfa-12563 513 13 holding holding NOUN cjfa-12563 513 14 period period NOUN cjfa-12563 513 15 1 1 NUM cjfa-12563 513 16 day day NOUN cjfa-12563 513 17 , , PUNCT cjfa-12563 513 18 99 99 NUM cjfa-12563 513 19 % % NOUN cjfa-12563 513 20 confidence confidence NOUN cjfa-12563 513 21 level level NOUN cjfa-12563 513 22 , , PUNCT cjfa-12563 513 23 portfolio portfolio NOUN cjfa-12563 513 24 weights weight VERB cjfa-12563 513 25 50 50 NUM cjfa-12563 513 26 % % NOUN cjfa-12563 513 27 , , PUNCT cjfa-12563 513 28 difference difference NOUN cjfa-12563 513 29 in in ADP cjfa-12563 513 30 absolute absolute ADJ cjfa-12563 513 31 values value NOUN cjfa-12563 513 32 . . PUNCT cjfa-12563 514 1 s s PART cjfa-12563 514 2 o o X cjfa-12563 514 3 u u NOUN cjfa-12563 514 4 r r NOUN cjfa-12563 514 5 c c NOUN cjfa-12563 514 6 e e NOUN cjfa-12563 514 7 : : PUNCT cjfa-12563 514 8 developed develop VERB cjfa-12563 514 9 by by ADP cjfa-12563 514 10 author author NOUN cjfa-12563 514 11 . . PUNCT cjfa-12563 515 1 similarly similarly ADV cjfa-12563 515 2 to to ADP cjfa-12563 515 3 the the DET cjfa-12563 515 4 conventional conventional ADJ cjfa-12563 515 5 var var NOUN cjfa-12563 515 6 estimates estimate NOUN cjfa-12563 515 7 reported report VERB cjfa-12563 515 8 in in ADP cjfa-12563 515 9 table table NOUN cjfa-12563 515 10 2 2 NUM cjfa-12563 515 11 , , PUNCT cjfa-12563 515 12 we we PRON cjfa-12563 515 13 find find VERB cjfa-12563 515 14 that that SCONJ cjfa-12563 515 15 the the DET cjfa-12563 515 16 normal normal ADJ cjfa-12563 515 17 assumption assumption NOUN cjfa-12563 515 18 leads lead VERB cjfa-12563 515 19 to to ADP cjfa-12563 515 20 underestimating underestimate VERB cjfa-12563 515 21 risk risk NOUN cjfa-12563 515 22 ( ( PUNCT cjfa-12563 515 23 see see VERB cjfa-12563 515 24 column column NOUN cjfa-12563 515 25 ‘ ' PUNCT cjfa-12563 515 26 difference difference NOUN cjfa-12563 515 27 ’ ' PUNCT cjfa-12563 515 28 in in ADP cjfa-12563 515 29 table table NOUN cjfa-12563 515 30 3 3 NUM cjfa-12563 515 31 ) ) PUNCT cjfa-12563 515 32 . . PUNCT cjfa-12563 516 1 we we PRON cjfa-12563 516 2 only only ADV cjfa-12563 516 3 report report VERB cjfa-12563 516 4 the the DET cjfa-12563 516 5 results result NOUN cjfa-12563 516 6 for for ADP cjfa-12563 516 7 the the DET cjfa-12563 516 8 two two NUM cjfa-12563 516 9 portfolios portfolio NOUN cjfa-12563 516 10 as as ADP cjfa-12563 516 11 a a DET cjfa-12563 516 12 copula copula NOUN cjfa-12563 516 13 does do AUX cjfa-12563 516 14 not not PART cjfa-12563 516 15 make make VERB cjfa-12563 516 16 sense sense NOUN cjfa-12563 516 17 for for ADP cjfa-12563 516 18 individual individual ADJ cjfa-12563 516 19 return return NOUN cjfa-12563 516 20 series series NOUN cjfa-12563 516 21 . . PUNCT cjfa-12563 517 1 for for ADP cjfa-12563 517 2 the the DET cjfa-12563 517 3 automobile automobile NOUN cjfa-12563 517 4 portfolio portfolio NOUN cjfa-12563 517 5 , , PUNCT cjfa-12563 517 6 we we PRON cjfa-12563 517 7 underestimate underestimate VERB cjfa-12563 517 8 risk risk NOUN cjfa-12563 517 9 with with ADP cjfa-12563 517 10 the the DET cjfa-12563 517 11 gaussian gaussian ADJ cjfa-12563 517 12 approach approach NOUN cjfa-12563 517 13 by by ADP cjfa-12563 517 14 4,291 4,291 NUM cjfa-12563 517 15 euros euro NOUN cjfa-12563 517 16 or or CCONJ cjfa-12563 517 17 11.5 11.5 NUM cjfa-12563 517 18 % % NOUN cjfa-12563 517 19 of of ADP cjfa-12563 517 20 the the DET cjfa-12563 517 21 t t NOUN cjfa-12563 517 22 distribution distribution NOUN cjfa-12563 517 23 var var NOUN cjfa-12563 517 24 if if SCONJ cjfa-12563 517 25 1 1 NUM cjfa-12563 517 26 million million NUM cjfa-12563 517 27 euros euro NOUN cjfa-12563 517 28 are be AUX cjfa-12563 517 29 invested invest VERB cjfa-12563 517 30 into into ADP cjfa-12563 517 31 this this DET cjfa-12563 517 32 portfolio portfolio NOUN cjfa-12563 517 33 . . PUNCT cjfa-12563 518 1 by by ADP cjfa-12563 518 2 contrast contrast NOUN cjfa-12563 518 3 , , PUNCT cjfa-12563 518 4 for for ADP cjfa-12563 518 5 the the DET cjfa-12563 518 6 better well ADV cjfa-12563 518 7 diversified diversified ADJ cjfa-12563 518 8 portfolio portfolio NOUN cjfa-12563 518 9 of of ADP cjfa-12563 518 10 basf basf PROPN cjfa-12563 518 11 and and CCONJ cjfa-12563 518 12 sap sap PROPN cjfa-12563 518 13 , , PUNCT cjfa-12563 518 14 we we PRON cjfa-12563 518 15 underestimate underestimate VERB cjfa-12563 518 16 risk risk NOUN cjfa-12563 518 17 by by ADP cjfa-12563 518 18 12,002 12,002 NUM cjfa-12563 518 19 euros euro NOUN cjfa-12563 518 20 or or CCONJ cjfa-12563 518 21 33 33 NUM cjfa-12563 518 22 % % NOUN cjfa-12563 518 23 of of ADP cjfa-12563 518 24 the the DET cjfa-12563 518 25 t t NOUN cjfa-12563 518 26 distribution distribution NOUN cjfa-12563 518 27 var var NOUN cjfa-12563 518 28 for for ADP cjfa-12563 518 29 a a DET cjfa-12563 518 30 1 1 NUM cjfa-12563 518 31 - - PUNCT cjfa-12563 518 32 million million NUM cjfa-12563 518 33 euro euro NOUN cjfa-12563 518 34 portfolio portfolio NOUN cjfa-12563 518 35 . . PUNCT cjfa-12563 519 1 with with ADP cjfa-12563 519 2 these these DET cjfa-12563 519 3 results result NOUN cjfa-12563 519 4 , , PUNCT cjfa-12563 519 5 we we PRON cjfa-12563 519 6 confirm confirm VERB cjfa-12563 519 7 our our PRON cjfa-12563 519 8 conjecture conjecture NOUN cjfa-12563 519 9 and and CCONJ cjfa-12563 519 10 our our PRON cjfa-12563 519 11 earlier early ADJ cjfa-12563 519 12 conclusion conclusion NOUN cjfa-12563 519 13 that that SCONJ cjfa-12563 519 14 the the DET cjfa-12563 519 15 normal normal ADJ cjfa-12563 519 16 assumption assumption NOUN cjfa-12563 519 17 substantially substantially ADV cjfa-12563 519 18 underestimates underestimate VERB cjfa-12563 519 19 risk risk NOUN cjfa-12563 519 20 and and CCONJ cjfa-12563 519 21 should should AUX cjfa-12563 519 22 therefore therefore ADV cjfa-12563 519 23 be be AUX cjfa-12563 519 24 avoided avoid VERB cjfa-12563 519 25 in in ADP cjfa-12563 519 26 practice practice NOUN cjfa-12563 519 27 . . PUNCT cjfa-12563 520 1 while while SCONJ cjfa-12563 520 2 the the DET cjfa-12563 520 3 empirical empirical ADJ cjfa-12563 520 4 distribution distribution NOUN cjfa-12563 520 5 is be AUX cjfa-12563 520 6 certainly certainly ADV cjfa-12563 520 7 the the DET cjfa-12563 520 8 best good ADJ cjfa-12563 520 9 fit fit NOUN cjfa-12563 520 10 , , PUNCT cjfa-12563 520 11 the the DET cjfa-12563 520 12 t t NOUN cjfa-12563 520 13 distribution distribution NOUN cjfa-12563 520 14 works work VERB cjfa-12563 520 15 reasonably reasonably ADV cjfa-12563 520 16 well well ADV cjfa-12563 520 17 for for ADP cjfa-12563 520 18 the the DET cjfa-12563 520 19 4 4 NUM cjfa-12563 520 20 return return NOUN cjfa-12563 520 21 series series NOUN cjfa-12563 520 22 investigated investigate VERB cjfa-12563 520 23 here here ADV cjfa-12563 520 24 ( ( PUNCT cjfa-12563 520 25 see see VERB cjfa-12563 520 26 figures figure NOUN cjfa-12563 520 27 4 4 NUM cjfa-12563 520 28 and and CCONJ cjfa-12563 520 29 5 5 NUM cjfa-12563 520 30 ) ) PUNCT cjfa-12563 520 31 . . PUNCT cjfa-12563 521 1 as as ADP cjfa-12563 521 2 a a DET cjfa-12563 521 3 robustness robustness NOUN cjfa-12563 521 4 check check NOUN cjfa-12563 521 5 , , PUNCT cjfa-12563 521 6 we we PRON cjfa-12563 521 7 calculate calculate VERB cjfa-12563 521 8 the the DET cjfa-12563 521 9 same same ADJ cjfa-12563 521 10 indicators indicator NOUN cjfa-12563 521 11 for for ADP cjfa-12563 521 12 the the DET cjfa-12563 521 13 stress stress NOUN cjfa-12563 521 14 period period NOUN cjfa-12563 521 15 of of ADP cjfa-12563 521 16 02 02 NUM cjfa-12563 521 17 july july PROPN cjfa-12563 521 18 2007 2007 NUM cjfa-12563 521 19 to to ADP cjfa-12563 521 20 31 31 NUM cjfa-12563 521 21 december december PROPN cjfa-12563 521 22 2009 2009 NUM cjfa-12563 521 23 . . PUNCT cjfa-12563 522 1 during during ADP cjfa-12563 522 2 this this DET cjfa-12563 522 3 time time NOUN cjfa-12563 522 4 , , PUNCT cjfa-12563 522 5 the the DET cjfa-12563 522 6 global global ADJ cjfa-12563 522 7 financial financial ADJ cjfa-12563 522 8 crisis crisis NOUN cjfa-12563 522 9 had have VERB cjfa-12563 522 10 its its PRON cjfa-12563 522 11 heaviest heavy ADJ cjfa-12563 522 12 impact impact NOUN cjfa-12563 522 13 on on ADP cjfa-12563 522 14 financial financial ADJ cjfa-12563 522 15 markets market NOUN cjfa-12563 522 16 . . PUNCT cjfa-12563 523 1 therefore therefore ADV cjfa-12563 523 2 , , PUNCT cjfa-12563 523 3 the the DET cjfa-12563 523 4 var var NOUN cjfa-12563 523 5 calculated calculate VERB cjfa-12563 523 6 for for ADP cjfa-12563 523 7 this this DET cjfa-12563 523 8 period period NOUN cjfa-12563 523 9 is be AUX cjfa-12563 523 10 interpreted interpret VERB cjfa-12563 523 11 as as ADP cjfa-12563 523 12 the the DET cjfa-12563 523 13 stressed stressed ADJ cjfa-12563 523 14 var var NOUN cjfa-12563 523 15 in in ADP cjfa-12563 523 16 the the DET cjfa-12563 523 17 basel basel PROPN cjfa-12563 523 18 iii iii PROPN cjfa-12563 523 19 framework framework NOUN cjfa-12563 523 20 . . PUNCT cjfa-12563 524 1 tables table NOUN cjfa-12563 524 2 4 4 NUM cjfa-12563 524 3 to to PART cjfa-12563 524 4 6 6 NUM cjfa-12563 524 5 summarise summarise VERB cjfa-12563 524 6 the the DET cjfa-12563 524 7 results result NOUN cjfa-12563 524 8 . . PUNCT cjfa-12563 525 1 table table NOUN cjfa-12563 525 2 4 4 NUM cjfa-12563 525 3 . . PUNCT cjfa-12563 525 4 descriptive descriptive ADJ cjfa-12563 525 5 statistics statistic NOUN cjfa-12563 525 6 for for ADP cjfa-12563 525 7 stressed stressed ADJ cjfa-12563 525 8 return return NOUN cjfa-12563 525 9 series series NOUN cjfa-12563 525 10 of of ADP cjfa-12563 525 11 daimler daimler PROPN cjfa-12563 525 12 , , PUNCT cjfa-12563 525 13 bmw bmw PROPN cjfa-12563 525 14 , , PUNCT cjfa-12563 525 15 basf basf PROPN cjfa-12563 525 16 , , PUNCT cjfa-12563 525 17 and and CCONJ cjfa-12563 525 18 sap sap PROPN cjfa-12563 525 19 from from ADP cjfa-12563 525 20 02 02 NUM cjfa-12563 525 21 july july PROPN cjfa-12563 525 22 2007 2007 NUM cjfa-12563 525 23 to to ADP cjfa-12563 525 24 31 31 NUM cjfa-12563 525 25 december december PROPN cjfa-12563 525 26 2009 2009 NUM cjfa-12563 525 27 daimler daimler NOUN cjfa-12563 525 28 bmw bmw PROPN cjfa-12563 525 29 basf basf PROPN cjfa-12563 525 30 sap sap PROPN cjfa-12563 525 31 number number NOUN cjfa-12563 525 32 of of ADP cjfa-12563 525 33 observations observation NOUN cjfa-12563 525 34 635 635 NUM cjfa-12563 525 35 634 634 NUM cjfa-12563 525 36 637 637 NUM cjfa-12563 525 37 635 635 NUM cjfa-12563 525 38 median median NOUN cjfa-12563 525 39 0,00000 0,00000 ADJ cjfa-12563 525 40 -0,03806 -0,03806 X cjfa-12563 525 41 0,00000 0,00000 ADJ cjfa-12563 526 1 0,00000 0,00000 NUM cjfa-12563 526 2 mean mean VERB cjfa-12563 526 3 -0,07830 -0,07830 PROPN cjfa-12563 526 4 -0,04896 -0,04896 PROPN cjfa-12563 526 5 -0,00651 -0,00651 PROPN cjfa-12563 526 6 -0,01690 -0,01690 PROPN cjfa-12563 526 7 christiane christiane PROPN cjfa-12563 526 8 goodfellow goodfellow PROPN cjfa-12563 526 9 , , PUNCT cjfa-12563 526 10 christian christian PROPN cjfa-12563 526 11 salm104 salm104 PROPN cjfa-12563 526 12 daimler daimler PROPN cjfa-12563 526 13 bmw bmw PROPN cjfa-12563 526 14 basf basf PROPN cjfa-12563 526 15 sap sap PROPN cjfa-12563 526 16 variance variance NOUN cjfa-12563 526 17 10,52665 10,52665 NUM cjfa-12563 526 18 8,09299 8,09299 PROPN cjfa-12563 526 19 7,27877 7,27877 PROPN cjfa-12563 526 20 4,61677 4,61677 PROPN cjfa-12563 526 21 standard standard ADJ cjfa-12563 526 22 deviation deviation NOUN cjfa-12563 526 23 3,24448 3,24448 NUM cjfa-12563 526 24 2,84482 2,84482 NUM cjfa-12563 526 25 2,69792 2,69792 NUM cjfa-12563 526 26 2,14867 2,14867 NUM cjfa-12563 526 27 skewness skewness NOUN cjfa-12563 526 28 0,47567 0,47567 PROPN cjfa-12563 526 29 0,31012 0,31012 PROPN cjfa-12563 526 30 0,18209 0,18209 NOUN cjfa-12563 526 31 -0,38797 -0,38797 PROPN cjfa-12563 526 32 kurtosis kurtosis VERB cjfa-12563 526 33 5,53263 5,53263 NUM cjfa-12563 526 34 3,47062 3,47062 NUM cjfa-12563 526 35 6,70795 6,70795 NUM cjfa-12563 526 36 13,16942 13,16942 NUM cjfa-12563 526 37 correlation correlation NOUN cjfa-12563 526 38 coefficient coefficient NOUN cjfa-12563 526 39 0,75 0,75 NUM cjfa-12563 526 40 0,47 0,47 NUM cjfa-12563 526 41 figures figure NOUN cjfa-12563 526 42 reported report VERB cjfa-12563 526 43 in in ADP cjfa-12563 526 44 this this DET cjfa-12563 526 45 table table NOUN cjfa-12563 526 46 are be AUX cjfa-12563 526 47 based base VERB cjfa-12563 526 48 daimler daimler PROPN cjfa-12563 526 49 bmw bmw PROPN cjfa-12563 526 50 3,7277 3,7277 PROPN cjfa-12563 527 1 3,2986 3,2986 PROPN cjfa-12563 527 2 0,4291 0,4291 PROPN cjfa-12563 527 3 basf basf PROPN cjfa-12563 527 4 sap sap PROPN cjfa-12563 527 5 3,6121 3,6121 NUM cjfa-12563 527 6 2,4119 2,4119 NUM cjfa-12563 527 7 1,2002 1,2002 NUM cjfa-12563 527 8 figures figure NOUN cjfa-12563 527 9 reported report VERB cjfa-12563 527 10 in in ADP cjfa-12563 527 11 this this DET cjfa-12563 527 12 table table NOUN cjfa-12563 527 13 are be AUX cjfa-12563 527 14 based base VERB cjfa-12563 527 15 on on ADP cjfa-12563 527 16 . . PUNCT cjfa-12563 528 1 sampling sample VERB cjfa-12563 528 2 period period NOUN cjfa-12563 528 3 is be AUX cjfa-12563 528 4 1 1 NUM cjfa-12563 528 5 january january NOUN cjfa-12563 528 6 2011 2011 NUM cjfa-12563 528 7 to to ADP cjfa-12563 528 8 12 12 NUM cjfa-12563 528 9 september september PROPN cjfa-12563 528 10 2016 2016 NUM cjfa-12563 528 11 , , PUNCT cjfa-12563 528 12 var var NOUN cjfa-12563 528 13 holding holding NOUN cjfa-12563 528 14 period period NOUN cjfa-12563 528 15 1 1 NUM cjfa-12563 528 16 day day NOUN cjfa-12563 528 17 , , PUNCT cjfa-12563 528 18 99 99 NUM cjfa-12563 528 19 % % NOUN cjfa-12563 528 20 confidence confidence NOUN cjfa-12563 528 21 level level NOUN cjfa-12563 528 22 , , PUNCT cjfa-12563 528 23 portfolio portfolio NOUN cjfa-12563 528 24 weights weight VERB cjfa-12563 528 25 50 50 NUM cjfa-12563 528 26 % % NOUN cjfa-12563 528 27 , , PUNCT cjfa-12563 528 28 difference difference NOUN cjfa-12563 528 29 in in ADP cjfa-12563 528 30 absolute absolute ADJ cjfa-12563 528 31 values value NOUN cjfa-12563 528 32 . . PUNCT cjfa-12563 529 1 source source NOUN cjfa-12563 529 2 : : PUNCT cjfa-12563 529 3 developed develop VERB cjfa-12563 529 4 by by ADP cjfa-12563 529 5 author author NOUN cjfa-12563 529 6 . . PUNCT cjfa-12563 530 1 similarly similarly ADV cjfa-12563 530 2 to to ADP cjfa-12563 530 3 the the DET cjfa-12563 530 4 conventional conventional ADJ cjfa-12563 530 5 var var NOUN cjfa-12563 530 6 estimates estimate NOUN cjfa-12563 530 7 reported report VERB cjfa-12563 530 8 in in ADP cjfa-12563 530 9 table table NOUN cjfa-12563 530 10 2 2 NUM cjfa-12563 530 11 , , PUNCT cjfa-12563 530 12 we we PRON cjfa-12563 530 13 find find VERB cjfa-12563 530 14 that that SCONJ cjfa-12563 530 15 the the DET cjfa-12563 530 16 normal normal ADJ cjfa-12563 530 17 assumption assumption NOUN cjfa-12563 530 18 leads lead VERB cjfa-12563 530 19 to to ADP cjfa-12563 530 20 underestimating underestimate VERB cjfa-12563 530 21 risk risk NOUN cjfa-12563 530 22 ( ( PUNCT cjfa-12563 530 23 see see VERB cjfa-12563 530 24 column column NOUN cjfa-12563 530 25 ' ' PUNCT cjfa-12563 530 26 difference difference NOUN cjfa-12563 530 27 ' ' PUNCT cjfa-12563 530 28 in in ADP cjfa-12563 530 29 table table NOUN cjfa-12563 530 30 3 3 NUM cjfa-12563 530 31 ) ) PUNCT cjfa-12563 530 32 . . PUNCT cjfa-12563 531 1 we we PRON cjfa-12563 531 2 only only ADV cjfa-12563 531 3 report report VERB cjfa-12563 531 4 the the DET cjfa-12563 531 5 results result NOUN cjfa-12563 531 6 for for ADP cjfa-12563 531 7 the the DET cjfa-12563 531 8 two two NUM cjfa-12563 531 9 portfolios portfolio NOUN cjfa-12563 531 10 as as ADP cjfa-12563 531 11 a a DET cjfa-12563 531 12 copula copula NOUN cjfa-12563 531 13 does do AUX cjfa-12563 531 14 not not PART cjfa-12563 531 15 make make VERB cjfa-12563 531 16 sense sense NOUN cjfa-12563 531 17 for for ADP cjfa-12563 531 18 individual individual ADJ cjfa-12563 531 19 return return NOUN cjfa-12563 531 20 series series NOUN cjfa-12563 531 21 . . PUNCT cjfa-12563 532 1 for for ADP cjfa-12563 532 2 the the DET cjfa-12563 532 3 automobile automobile NOUN cjfa-12563 532 4 portfolio portfolio NOUN cjfa-12563 532 5 , , PUNCT cjfa-12563 532 6 we we PRON cjfa-12563 532 7 underestimate underestimate VERB cjfa-12563 532 8 risk risk NOUN cjfa-12563 532 9 with with ADP cjfa-12563 532 10 the the DET cjfa-12563 532 11 gaussian gaussian ADJ cjfa-12563 532 12 approach approach NOUN cjfa-12563 532 13 by by ADP cjfa-12563 532 14 4,291 4,291 NUM cjfa-12563 532 15 euros euro NOUN cjfa-12563 532 16 or or CCONJ cjfa-12563 532 17 11.5 11.5 NUM cjfa-12563 532 18 % % NOUN cjfa-12563 532 19 of of ADP cjfa-12563 532 20 the the DET cjfa-12563 532 21 t t NOUN cjfa-12563 532 22 distribution distribution NOUN cjfa-12563 532 23 var var NOUN cjfa-12563 532 24 if if SCONJ cjfa-12563 532 25 1 1 NUM cjfa-12563 532 26 million million NUM cjfa-12563 532 27 euros euro NOUN cjfa-12563 532 28 are be AUX cjfa-12563 532 29 invested invest VERB cjfa-12563 532 30 into into ADP cjfa-12563 532 31 this this DET cjfa-12563 532 32 portfolio portfolio NOUN cjfa-12563 532 33 . . PUNCT cjfa-12563 533 1 by by ADP cjfa-12563 533 2 contrast contrast NOUN cjfa-12563 533 3 , , PUNCT cjfa-12563 533 4 for for ADP cjfa-12563 533 5 the the DET cjfa-12563 533 6 better well ADV cjfa-12563 533 7 diversified diversified ADJ cjfa-12563 533 8 portfolio portfolio NOUN cjfa-12563 533 9 of of ADP cjfa-12563 533 10 basf basf PROPN cjfa-12563 533 11 and and CCONJ cjfa-12563 533 12 sap sap PROPN cjfa-12563 533 13 , , PUNCT cjfa-12563 533 14 we we PRON cjfa-12563 533 15 underestimate underestimate VERB cjfa-12563 533 16 risk risk NOUN cjfa-12563 533 17 by by ADP cjfa-12563 533 18 12,002 12,002 NUM cjfa-12563 533 19 euros euro NOUN cjfa-12563 533 20 or or CCONJ cjfa-12563 533 21 33 33 NUM cjfa-12563 533 22 % % NOUN cjfa-12563 533 23 of of ADP cjfa-12563 533 24 the the DET cjfa-12563 533 25 t t NOUN cjfa-12563 533 26 distribution distribution NOUN cjfa-12563 533 27 var var NOUN cjfa-12563 533 28 for for ADP cjfa-12563 533 29 a a DET cjfa-12563 533 30 1 1 NUM cjfa-12563 533 31 - - PUNCT cjfa-12563 533 32 million million NUM cjfa-12563 533 33 euro euro NOUN cjfa-12563 533 34 portfolio portfolio NOUN cjfa-12563 533 35 . . PUNCT cjfa-12563 534 1 with with ADP cjfa-12563 534 2 these these DET cjfa-12563 534 3 results result NOUN cjfa-12563 534 4 , , PUNCT cjfa-12563 534 5 we we PRON cjfa-12563 534 6 confirm confirm VERB cjfa-12563 534 7 our our PRON cjfa-12563 534 8 conjecture conjecture NOUN cjfa-12563 534 9 and and CCONJ cjfa-12563 534 10 our our PRON cjfa-12563 534 11 earlier early ADJ cjfa-12563 534 12 conclusion conclusion NOUN cjfa-12563 534 13 that that SCONJ cjfa-12563 534 14 the the DET cjfa-12563 534 15 normal normal ADJ cjfa-12563 534 16 assumption assumption NOUN cjfa-12563 534 17 substantially substantially ADV cjfa-12563 534 18 underestimates underestimate VERB cjfa-12563 534 19 risk risk NOUN cjfa-12563 534 20 and and CCONJ cjfa-12563 534 21 should should AUX cjfa-12563 534 22 therefore therefore ADV cjfa-12563 534 23 be be AUX cjfa-12563 534 24 avoided avoid VERB cjfa-12563 534 25 in in ADP cjfa-12563 534 26 practice practice NOUN cjfa-12563 534 27 . . PUNCT cjfa-12563 535 1 while while SCONJ cjfa-12563 535 2 the the DET cjfa-12563 535 3 empirical empirical ADJ cjfa-12563 535 4 distribution distribution NOUN cjfa-12563 535 5 is be AUX cjfa-12563 535 6 certainly certainly ADV cjfa-12563 535 7 the the DET cjfa-12563 535 8 best good ADJ cjfa-12563 535 9 fit fit NOUN cjfa-12563 535 10 , , PUNCT cjfa-12563 535 11 the the DET cjfa-12563 535 12 t t NOUN cjfa-12563 535 13 distribution distribution NOUN cjfa-12563 535 14 works work VERB cjfa-12563 535 15 reasonably reasonably ADV cjfa-12563 535 16 well well ADV cjfa-12563 535 17 for for ADP cjfa-12563 535 18 the the DET cjfa-12563 535 19 4 4 NUM cjfa-12563 535 20 return return NOUN cjfa-12563 535 21 series series NOUN cjfa-12563 535 22 investigated investigate VERB cjfa-12563 535 23 here here ADV cjfa-12563 535 24 ( ( PUNCT cjfa-12563 535 25 see see VERB cjfa-12563 535 26 figures figure NOUN cjfa-12563 535 27 4 4 NUM cjfa-12563 535 28 and and CCONJ cjfa-12563 535 29 5 5 NUM cjfa-12563 535 30 ) ) PUNCT cjfa-12563 535 31 . . PUNCT cjfa-12563 536 1 as as ADP cjfa-12563 536 2 a a DET cjfa-12563 536 3 robustness robustness NOUN cjfa-12563 536 4 check check NOUN cjfa-12563 536 5 , , PUNCT cjfa-12563 536 6 we we PRON cjfa-12563 536 7 calculate calculate VERB cjfa-12563 536 8 the the DET cjfa-12563 536 9 same same ADJ cjfa-12563 536 10 indicators indicator NOUN cjfa-12563 536 11 for for ADP cjfa-12563 536 12 the the DET cjfa-12563 536 13 stress stress NOUN cjfa-12563 536 14 period period NOUN cjfa-12563 536 15 of of ADP cjfa-12563 536 16 02 02 NUM cjfa-12563 536 17 july july PROPN cjfa-12563 536 18 2007 2007 NUM cjfa-12563 536 19 to to ADP cjfa-12563 536 20 31 31 NUM cjfa-12563 536 21 december december PROPN cjfa-12563 536 22 2009 2009 NUM cjfa-12563 536 23 . . PUNCT cjfa-12563 537 1 during during ADP cjfa-12563 537 2 this this DET cjfa-12563 537 3 time time NOUN cjfa-12563 537 4 , , PUNCT cjfa-12563 537 5 the the DET cjfa-12563 537 6 global global ADJ cjfa-12563 537 7 financial financial ADJ cjfa-12563 537 8 crisis crisis NOUN cjfa-12563 537 9 had have VERB cjfa-12563 537 10 its its PRON cjfa-12563 537 11 heaviest heavy ADJ cjfa-12563 537 12 impact impact NOUN cjfa-12563 537 13 on on ADP cjfa-12563 537 14 financial financial ADJ cjfa-12563 537 15 markets market NOUN cjfa-12563 537 16 . . PUNCT cjfa-12563 538 1 therefore therefore ADV cjfa-12563 538 2 , , PUNCT cjfa-12563 538 3 the the DET cjfa-12563 538 4 var var NOUN cjfa-12563 538 5 calculated calculate VERB cjfa-12563 538 6 for for ADP cjfa-12563 538 7 this this DET cjfa-12563 538 8 period period NOUN cjfa-12563 538 9 is be AUX cjfa-12563 538 10 interpreted interpret VERB cjfa-12563 538 11 as as ADP cjfa-12563 538 12 the the DET cjfa-12563 538 13 stressed stressed ADJ cjfa-12563 538 14 var var NOUN cjfa-12563 538 15 in in ADP cjfa-12563 538 16 the the DET cjfa-12563 538 17 basel basel PROPN cjfa-12563 538 18 iii iii PROPN cjfa-12563 538 19 framework framework NOUN cjfa-12563 538 20 . . PUNCT cjfa-12563 539 1 tables table NOUN cjfa-12563 539 2 4 4 NUM cjfa-12563 539 3 to to PART cjfa-12563 539 4 6 6 NUM cjfa-12563 539 5 summarise summarise VERB cjfa-12563 539 6 the the DET cjfa-12563 539 7 results result NOUN cjfa-12563 539 8 . . PUNCT cjfa-12563 540 1 table table NOUN cjfa-12563 540 2 4 4 NUM cjfa-12563 540 3 . . PUNCT cjfa-12563 540 4 descriptive descriptive ADJ cjfa-12563 540 5 statistics statistic NOUN cjfa-12563 540 6 for for ADP cjfa-12563 540 7 stressed stressed ADJ cjfa-12563 540 8 return return NOUN cjfa-12563 540 9 series series NOUN cjfa-12563 540 10 of of ADP cjfa-12563 540 11 daimler daimler PROPN cjfa-12563 540 12 , , PUNCT cjfa-12563 540 13 bmw bmw PROPN cjfa-12563 540 14 , , PUNCT cjfa-12563 540 15 basf basf PROPN cjfa-12563 540 16 , , PUNCT cjfa-12563 540 17 and and CCONJ cjfa-12563 540 18 sap sap PROPN cjfa-12563 540 19 from from ADP cjfa-12563 540 20 02 02 NUM cjfa-12563 540 21 july july PROPN cjfa-12563 540 22 2007 2007 NUM cjfa-12563 540 23 to to ADP cjfa-12563 540 24 31 31 NUM cjfa-12563 540 25 december december PROPN cjfa-12563 540 26 2009 2009 NUM cjfa-12563 540 27 daimler daimler NOUN cjfa-12563 540 28 bmw bmw PROPN cjfa-12563 540 29 basf basf PROPN cjfa-12563 540 30 sap sap PROPN cjfa-12563 540 31 number number NOUN cjfa-12563 540 32 of of ADP cjfa-12563 540 33 observations observation NOUN cjfa-12563 540 34 635 635 NUM cjfa-12563 540 35 634 634 NUM cjfa-12563 540 36 637 637 NUM cjfa-12563 540 37 635 635 NUM cjfa-12563 540 38 median median NOUN cjfa-12563 540 39 0,00000 0,00000 ADJ cjfa-12563 540 40 -0,03806 -0,03806 X cjfa-12563 540 41 0,00000 0,00000 ADJ cjfa-12563 541 1 0,00000 0,00000 NUM cjfa-12563 541 2 mean mean VERB cjfa-12563 541 3 -0,07830 -0,07830 PROPN cjfa-12563 541 4 -0,04896 -0,04896 PROPN cjfa-12563 541 5 -0,00651 -0,00651 PROPN cjfa-12563 541 6 -0,01690 -0,01690 PROPN cjfa-12563 541 7 variance variance NOUN cjfa-12563 541 8 10,52665 10,52665 NUM cjfa-12563 541 9 8,09299 8,09299 NOUN cjfa-12563 541 10 7,27877 7,27877 PROPN cjfa-12563 541 11 4,61677 4,61677 PROPN cjfa-12563 541 12 standard standard ADJ cjfa-12563 541 13 deviation deviation NOUN cjfa-12563 541 14 3,24448 3,24448 NUM cjfa-12563 541 15 2,84482 2,84482 NUM cjfa-12563 541 16 2,69792 2,69792 NUM cjfa-12563 541 17 2,14867 2,14867 NUM cjfa-12563 541 18 skewness skewness NOUN cjfa-12563 541 19 0,47567 0,47567 PROPN cjfa-12563 541 20 0,31012 0,31012 PROPN cjfa-12563 541 21 0,18209 0,18209 NOUN cjfa-12563 541 22 -0,38797 -0,38797 PROPN cjfa-12563 541 23 kurtosis kurtosis VERB cjfa-12563 541 24 5,53263 5,53263 NUM cjfa-12563 541 25 3,47062 3,47062 NUM cjfa-12563 541 26 6,70795 6,70795 NUM cjfa-12563 541 27 13,16942 13,16942 NUM cjfa-12563 541 28 correlation correlation NOUN cjfa-12563 541 29 coefficient coefficient NOUN cjfa-12563 541 30 0,75 0,75 NUM cjfa-12563 541 31 0,47 0,47 NUM cjfa-12563 541 32 figures figure NOUN cjfa-12563 541 33 reported report VERB cjfa-12563 541 34 in in ADP cjfa-12563 541 35 this this DET cjfa-12563 541 36 table table NOUN cjfa-12563 541 37 are be AUX cjfa-12563 541 38 based base VERB cjfa-12563 541 39 . . PUNCT cjfa-12563 542 1 in in ADP cjfa-12563 542 2 the the DET cjfa-12563 542 3 markowitz markowitz PROPN cjfa-12563 542 4 ( ( PUNCT cjfa-12563 542 5 1952 1952 NUM cjfa-12563 542 6 ) ) PUNCT cjfa-12563 542 7 world world NOUN cjfa-12563 542 8 , , PUNCT cjfa-12563 542 9 this this DET cjfa-12563 542 10 table table NOUN cjfa-12563 542 11 gives give VERB cjfa-12563 542 12 sufficient sufficient ADJ cjfa-12563 542 13 risk risk NOUN cjfa-12563 542 14 measures measure NOUN cjfa-12563 542 15 in in ADP cjfa-12563 542 16 that that SCONJ cjfa-12563 542 17 it it PRON cjfa-12563 542 18 lists list VERB cjfa-12563 542 19 standard standard ADJ cjfa-12563 542 20 deviations deviation NOUN cjfa-12563 542 21 as as ADV cjfa-12563 542 22 well well ADV cjfa-12563 542 23 as as ADP cjfa-12563 542 24 correlation correlation NOUN cjfa-12563 542 25 coefficients coefficient NOUN cjfa-12563 542 26 . . PUNCT cjfa-12563 543 1 the the DET cjfa-12563 543 2 latter latter ADJ cjfa-12563 543 3 are be AUX cjfa-12563 543 4 . . PUNCT cjfa-12563 544 1 in in ADP cjfa-12563 544 2 the the DET cjfa-12563 544 3 markowitz markowitz PROPN cjfa-12563 544 4 ( ( PUNCT cjfa-12563 544 5 1952 1952 NUM cjfa-12563 544 6 ) ) PUNCT cjfa-12563 544 7 world world NOUN cjfa-12563 544 8 , , PUNCT cjfa-12563 544 9 this this DET cjfa-12563 544 10 table table NOUN cjfa-12563 544 11 gives give VERB cjfa-12563 544 12 sufficient sufficient ADJ cjfa-12563 544 13 risk risk NOUN cjfa-12563 544 14 measures measure NOUN cjfa-12563 544 15 in in ADP cjfa-12563 544 16 that that SCONJ cjfa-12563 544 17 it it PRON cjfa-12563 544 18 lists list VERB cjfa-12563 544 19 standard standard ADJ cjfa-12563 544 20 deviations deviation NOUN cjfa-12563 544 21 as as ADV cjfa-12563 544 22 well well ADV cjfa-12563 544 23 as as ADP cjfa-12563 544 24 correlation correlation NOUN cjfa-12563 544 25 coefficients coefficient NOUN cjfa-12563 544 26 . . PUNCT cjfa-12563 545 1 the the DET cjfa-12563 545 2 latter latter ADJ cjfa-12563 545 3 are be AUX cjfa-12563 545 4 needed need VERB cjfa-12563 545 5 to to PART cjfa-12563 545 6 calculate calculate VERB cjfa-12563 545 7 the the DET cjfa-12563 545 8 return return NOUN cjfa-12563 545 9 covariances covariance NOUN cjfa-12563 545 10 inside inside ADP cjfa-12563 545 11 a a DET cjfa-12563 545 12 portfolio portfolio NOUN cjfa-12563 545 13 . . PUNCT cjfa-12563 546 1 this this DET cjfa-12563 546 2 table table NOUN cjfa-12563 546 3 compares compare VERB cjfa-12563 546 4 directly directly ADV cjfa-12563 546 5 to to ADP cjfa-12563 546 6 table table NOUN cjfa-12563 546 7 1 1 NUM cjfa-12563 546 8 , , PUNCT cjfa-12563 546 9 where where SCONJ cjfa-12563 546 10 the the DET cjfa-12563 546 11 non non ADJ cjfa-12563 546 12 - - ADJ cjfa-12563 546 13 stressed stressed ADJ cjfa-12563 546 14 results result NOUN cjfa-12563 546 15 are be AUX cjfa-12563 546 16 summarised summarise VERB cjfa-12563 546 17 . . PUNCT cjfa-12563 547 1 s s PART cjfa-12563 547 2 o o X cjfa-12563 547 3 u u NOUN cjfa-12563 547 4 r r NOUN cjfa-12563 547 5 c c NOUN cjfa-12563 547 6 e e NOUN cjfa-12563 547 7 : : PUNCT cjfa-12563 547 8 developed develop VERB cjfa-12563 547 9 by by ADP cjfa-12563 547 10 author author NOUN cjfa-12563 547 11 . . PUNCT cjfa-12563 548 1 comparing compare VERB cjfa-12563 548 2 tables table NOUN cjfa-12563 548 3 1 1 NUM cjfa-12563 548 4 and and CCONJ cjfa-12563 548 5 4 4 NUM cjfa-12563 548 6 , , PUNCT cjfa-12563 548 7 it it PRON cjfa-12563 548 8 becomes become VERB cjfa-12563 548 9 apparent apparent ADJ cjfa-12563 548 10 that that SCONJ cjfa-12563 548 11 the the DET cjfa-12563 548 12 mean mean ADJ cjfa-12563 548 13 and and CCONJ cjfa-12563 548 14 median median ADJ cjfa-12563 548 15 returns return NOUN cjfa-12563 548 16 were be AUX cjfa-12563 548 17 lower low ADJ cjfa-12563 548 18 during during ADP cjfa-12563 548 19 the the DET cjfa-12563 548 20 period period NOUN cjfa-12563 548 21 of of ADP cjfa-12563 548 22 stress stress NOUN cjfa-12563 548 23 than than ADP cjfa-12563 548 24 across across ADP cjfa-12563 548 25 the the DET cjfa-12563 548 26 later later ADJ cjfa-12563 548 27 5 5 NUM cjfa-12563 548 28 - - PUNCT cjfa-12563 548 29 year year NOUN cjfa-12563 548 30 period period NOUN cjfa-12563 548 31 from from ADP cjfa-12563 548 32 2011 2011 NUM cjfa-12563 548 33 to to ADP cjfa-12563 548 34 2016 2016 NUM cjfa-12563 548 35 . . PUNCT cjfa-12563 549 1 if if SCONJ cjfa-12563 549 2 we we PRON cjfa-12563 549 3 were be AUX cjfa-12563 549 4 to to PART cjfa-12563 549 5 measure measure VERB cjfa-12563 549 6 risk risk NOUN cjfa-12563 549 7 with with ADP cjfa-12563 549 8 the the DET cjfa-12563 549 9 standard standard ADJ cjfa-12563 549 10 deviation deviation NOUN cjfa-12563 549 11 of of ADP cjfa-12563 549 12 the the DET cjfa-12563 549 13 returns return NOUN cjfa-12563 549 14 , , PUNCT cjfa-12563 549 15 the the DET cjfa-12563 549 16 stress stress NOUN cjfa-12563 549 17 period period NOUN cjfa-12563 549 18 would would AUX cjfa-12563 549 19 indeed indeed ADV cjfa-12563 549 20 be be AUX cjfa-12563 549 21 much much ADV cjfa-12563 549 22 riskier risky ADJ cjfa-12563 549 23 than than ADP cjfa-12563 549 24 the the DET cjfa-12563 549 25 2011 2011 NUM cjfa-12563 549 26 to to ADP cjfa-12563 549 27 2016 2016 NUM cjfa-12563 549 28 period period NOUN cjfa-12563 549 29 . . PUNCT cjfa-12563 550 1 moreover moreover ADV cjfa-12563 550 2 , , PUNCT cjfa-12563 550 3 while while SCONJ cjfa-12563 550 4 the the DET cjfa-12563 550 5 return return NOUN cjfa-12563 550 6 data datum NOUN cjfa-12563 550 7 for for ADP cjfa-12563 550 8 the the DET cjfa-12563 550 9 5 5 NUM cjfa-12563 550 10 - - PUNCT cjfa-12563 550 11 year year NOUN cjfa-12563 550 12 period period NOUN cjfa-12563 550 13 are be AUX cjfa-12563 550 14 negatively negatively ADV cjfa-12563 550 15 skewed skewed ADJ cjfa-12563 550 16 , , PUNCT cjfa-12563 550 17 the the DET cjfa-12563 550 18 stressed stress VERB cjfa-12563 550 19 return return NOUN cjfa-12563 550 20 data datum NOUN cjfa-12563 550 21 are be AUX cjfa-12563 550 22 positively positively ADV cjfa-12563 550 23 skewed skewed ADJ cjfa-12563 550 24 ( ( PUNCT cjfa-12563 550 25 except except SCONJ cjfa-12563 550 26 for for ADP cjfa-12563 550 27 sap sap PROPN cjfa-12563 550 28 ) ) PUNCT cjfa-12563 550 29 , , PUNCT cjfa-12563 550 30 i.e. i.e. X cjfa-12563 550 31 low low ADJ cjfa-12563 550 32 observations observation NOUN cjfa-12563 550 33 occur occur VERB cjfa-12563 550 34 with with ADP cjfa-12563 550 35 higher high ADJ cjfa-12563 550 36 relative relative ADJ cjfa-12563 550 37 frequency frequency NOUN cjfa-12563 550 38 than than SCONJ cjfa-12563 550 39 higher high ADJ cjfa-12563 550 40 observations observation NOUN cjfa-12563 550 41 do do VERB cjfa-12563 550 42 during during ADP cjfa-12563 550 43 the the DET cjfa-12563 550 44 stress stress NOUN cjfa-12563 550 45 period period NOUN cjfa-12563 550 46 . . PUNCT cjfa-12563 551 1 this this PRON cjfa-12563 551 2 is be AUX cjfa-12563 551 3 plausible plausible ADJ cjfa-12563 551 4 for for ADP cjfa-12563 551 5 a a DET cjfa-12563 551 6 period period NOUN cjfa-12563 551 7 of of ADP cjfa-12563 551 8 stress stress NOUN cjfa-12563 551 9 . . PUNCT cjfa-12563 552 1 the the DET cjfa-12563 552 2 return return NOUN cjfa-12563 552 3 series series NOUN cjfa-12563 552 4 are be AUX cjfa-12563 552 5 leptokurtic leptokurtic ADJ cjfa-12563 552 6 both both CCONJ cjfa-12563 552 7 during during ADP cjfa-12563 552 8 the the DET cjfa-12563 552 9 2011 2011 NUM cjfa-12563 552 10 to to ADP cjfa-12563 552 11 2016 2016 NUM cjfa-12563 552 12 period period NOUN cjfa-12563 552 13 and and CCONJ cjfa-12563 552 14 under under ADP cjfa-12563 552 15 stress stress NOUN cjfa-12563 552 16 ( ( PUNCT cjfa-12563 552 17 the the DET cjfa-12563 552 18 kurtosis kurtosis NOUN cjfa-12563 552 19 is be AUX cjfa-12563 552 20 positive positive ADJ cjfa-12563 552 21 in in ADP cjfa-12563 552 22 both both DET cjfa-12563 552 23 cases case NOUN cjfa-12563 552 24 ) ) PUNCT cjfa-12563 552 25 ; ; PUNCT cjfa-12563 552 26 however however ADV cjfa-12563 552 27 , , PUNCT cjfa-12563 552 28 during during ADP cjfa-12563 552 29 the the DET cjfa-12563 552 30 stress stress NOUN cjfa-12563 552 31 period period NOUN cjfa-12563 552 32 , , PUNCT cjfa-12563 552 33 the the DET cjfa-12563 552 34 distributions distribution NOUN cjfa-12563 552 35 are be AUX cjfa-12563 552 36 much much ADV cjfa-12563 552 37 thinner thin ADJ cjfa-12563 552 38 with with ADP cjfa-12563 552 39 heavier heavy ADJ cjfa-12563 552 40 tails tail NOUN cjfa-12563 552 41 than than ADP cjfa-12563 552 42 under under ADP cjfa-12563 552 43 the the DET cjfa-12563 552 44 normal normal ADJ cjfa-12563 552 45 assumption assumption NOUN cjfa-12563 552 46 , , PUNCT cjfa-12563 552 47 implying imply VERB cjfa-12563 552 48 that that SCONJ cjfa-12563 552 49 extreme extreme ADJ cjfa-12563 552 50 values value NOUN cjfa-12563 552 51 are be AUX cjfa-12563 552 52 more more ADV cjfa-12563 552 53 likely likely ADJ cjfa-12563 552 54 to to PART cjfa-12563 552 55 occur occur VERB cjfa-12563 552 56 than than ADP cjfa-12563 552 57 during during ADP cjfa-12563 552 58 the the DET cjfa-12563 552 59 2011 2011 NUM cjfa-12563 552 60 to to ADP cjfa-12563 552 61 2016 2016 NUM cjfa-12563 552 62 period period NOUN cjfa-12563 552 63 . . PUNCT cjfa-12563 553 1 finally finally ADV cjfa-12563 553 2 , , PUNCT cjfa-12563 553 3 the the DET cjfa-12563 553 4 return return NOUN cjfa-12563 553 5 series series NOUN cjfa-12563 553 6 become become VERB cjfa-12563 553 7 less less ADV cjfa-12563 553 8 correlated correlate VERB cjfa-12563 553 9 . . PUNCT cjfa-12563 554 1 this this PRON cjfa-12563 554 2 might might AUX cjfa-12563 554 3 be be AUX cjfa-12563 554 4 surprising surprising ADJ cjfa-12563 554 5 at at ADP cjfa-12563 554 6 first first ADJ cjfa-12563 554 7 sight sight NOUN cjfa-12563 554 8 ; ; PUNCT cjfa-12563 554 9 however however ADV cjfa-12563 554 10 , , PUNCT cjfa-12563 554 11 this this DET cjfa-12563 554 12 only only ADJ cjfa-12563 554 13 captures capture VERB cjfa-12563 554 14 linear linear PROPN cjfa-12563 554 15 dependencies dependency NOUN cjfa-12563 554 16 while while SCONJ cjfa-12563 554 17 a a DET cjfa-12563 554 18 larger large ADJ cjfa-12563 554 19 fraction fraction NOUN cjfa-12563 554 20 of of ADP cjfa-12563 554 21 the the DET cjfa-12563 554 22 overall overall ADJ cjfa-12563 554 23 co co NOUN cjfa-12563 554 24 - - NOUN cjfa-12563 554 25 movement movement NOUN cjfa-12563 554 26 may may AUX cjfa-12563 554 27 well well ADV cjfa-12563 554 28 be be AUX cjfa-12563 554 29 nonlinear nonlinear ADJ cjfa-12563 554 30 during during ADP cjfa-12563 554 31 a a DET cjfa-12563 554 32 period period NOUN cjfa-12563 554 33 of of ADP cjfa-12563 554 34 stress stress NOUN cjfa-12563 554 35 . . PUNCT cjfa-12563 555 1 table table NOUN cjfa-12563 555 2 4 4 NUM cjfa-12563 555 3 . . PUNCT cjfa-12563 555 4 descriptive descriptive ADJ cjfa-12563 555 5 statistics statistic NOUN cjfa-12563 555 6 for for ADP cjfa-12563 555 7 stressed stressed ADJ cjfa-12563 555 8 return return NOUN cjfa-12563 555 9 series series NOUN cjfa-12563 555 10 of of ADP cjfa-12563 555 11 daimler daimler NOUN cjfa-12563 555 12 … … SYM cjfa-12563 555 13 risky risky ADJ cjfa-12563 555 14 risk risk NOUN cjfa-12563 555 15 measures measure NOUN cjfa-12563 555 16 … … PUNCT cjfa-12563 555 17 105 105 NUM cjfa-12563 555 18 table table NOUN cjfa-12563 555 19 5 5 NUM cjfa-12563 555 20 . . NUM cjfa-12563 555 21 conventional conventional ADJ cjfa-12563 555 22 stressed stress VERB cjfa-12563 555 23 value value NOUN cjfa-12563 555 24 at at ADP cjfa-12563 555 25 risk risk NOUN cjfa-12563 555 26 for for ADP cjfa-12563 555 27 return return NOUN cjfa-12563 555 28 series series NOUN cjfa-12563 555 29 of of ADP cjfa-12563 555 30 daimler daimler PROPN cjfa-12563 555 31 , , PUNCT cjfa-12563 555 32 bmw bmw PROPN cjfa-12563 555 33 , , PUNCT cjfa-12563 555 34 basf basf PROPN cjfa-12563 555 35 , , PUNCT cjfa-12563 555 36 and and CCONJ cjfa-12563 555 37 sap sap PROPN cjfa-12563 555 38 as as ADV cjfa-12563 555 39 well well ADV cjfa-12563 555 40 as as ADP cjfa-12563 555 41 for for ADP cjfa-12563 555 42 a a DET cjfa-12563 555 43 portfolio portfolio NOUN cjfa-12563 555 44 of of ADP cjfa-12563 555 45 daimler daimler NOUN cjfa-12563 555 46 and and CCONJ cjfa-12563 555 47 bmw bmw PROPN cjfa-12563 555 48 and and CCONJ cjfa-12563 555 49 a a DET cjfa-12563 555 50 portfolio portfolio NOUN cjfa-12563 555 51 of of ADP cjfa-12563 555 52 basf basf PROPN cjfa-12563 555 53 and and CCONJ cjfa-12563 555 54 sap sap PROPN cjfa-12563 555 55 var var PROPN cjfa-12563 555 56 historical historical ADJ cjfa-12563 555 57 distribution distribution NOUN cjfa-12563 555 58 var var NOUN cjfa-12563 555 59 normal normal ADJ cjfa-12563 555 60 distribution distribution NOUN cjfa-12563 555 61 difference difference NOUN cjfa-12563 555 62 daimler daimler NOUN cjfa-12563 555 63 9,3845 9,3845 PROPN cjfa-12563 555 64 7,6323 7,6323 NUM cjfa-12563 555 65 1,7522 1,7522 NUM cjfa-12563 556 1 bmw bmw NOUN cjfa-12563 556 2 7,8666 7,8666 NOUN cjfa-12563 556 3 6,6670 6,6670 NOUN cjfa-12563 556 4 1,1996 1,1996 PROPN cjfa-12563 556 5 basf basf PROPN cjfa-12563 556 6 8,9205 8,9205 NUM cjfa-12563 556 7 6,2979 6,2979 PROPN cjfa-12563 556 8 2,6226 2,6226 NUM cjfa-12563 556 9 sap sap NOUN cjfa-12563 556 10 5,6164 5,6164 NUM cjfa-12563 556 11 5,0180 5,0180 PROPN cjfa-12563 556 12 0,5984 0,5984 PROPN cjfa-12563 556 13 daimler daimler NOUN cjfa-12563 556 14 bmw bmw PROPN cjfa-12563 557 1 8,4465 8,4465 PROPN cjfa-12563 557 2 6,7732 6,7732 PROPN cjfa-12563 558 1 1,6733 1,6733 PROPN cjfa-12563 558 2 basf basf PROPN cjfa-12563 558 3 sap sap PROPN cjfa-12563 558 4 7,2886 7,2886 PROPN cjfa-12563 558 5 4,9716 4,9716 NOUN cjfa-12563 558 6 2,3170 2,3170 NUM cjfa-12563 558 7 figures figure NOUN cjfa-12563 558 8 reported report VERB cjfa-12563 558 9 in in ADP cjfa-12563 558 10 this this DET cjfa-12563 558 11 table table NOUN cjfa-12563 558 12 are be AUX cjfa-12563 558 13 based base VERB cjfa-12563 558 14 on on ADP cjfa-12563 558 15 daimler daimler PROPN cjfa-12563 558 16 bmw bmw PROPN cjfa-12563 558 17 3,7277 3,7277 PROPN cjfa-12563 558 18 3,2986 3,2986 PROPN cjfa-12563 558 19 0,4291 0,4291 PROPN cjfa-12563 558 20 basf basf PROPN cjfa-12563 558 21 sap sap PROPN cjfa-12563 558 22 3,6121 3,6121 NUM cjfa-12563 558 23 2,4119 2,4119 NUM cjfa-12563 558 24 1,2002 1,2002 NUM cjfa-12563 558 25 figures figure NOUN cjfa-12563 558 26 reported report VERB cjfa-12563 558 27 in in ADP cjfa-12563 558 28 this this DET cjfa-12563 558 29 table table NOUN cjfa-12563 558 30 are be AUX cjfa-12563 558 31 based base VERB cjfa-12563 558 32 on on ADP cjfa-12563 558 33 . . PUNCT cjfa-12563 559 1 sampling sample VERB cjfa-12563 559 2 period period NOUN cjfa-12563 559 3 is be AUX cjfa-12563 559 4 1 1 NUM cjfa-12563 559 5 january january NOUN cjfa-12563 559 6 2011 2011 NUM cjfa-12563 559 7 to to ADP cjfa-12563 559 8 12 12 NUM cjfa-12563 559 9 september september PROPN cjfa-12563 559 10 2016 2016 NUM cjfa-12563 559 11 , , PUNCT cjfa-12563 559 12 var var NOUN cjfa-12563 559 13 holding holding NOUN cjfa-12563 559 14 period period NOUN cjfa-12563 559 15 1 1 NUM cjfa-12563 559 16 day day NOUN cjfa-12563 559 17 , , PUNCT cjfa-12563 559 18 99 99 NUM cjfa-12563 559 19 % % NOUN cjfa-12563 559 20 confidence confidence NOUN cjfa-12563 559 21 level level NOUN cjfa-12563 559 22 , , PUNCT cjfa-12563 559 23 portfolio portfolio NOUN cjfa-12563 559 24 weights weight VERB cjfa-12563 559 25 50 50 NUM cjfa-12563 559 26 % % NOUN cjfa-12563 559 27 , , PUNCT cjfa-12563 559 28 difference difference NOUN cjfa-12563 559 29 in in ADP cjfa-12563 559 30 absolute absolute ADJ cjfa-12563 559 31 values value NOUN cjfa-12563 559 32 . . PUNCT cjfa-12563 560 1 source source NOUN cjfa-12563 560 2 : : PUNCT cjfa-12563 560 3 developed develop VERB cjfa-12563 560 4 by by ADP cjfa-12563 560 5 author author NOUN cjfa-12563 560 6 . . PUNCT cjfa-12563 561 1 similarly similarly ADV cjfa-12563 561 2 to to ADP cjfa-12563 561 3 the the DET cjfa-12563 561 4 conventional conventional ADJ cjfa-12563 561 5 var var NOUN cjfa-12563 561 6 estimates estimate NOUN cjfa-12563 561 7 reported report VERB cjfa-12563 561 8 in in ADP cjfa-12563 561 9 table table NOUN cjfa-12563 561 10 2 2 NUM cjfa-12563 561 11 , , PUNCT cjfa-12563 561 12 we we PRON cjfa-12563 561 13 find find VERB cjfa-12563 561 14 that that SCONJ cjfa-12563 561 15 the the DET cjfa-12563 561 16 normal normal ADJ cjfa-12563 561 17 assumption assumption NOUN cjfa-12563 561 18 leads lead VERB cjfa-12563 561 19 to to ADP cjfa-12563 561 20 underestimating underestimate VERB cjfa-12563 561 21 risk risk NOUN cjfa-12563 561 22 ( ( PUNCT cjfa-12563 561 23 see see VERB cjfa-12563 561 24 column column NOUN cjfa-12563 561 25 ' ' PUNCT cjfa-12563 561 26 difference difference NOUN cjfa-12563 561 27 ' ' PUNCT cjfa-12563 561 28 in in ADP cjfa-12563 561 29 table table NOUN cjfa-12563 561 30 3 3 NUM cjfa-12563 561 31 ) ) PUNCT cjfa-12563 561 32 . . PUNCT cjfa-12563 562 1 we we PRON cjfa-12563 562 2 only only ADV cjfa-12563 562 3 report report VERB cjfa-12563 562 4 the the DET cjfa-12563 562 5 results result NOUN cjfa-12563 562 6 for for ADP cjfa-12563 562 7 the the DET cjfa-12563 562 8 two two NUM cjfa-12563 562 9 portfolios portfolio NOUN cjfa-12563 562 10 as as ADP cjfa-12563 562 11 a a DET cjfa-12563 562 12 copula copula NOUN cjfa-12563 562 13 does do AUX cjfa-12563 562 14 not not PART cjfa-12563 562 15 make make VERB cjfa-12563 562 16 sense sense NOUN cjfa-12563 562 17 for for ADP cjfa-12563 562 18 individual individual ADJ cjfa-12563 562 19 return return NOUN cjfa-12563 562 20 series series NOUN cjfa-12563 562 21 . . PUNCT cjfa-12563 563 1 for for ADP cjfa-12563 563 2 the the DET cjfa-12563 563 3 automobile automobile NOUN cjfa-12563 563 4 portfolio portfolio NOUN cjfa-12563 563 5 , , PUNCT cjfa-12563 563 6 we we PRON cjfa-12563 563 7 underestimate underestimate VERB cjfa-12563 563 8 risk risk NOUN cjfa-12563 563 9 with with ADP cjfa-12563 563 10 the the DET cjfa-12563 563 11 gaussian gaussian ADJ cjfa-12563 563 12 approach approach NOUN cjfa-12563 563 13 by by ADP cjfa-12563 563 14 4,291 4,291 NUM cjfa-12563 563 15 euros euro NOUN cjfa-12563 563 16 or or CCONJ cjfa-12563 563 17 11.5 11.5 NUM cjfa-12563 563 18 % % NOUN cjfa-12563 563 19 of of ADP cjfa-12563 563 20 the the DET cjfa-12563 563 21 t t NOUN cjfa-12563 563 22 distribution distribution NOUN cjfa-12563 563 23 var var NOUN cjfa-12563 563 24 if if SCONJ cjfa-12563 563 25 1 1 NUM cjfa-12563 563 26 million million NUM cjfa-12563 563 27 euros euro NOUN cjfa-12563 563 28 are be AUX cjfa-12563 563 29 invested invest VERB cjfa-12563 563 30 into into ADP cjfa-12563 563 31 this this DET cjfa-12563 563 32 portfolio portfolio NOUN cjfa-12563 563 33 . . PUNCT cjfa-12563 564 1 by by ADP cjfa-12563 564 2 contrast contrast NOUN cjfa-12563 564 3 , , PUNCT cjfa-12563 564 4 for for ADP cjfa-12563 564 5 the the DET cjfa-12563 564 6 better well ADV cjfa-12563 564 7 diversified diversified ADJ cjfa-12563 564 8 portfolio portfolio NOUN cjfa-12563 564 9 of of ADP cjfa-12563 564 10 basf basf PROPN cjfa-12563 564 11 and and CCONJ cjfa-12563 564 12 sap sap PROPN cjfa-12563 564 13 , , PUNCT cjfa-12563 564 14 we we PRON cjfa-12563 564 15 underestimate underestimate VERB cjfa-12563 564 16 risk risk NOUN cjfa-12563 564 17 by by ADP cjfa-12563 564 18 12,002 12,002 NUM cjfa-12563 564 19 euros euro NOUN cjfa-12563 564 20 or or CCONJ cjfa-12563 564 21 33 33 NUM cjfa-12563 564 22 % % NOUN cjfa-12563 564 23 of of ADP cjfa-12563 564 24 the the DET cjfa-12563 564 25 t t NOUN cjfa-12563 564 26 distribution distribution NOUN cjfa-12563 564 27 var var NOUN cjfa-12563 564 28 for for ADP cjfa-12563 564 29 a a DET cjfa-12563 564 30 1 1 NUM cjfa-12563 564 31 - - PUNCT cjfa-12563 564 32 million million NUM cjfa-12563 564 33 euro euro NOUN cjfa-12563 564 34 portfolio portfolio NOUN cjfa-12563 564 35 . . PUNCT cjfa-12563 565 1 with with ADP cjfa-12563 565 2 these these DET cjfa-12563 565 3 results result NOUN cjfa-12563 565 4 , , PUNCT cjfa-12563 565 5 we we PRON cjfa-12563 565 6 confirm confirm VERB cjfa-12563 565 7 our our PRON cjfa-12563 565 8 conjecture conjecture NOUN cjfa-12563 565 9 and and CCONJ cjfa-12563 565 10 our our PRON cjfa-12563 565 11 earlier early ADJ cjfa-12563 565 12 conclusion conclusion NOUN cjfa-12563 565 13 that that SCONJ cjfa-12563 565 14 the the DET cjfa-12563 565 15 normal normal ADJ cjfa-12563 565 16 assumption assumption NOUN cjfa-12563 565 17 substantially substantially ADV cjfa-12563 565 18 underestimates underestimate VERB cjfa-12563 565 19 risk risk NOUN cjfa-12563 565 20 and and CCONJ cjfa-12563 565 21 should should AUX cjfa-12563 565 22 therefore therefore ADV cjfa-12563 565 23 be be AUX cjfa-12563 565 24 avoided avoid VERB cjfa-12563 565 25 in in ADP cjfa-12563 565 26 practice practice NOUN cjfa-12563 565 27 . . PUNCT cjfa-12563 566 1 while while SCONJ cjfa-12563 566 2 the the DET cjfa-12563 566 3 empirical empirical ADJ cjfa-12563 566 4 distribution distribution NOUN cjfa-12563 566 5 is be AUX cjfa-12563 566 6 certainly certainly ADV cjfa-12563 566 7 the the DET cjfa-12563 566 8 best good ADJ cjfa-12563 566 9 fit fit NOUN cjfa-12563 566 10 , , PUNCT cjfa-12563 566 11 the the DET cjfa-12563 566 12 t t NOUN cjfa-12563 566 13 distribution distribution NOUN cjfa-12563 566 14 works work VERB cjfa-12563 566 15 reasonably reasonably ADV cjfa-12563 566 16 well well ADV cjfa-12563 566 17 for for ADP cjfa-12563 566 18 the the DET cjfa-12563 566 19 4 4 NUM cjfa-12563 566 20 return return NOUN cjfa-12563 566 21 series series NOUN cjfa-12563 566 22 investigated investigate VERB cjfa-12563 566 23 here here ADV cjfa-12563 566 24 ( ( PUNCT cjfa-12563 566 25 see see VERB cjfa-12563 566 26 figures figure NOUN cjfa-12563 566 27 4 4 NUM cjfa-12563 566 28 and and CCONJ cjfa-12563 566 29 5 5 NUM cjfa-12563 566 30 ) ) PUNCT cjfa-12563 566 31 . . PUNCT cjfa-12563 567 1 as as ADP cjfa-12563 567 2 a a DET cjfa-12563 567 3 robustness robustness NOUN cjfa-12563 567 4 check check NOUN cjfa-12563 567 5 , , PUNCT cjfa-12563 567 6 we we PRON cjfa-12563 567 7 calculate calculate VERB cjfa-12563 567 8 the the DET cjfa-12563 567 9 same same ADJ cjfa-12563 567 10 indicators indicator NOUN cjfa-12563 567 11 for for ADP cjfa-12563 567 12 the the DET cjfa-12563 567 13 stress stress NOUN cjfa-12563 567 14 period period NOUN cjfa-12563 567 15 of of ADP cjfa-12563 567 16 02 02 NUM cjfa-12563 567 17 july july PROPN cjfa-12563 567 18 2007 2007 NUM cjfa-12563 567 19 to to ADP cjfa-12563 567 20 31 31 NUM cjfa-12563 567 21 december december PROPN cjfa-12563 567 22 2009 2009 NUM cjfa-12563 567 23 . . PUNCT cjfa-12563 568 1 during during ADP cjfa-12563 568 2 this this DET cjfa-12563 568 3 time time NOUN cjfa-12563 568 4 , , PUNCT cjfa-12563 568 5 the the DET cjfa-12563 568 6 global global ADJ cjfa-12563 568 7 financial financial ADJ cjfa-12563 568 8 crisis crisis NOUN cjfa-12563 568 9 had have VERB cjfa-12563 568 10 its its PRON cjfa-12563 568 11 heaviest heavy ADJ cjfa-12563 568 12 impact impact NOUN cjfa-12563 568 13 on on ADP cjfa-12563 568 14 financial financial ADJ cjfa-12563 568 15 markets market NOUN cjfa-12563 568 16 . . PUNCT cjfa-12563 569 1 therefore therefore ADV cjfa-12563 569 2 , , PUNCT cjfa-12563 569 3 the the DET cjfa-12563 569 4 var var NOUN cjfa-12563 569 5 calculated calculate VERB cjfa-12563 569 6 for for ADP cjfa-12563 569 7 this this DET cjfa-12563 569 8 period period NOUN cjfa-12563 569 9 is be AUX cjfa-12563 569 10 interpreted interpret VERB cjfa-12563 569 11 as as ADP cjfa-12563 569 12 the the DET cjfa-12563 569 13 stressed stressed ADJ cjfa-12563 569 14 var var NOUN cjfa-12563 569 15 in in ADP cjfa-12563 569 16 the the DET cjfa-12563 569 17 basel basel PROPN cjfa-12563 569 18 iii iii PROPN cjfa-12563 569 19 framework framework NOUN cjfa-12563 569 20 . . PUNCT cjfa-12563 570 1 tables table NOUN cjfa-12563 570 2 4 4 NUM cjfa-12563 570 3 to to PART cjfa-12563 570 4 6 6 NUM cjfa-12563 570 5 summarise summarise VERB cjfa-12563 570 6 the the DET cjfa-12563 570 7 results result NOUN cjfa-12563 570 8 . . PUNCT cjfa-12563 571 1 table table NOUN cjfa-12563 571 2 4 4 NUM cjfa-12563 571 3 . . PUNCT cjfa-12563 571 4 descriptive descriptive ADJ cjfa-12563 571 5 statistics statistic NOUN cjfa-12563 571 6 for for ADP cjfa-12563 571 7 stressed stressed ADJ cjfa-12563 571 8 return return NOUN cjfa-12563 571 9 series series NOUN cjfa-12563 571 10 of of ADP cjfa-12563 571 11 daimler daimler PROPN cjfa-12563 571 12 , , PUNCT cjfa-12563 571 13 bmw bmw PROPN cjfa-12563 571 14 , , PUNCT cjfa-12563 571 15 basf basf PROPN cjfa-12563 571 16 , , PUNCT cjfa-12563 571 17 and and CCONJ cjfa-12563 571 18 sap sap PROPN cjfa-12563 571 19 from from ADP cjfa-12563 571 20 02 02 NUM cjfa-12563 571 21 july july PROPN cjfa-12563 571 22 2007 2007 NUM cjfa-12563 571 23 to to ADP cjfa-12563 571 24 31 31 NUM cjfa-12563 571 25 december december PROPN cjfa-12563 571 26 2009 2009 NUM cjfa-12563 571 27 daimler daimler NOUN cjfa-12563 571 28 bmw bmw PROPN cjfa-12563 571 29 basf basf PROPN cjfa-12563 571 30 sap sap PROPN cjfa-12563 571 31 number number NOUN cjfa-12563 571 32 of of ADP cjfa-12563 571 33 observations observation NOUN cjfa-12563 571 34 635 635 NUM cjfa-12563 571 35 634 634 NUM cjfa-12563 571 36 637 637 NUM cjfa-12563 571 37 635 635 NUM cjfa-12563 571 38 median median NOUN cjfa-12563 571 39 0,00000 0,00000 ADJ cjfa-12563 571 40 -0,03806 -0,03806 X cjfa-12563 571 41 0,00000 0,00000 ADJ cjfa-12563 572 1 0,00000 0,00000 NUM cjfa-12563 572 2 mean mean VERB cjfa-12563 572 3 -0,07830 -0,07830 PROPN cjfa-12563 572 4 -0,04896 -0,04896 PROPN cjfa-12563 572 5 -0,00651 -0,00651 PROPN cjfa-12563 572 6 -0,01690 -0,01690 PROPN cjfa-12563 572 7 variance variance NOUN cjfa-12563 572 8 10,52665 10,52665 NUM cjfa-12563 572 9 8,09299 8,09299 NOUN cjfa-12563 572 10 7,27877 7,27877 PROPN cjfa-12563 572 11 4,61677 4,61677 PROPN cjfa-12563 572 12 standard standard ADJ cjfa-12563 572 13 deviation deviation NOUN cjfa-12563 572 14 3,24448 3,24448 NUM cjfa-12563 572 15 2,84482 2,84482 NUM cjfa-12563 572 16 2,69792 2,69792 NUM cjfa-12563 572 17 2,14867 2,14867 NUM cjfa-12563 572 18 skewness skewness NOUN cjfa-12563 572 19 0,47567 0,47567 PROPN cjfa-12563 572 20 0,31012 0,31012 PROPN cjfa-12563 572 21 0,18209 0,18209 NOUN cjfa-12563 572 22 -0,38797 -0,38797 PROPN cjfa-12563 572 23 kurtosis kurtosis VERB cjfa-12563 572 24 5,53263 5,53263 NUM cjfa-12563 572 25 3,47062 3,47062 NUM cjfa-12563 572 26 6,70795 6,70795 NUM cjfa-12563 572 27 13,16942 13,16942 NUM cjfa-12563 572 28 correlation correlation NOUN cjfa-12563 572 29 coefficient coefficient NOUN cjfa-12563 572 30 0,75 0,75 NUM cjfa-12563 572 31 0,47 0,47 NUM cjfa-12563 572 32 figures figure NOUN cjfa-12563 572 33 reported report VERB cjfa-12563 572 34 in in ADP cjfa-12563 572 35 this this DET cjfa-12563 572 36 table table NOUN cjfa-12563 572 37 are be AUX cjfa-12563 572 38 based base VERB cjfa-12563 572 39 . . PUNCT cjfa-12563 573 1 in in ADP cjfa-12563 573 2 the the DET cjfa-12563 573 3 markowitz markowitz PROPN cjfa-12563 573 4 ( ( PUNCT cjfa-12563 573 5 1952 1952 NUM cjfa-12563 573 6 ) ) PUNCT cjfa-12563 573 7 world world NOUN cjfa-12563 573 8 , , PUNCT cjfa-12563 573 9 this this DET cjfa-12563 573 10 table table NOUN cjfa-12563 573 11 gives give VERB cjfa-12563 573 12 sufficient sufficient ADJ cjfa-12563 573 13 risk risk NOUN cjfa-12563 573 14 measures measure NOUN cjfa-12563 573 15 in in ADP cjfa-12563 573 16 that that SCONJ cjfa-12563 573 17 it it PRON cjfa-12563 573 18 lists list VERB cjfa-12563 573 19 standard standard ADJ cjfa-12563 573 20 deviations deviation NOUN cjfa-12563 573 21 as as ADV cjfa-12563 573 22 well well ADV cjfa-12563 573 23 as as ADP cjfa-12563 573 24 correlation correlation NOUN cjfa-12563 573 25 coefficients coefficient NOUN cjfa-12563 573 26 . . PUNCT cjfa-12563 574 1 the the DET cjfa-12563 574 2 latter latter ADJ cjfa-12563 574 3 are be AUX cjfa-12563 574 4 . . PUNCT cjfa-12563 575 1 sampling sample VERB cjfa-12563 575 2 period period NOUN cjfa-12563 575 3 is be AUX cjfa-12563 575 4 02 02 NUM cjfa-12563 575 5 july july PROPN cjfa-12563 575 6 2007 2007 NUM cjfa-12563 575 7 to to ADP cjfa-12563 575 8 31 31 NUM cjfa-12563 575 9 december december PROPN cjfa-12563 575 10 2009 2009 NUM cjfa-12563 575 11 , , PUNCT cjfa-12563 575 12 var var NOUN cjfa-12563 575 13 holding holding NOUN cjfa-12563 575 14 period period NOUN cjfa-12563 575 15 1 1 NUM cjfa-12563 575 16 day day NOUN cjfa-12563 575 17 , , PUNCT cjfa-12563 575 18 99 99 NUM cjfa-12563 575 19 % % NOUN cjfa-12563 575 20 confidence confidence NOUN cjfa-12563 575 21 level level NOUN cjfa-12563 575 22 , , PUNCT cjfa-12563 575 23 portfolio portfolio NOUN cjfa-12563 575 24 weights weight VERB cjfa-12563 575 25 50 50 NUM cjfa-12563 575 26 % % NOUN cjfa-12563 575 27 , , PUNCT cjfa-12563 575 28 difference difference NOUN cjfa-12563 575 29 in in ADP cjfa-12563 575 30 absolute absolute ADJ cjfa-12563 575 31 values value NOUN cjfa-12563 575 32 . . PUNCT cjfa-12563 576 1 this this DET cjfa-12563 576 2 table table NOUN cjfa-12563 576 3 compares compare VERB cjfa-12563 576 4 directly directly ADV cjfa-12563 576 5 to to ADP cjfa-12563 576 6 table table NOUN cjfa-12563 576 7 2 2 NUM cjfa-12563 576 8 , , PUNCT cjfa-12563 576 9 where where SCONJ cjfa-12563 576 10 the the DET cjfa-12563 576 11 non non ADJ cjfa-12563 576 12 - - ADJ cjfa-12563 576 13 stressed stressed ADJ cjfa-12563 576 14 results result NOUN cjfa-12563 576 15 are be AUX cjfa-12563 576 16 summarised summarise VERB cjfa-12563 576 17 . . PUNCT cjfa-12563 577 1 s s PART cjfa-12563 577 2 o o X cjfa-12563 577 3 u u NOUN cjfa-12563 577 4 r r NOUN cjfa-12563 577 5 c c NOUN cjfa-12563 577 6 e e NOUN cjfa-12563 577 7 : : PUNCT cjfa-12563 577 8 developed develop VERB cjfa-12563 577 9 by by ADP cjfa-12563 577 10 author author NOUN cjfa-12563 577 11 . . PUNCT cjfa-12563 578 1 the the DET cjfa-12563 578 2 conventional conventional ADJ cjfa-12563 578 3 var var NOUN cjfa-12563 578 4 figures figure NOUN cjfa-12563 578 5 are be AUX cjfa-12563 578 6 compared compare VERB cjfa-12563 578 7 across across ADP cjfa-12563 578 8 tables table NOUN cjfa-12563 578 9 2 2 NUM cjfa-12563 578 10 and and CCONJ cjfa-12563 578 11 5 5 NUM cjfa-12563 578 12 . . PUNCT cjfa-12563 579 1 this this DET cjfa-12563 579 2 comparison comparison NOUN cjfa-12563 579 3 confirms confirm VERB cjfa-12563 579 4 our our PRON cjfa-12563 579 5 suspicion suspicion NOUN cjfa-12563 579 6 regarding regard VERB cjfa-12563 579 7 linear linear PROPN cjfa-12563 579 8 and and CCONJ cjfa-12563 579 9 non non ADJ cjfa-12563 579 10 - - ADJ cjfa-12563 579 11 linear linear ADJ cjfa-12563 579 12 dependencies dependency NOUN cjfa-12563 579 13 : : PUNCT cjfa-12563 579 14 the the DET cjfa-12563 579 15 difference difference NOUN cjfa-12563 579 16 in in ADP cjfa-12563 579 17 var var NOUN cjfa-12563 579 18 between between ADP cjfa-12563 579 19 the the DET cjfa-12563 579 20 empirical empirical NOUN cjfa-12563 579 21 and and CCONJ cjfa-12563 579 22 the the DET cjfa-12563 579 23 normal normal ADJ cjfa-12563 579 24 distributions distribution NOUN cjfa-12563 579 25 becomes become VERB cjfa-12563 579 26 much much ADV cjfa-12563 579 27 larger large ADJ cjfa-12563 579 28 in in ADP cjfa-12563 579 29 times time NOUN cjfa-12563 579 30 of of ADP cjfa-12563 579 31 trouble trouble NOUN cjfa-12563 579 32 ( ( PUNCT cjfa-12563 579 33 except except SCONJ cjfa-12563 579 34 for for ADP cjfa-12563 579 35 sap sap PROPN cjfa-12563 579 36 which which PRON cjfa-12563 579 37 appears appear VERB cjfa-12563 579 38 to to PART cjfa-12563 579 39 function function VERB cjfa-12563 579 40 almost almost ADV cjfa-12563 579 41 like like ADP cjfa-12563 579 42 an an DET cjfa-12563 579 43 insurance insurance NOUN cjfa-12563 579 44 policy policy NOUN cjfa-12563 579 45 ) ) PUNCT cjfa-12563 579 46 . . PUNCT cjfa-12563 580 1 furthermore furthermore ADV cjfa-12563 580 2 , , PUNCT cjfa-12563 580 3 since since SCONJ cjfa-12563 580 4 the the DET cjfa-12563 580 5 var var NOUN cjfa-12563 580 6 measures measure VERB cjfa-12563 580 7 an an DET cjfa-12563 580 8 expected expect VERB cjfa-12563 580 9 loss loss NOUN cjfa-12563 580 10 , , PUNCT cjfa-12563 580 11 we we PRON cjfa-12563 580 12 expect expect VERB cjfa-12563 580 13 this this PRON cjfa-12563 580 14 to to PART cjfa-12563 580 15 be be AUX cjfa-12563 580 16 higher high ADJ cjfa-12563 580 17 in in ADP cjfa-12563 580 18 absolute absolute ADJ cjfa-12563 580 19 terms term NOUN cjfa-12563 580 20 during during ADP cjfa-12563 580 21 a a DET cjfa-12563 580 22 period period NOUN cjfa-12563 580 23 of of ADP cjfa-12563 580 24 stress stress NOUN cjfa-12563 580 25 compared compare VERB cjfa-12563 580 26 to to ADP cjfa-12563 580 27 an an DET cjfa-12563 580 28 ordinary ordinary ADJ cjfa-12563 580 29 state state NOUN cjfa-12563 580 30 of of ADP cjfa-12563 580 31 the the DET cjfa-12563 580 32 market market NOUN cjfa-12563 580 33 . . PUNCT cjfa-12563 581 1 indeed indeed ADV cjfa-12563 581 2 , , PUNCT cjfa-12563 581 3 for for ADP cjfa-12563 581 4 the the DET cjfa-12563 581 5 stressed stressed ADJ cjfa-12563 581 6 period period NOUN cjfa-12563 581 7 of of ADP cjfa-12563 581 8 2007 2007 NUM cjfa-12563 581 9 to to ADP cjfa-12563 581 10 2009 2009 NUM cjfa-12563 581 11 , , PUNCT cjfa-12563 581 12 we we PRON cjfa-12563 581 13 observe observe VERB cjfa-12563 581 14 a a DET cjfa-12563 581 15 var var NOUN cjfa-12563 581 16 of of ADP cjfa-12563 581 17 93,845 93,845 NUM cjfa-12563 581 18 euros euro NOUN cjfa-12563 581 19 for for ADP cjfa-12563 581 20 a a DET cjfa-12563 581 21 1 1 NUM cjfa-12563 581 22 million million NUM cjfa-12563 581 23 euro euro NOUN cjfa-12563 581 24 portfolio portfolio NOUN cjfa-12563 581 25 of of ADP cjfa-12563 581 26 daimler daimler NOUN cjfa-12563 581 27 stocks stock NOUN cjfa-12563 581 28 compared compare VERB cjfa-12563 581 29 to to ADP cjfa-12563 581 30 52,391 52,391 NUM cjfa-12563 581 31 euros euro NOUN cjfa-12563 581 32 in in ADP cjfa-12563 581 33 an an DET cjfa-12563 581 34 ordinary ordinary ADJ cjfa-12563 581 35 state state NOUN cjfa-12563 581 36 . . PUNCT cjfa-12563 582 1 moreover moreover ADV cjfa-12563 582 2 , , PUNCT cjfa-12563 582 3 under under ADP cjfa-12563 582 4 ordinary ordinary ADJ cjfa-12563 582 5 circumstances circumstance NOUN cjfa-12563 582 6 , , PUNCT cjfa-12563 582 7 recall recall VERB cjfa-12563 582 8 that that SCONJ cjfa-12563 582 9 the the DET cjfa-12563 582 10 difference difference NOUN cjfa-12563 582 11 in in ADP cjfa-12563 582 12 var var NOUN cjfa-12563 582 13 between between ADP cjfa-12563 582 14 the the DET cjfa-12563 582 15 empirical empirical NOUN cjfa-12563 582 16 and and CCONJ cjfa-12563 582 17 the the DET cjfa-12563 582 18 normal normal ADJ cjfa-12563 582 19 distributions distribution NOUN cjfa-12563 582 20 for for ADP cjfa-12563 582 21 the the DET cjfa-12563 582 22 same same ADJ cjfa-12563 582 23 daimler daimler NOUN cjfa-12563 582 24 portfolio portfolio NOUN cjfa-12563 582 25 amounts amount VERB cjfa-12563 582 26 to to ADP cjfa-12563 582 27 9,211 9,211 NUM cjfa-12563 582 28 euros euro NOUN cjfa-12563 582 29 . . PUNCT cjfa-12563 583 1 by by ADP cjfa-12563 583 2 contrast contrast NOUN cjfa-12563 583 3 , , PUNCT cjfa-12563 583 4 the the DET cjfa-12563 583 5 difference difference NOUN cjfa-12563 583 6 between between ADP cjfa-12563 583 7 empirical empirical ADJ cjfa-12563 583 8 and and CCONJ cjfa-12563 583 9 normal normal ADJ cjfa-12563 583 10 - - PUNCT cjfa-12563 583 11 based base VERB cjfa-12563 583 12 vars var NOUN cjfa-12563 583 13 amounts amount VERB cjfa-12563 583 14 to to ADP cjfa-12563 583 15 17,522 17,522 NUM cjfa-12563 583 16 euros euro NOUN cjfa-12563 583 17 in in ADP cjfa-12563 583 18 the the DET cjfa-12563 583 19 stressed stressed ADJ cjfa-12563 583 20 period period NOUN cjfa-12563 583 21 , , PUNCT cjfa-12563 583 22 which which PRON cjfa-12563 583 23 is be AUX cjfa-12563 583 24 just just ADV cjfa-12563 583 25 under under ADP cjfa-12563 583 26 double double ADJ cjfa-12563 583 27 the the DET cjfa-12563 583 28 amount amount NOUN cjfa-12563 583 29 across across ADP cjfa-12563 583 30 the the DET cjfa-12563 583 31 5 5 NUM cjfa-12563 583 32 - - PUNCT cjfa-12563 583 33 year year NOUN cjfa-12563 583 34 non non ADJ cjfa-12563 583 35 - - ADJ cjfa-12563 583 36 stressed stressed ADJ cjfa-12563 583 37 period period NOUN cjfa-12563 583 38 . . PUNCT cjfa-12563 584 1 we we PRON cjfa-12563 584 2 conclude conclude VERB cjfa-12563 584 3 that that SCONJ cjfa-12563 584 4 the the DET cjfa-12563 584 5 error error NOUN cjfa-12563 584 6 in in ADP cjfa-12563 584 7 using use VERB cjfa-12563 584 8 the the DET cjfa-12563 584 9 normal normal ADJ cjfa-12563 584 10 distribution distribution NOUN cjfa-12563 584 11 to to PART cjfa-12563 584 12 capture capture VERB cjfa-12563 584 13 risk risk NOUN cjfa-12563 584 14 in in ADP cjfa-12563 584 15 financial financial ADJ cjfa-12563 584 16 markets market NOUN cjfa-12563 584 17 becomes become VERB cjfa-12563 584 18 more more ADV cjfa-12563 584 19 severe severe ADJ cjfa-12563 584 20 as as SCONJ cjfa-12563 584 21 the the DET cjfa-12563 584 22 markets market NOUN cjfa-12563 584 23 experience experience VERB cjfa-12563 584 24 a a DET cjfa-12563 584 25 crisis crisis NOUN cjfa-12563 584 26 . . PUNCT cjfa-12563 585 1 during during ADP cjfa-12563 585 2 such such ADJ cjfa-12563 585 3 times time NOUN cjfa-12563 585 4 , , PUNCT cjfa-12563 585 5 however however ADV cjfa-12563 585 6 , , PUNCT cjfa-12563 585 7 risk risk NOUN cjfa-12563 585 8 measures measure NOUN cjfa-12563 585 9 need need VERB cjfa-12563 585 10 to to PART cjfa-12563 585 11 be be AUX cjfa-12563 585 12 extra extra ADJ cjfa-12563 585 13 - - ADJ cjfa-12563 585 14 reliable reliable ADJ cjfa-12563 585 15 and and CCONJ cjfa-12563 585 16 extra extra ADJ cjfa-12563 585 17 - - ADJ cjfa-12563 585 18 prudent prudent ADJ cjfa-12563 585 19 . . PUNCT cjfa-12563 586 1 this this PRON cjfa-12563 586 2 is be AUX cjfa-12563 586 3 a a DET cjfa-12563 586 4 strong strong ADJ cjfa-12563 586 5 argument argument NOUN cjfa-12563 586 6 against against ADP cjfa-12563 586 7 the the DET cjfa-12563 586 8 gaussian gaussian ADJ cjfa-12563 586 9 copula copula NOUN cjfa-12563 586 10 to to PART cjfa-12563 586 11 measure measure VERB cjfa-12563 586 12 the the DET cjfa-12563 586 13 dependence dependence NOUN cjfa-12563 586 14 of of ADP cjfa-12563 586 15 return return NOUN cjfa-12563 586 16 series series NOUN cjfa-12563 586 17 . . PUNCT cjfa-12563 587 1 christiane christiane PROPN cjfa-12563 587 2 goodfellow goodfellow PROPN cjfa-12563 587 3 , , PUNCT cjfa-12563 587 4 christian christian PROPN cjfa-12563 587 5 salm106 salm106 PROPN cjfa-12563 587 6 table table NOUN cjfa-12563 587 7 6 6 NUM cjfa-12563 587 8 . . PUNCT cjfa-12563 587 9 stressed stress VERB cjfa-12563 587 10 copula copula NOUN cjfa-12563 587 11 - - PUNCT cjfa-12563 587 12 based base VERB cjfa-12563 587 13 value value NOUN cjfa-12563 587 14 at at ADP cjfa-12563 587 15 risk risk NOUN cjfa-12563 587 16 for for ADP cjfa-12563 587 17 return return NOUN cjfa-12563 587 18 series series NOUN cjfa-12563 587 19 of of ADP cjfa-12563 587 20 daimler daimler PROPN cjfa-12563 587 21 , , PUNCT cjfa-12563 587 22 bmw bmw PROPN cjfa-12563 587 23 , , PUNCT cjfa-12563 587 24 basf basf PROPN cjfa-12563 587 25 , , PUNCT cjfa-12563 587 26 and and CCONJ cjfa-12563 587 27 sap sap PROPN cjfa-12563 587 28 as as ADV cjfa-12563 587 29 well well ADV cjfa-12563 587 30 as as ADP cjfa-12563 587 31 for for ADP cjfa-12563 587 32 a a DET cjfa-12563 587 33 portfolio portfolio NOUN cjfa-12563 587 34 of of ADP cjfa-12563 587 35 daimler daimler NOUN cjfa-12563 587 36 and and CCONJ cjfa-12563 587 37 bmw bmw PROPN cjfa-12563 587 38 and and CCONJ cjfa-12563 587 39 a a DET cjfa-12563 587 40 portfolio portfolio NOUN cjfa-12563 587 41 of of ADP cjfa-12563 587 42 basf basf PROPN cjfa-12563 587 43 and and CCONJ cjfa-12563 587 44 sap sap PROPN cjfa-12563 587 45 t t PROPN cjfa-12563 587 46 - - PUNCT cjfa-12563 587 47 copula copula NOUN cjfa-12563 587 48 var var NOUN cjfa-12563 587 49 gaussian gaussian NOUN cjfa-12563 587 50 copula copula NOUN cjfa-12563 587 51 var var NOUN cjfa-12563 587 52 difference difference NOUN cjfa-12563 587 53 daimler daimler PROPN cjfa-12563 587 54 bmw bmw PROPN cjfa-12563 588 1 8,3938 8,3938 PROPN cjfa-12563 588 2 4,5709 4,5709 ADJ cjfa-12563 588 3 3,8229 3,8229 NUM cjfa-12563 588 4 basf basf PROPN cjfa-12563 588 5 sap sap PROPN cjfa-12563 588 6 6,8408 6,8408 NUM cjfa-12563 588 7 2,6784 2,6784 NOUN cjfa-12563 588 8 4,1624 4,1624 PROPN cjfa-12563 588 9 figures figure NOUN cjfa-12563 588 10 reported report VERB cjfa-12563 588 11 in in ADP cjfa-12563 588 12 this this DET cjfa-12563 588 13 table table NOUN cjfa-12563 588 14 are be AUX cjfa-12563 588 15 based base VERB cjfa-12563 588 16 on on ADP cjfa-12563 588 17 daimler daimler PROPN cjfa-12563 588 18 bmw bmw PROPN cjfa-12563 588 19 3,7277 3,7277 PROPN cjfa-12563 588 20 3,2986 3,2986 PROPN cjfa-12563 588 21 0,4291 0,4291 PROPN cjfa-12563 588 22 basf basf PROPN cjfa-12563 588 23 sap sap PROPN cjfa-12563 588 24 3,6121 3,6121 NUM cjfa-12563 588 25 2,4119 2,4119 NUM cjfa-12563 588 26 1,2002 1,2002 NUM cjfa-12563 588 27 figures figure NOUN cjfa-12563 588 28 reported report VERB cjfa-12563 588 29 in in ADP cjfa-12563 588 30 this this DET cjfa-12563 588 31 table table NOUN cjfa-12563 588 32 are be AUX cjfa-12563 588 33 based base VERB cjfa-12563 588 34 on on ADP cjfa-12563 588 35 . . PUNCT cjfa-12563 589 1 sampling sample VERB cjfa-12563 589 2 period period NOUN cjfa-12563 589 3 is be AUX cjfa-12563 589 4 1 1 NUM cjfa-12563 589 5 january january NOUN cjfa-12563 589 6 2011 2011 NUM cjfa-12563 589 7 to to ADP cjfa-12563 589 8 12 12 NUM cjfa-12563 589 9 september september PROPN cjfa-12563 589 10 2016 2016 NUM cjfa-12563 589 11 , , PUNCT cjfa-12563 589 12 var var NOUN cjfa-12563 589 13 holding holding NOUN cjfa-12563 589 14 period period NOUN cjfa-12563 589 15 1 1 NUM cjfa-12563 589 16 day day NOUN cjfa-12563 589 17 , , PUNCT cjfa-12563 589 18 99 99 NUM cjfa-12563 589 19 % % NOUN cjfa-12563 589 20 confidence confidence NOUN cjfa-12563 589 21 level level NOUN cjfa-12563 589 22 , , PUNCT cjfa-12563 589 23 portfolio portfolio NOUN cjfa-12563 589 24 weights weight VERB cjfa-12563 589 25 50 50 NUM cjfa-12563 589 26 % % NOUN cjfa-12563 589 27 , , PUNCT cjfa-12563 589 28 difference difference NOUN cjfa-12563 589 29 in in ADP cjfa-12563 589 30 absolute absolute ADJ cjfa-12563 589 31 values value NOUN cjfa-12563 589 32 . . PUNCT cjfa-12563 590 1 source source NOUN cjfa-12563 590 2 : : PUNCT cjfa-12563 590 3 developed develop VERB cjfa-12563 590 4 by by ADP cjfa-12563 590 5 author author NOUN cjfa-12563 590 6 . . PUNCT cjfa-12563 591 1 similarly similarly ADV cjfa-12563 591 2 to to ADP cjfa-12563 591 3 the the DET cjfa-12563 591 4 conventional conventional ADJ cjfa-12563 591 5 var var NOUN cjfa-12563 591 6 estimates estimate NOUN cjfa-12563 591 7 reported report VERB cjfa-12563 591 8 in in ADP cjfa-12563 591 9 table table NOUN cjfa-12563 591 10 2 2 NUM cjfa-12563 591 11 , , PUNCT cjfa-12563 591 12 we we PRON cjfa-12563 591 13 find find VERB cjfa-12563 591 14 that that SCONJ cjfa-12563 591 15 the the DET cjfa-12563 591 16 normal normal ADJ cjfa-12563 591 17 assumption assumption NOUN cjfa-12563 591 18 leads lead VERB cjfa-12563 591 19 to to ADP cjfa-12563 591 20 underestimating underestimate VERB cjfa-12563 591 21 risk risk NOUN cjfa-12563 591 22 ( ( PUNCT cjfa-12563 591 23 see see VERB cjfa-12563 591 24 column column NOUN cjfa-12563 591 25 ' ' PUNCT cjfa-12563 591 26 difference difference NOUN cjfa-12563 591 27 ' ' PUNCT cjfa-12563 591 28 in in ADP cjfa-12563 591 29 table table NOUN cjfa-12563 591 30 3 3 NUM cjfa-12563 591 31 ) ) PUNCT cjfa-12563 591 32 . . PUNCT cjfa-12563 592 1 we we PRON cjfa-12563 592 2 only only ADV cjfa-12563 592 3 report report VERB cjfa-12563 592 4 the the DET cjfa-12563 592 5 results result NOUN cjfa-12563 592 6 for for ADP cjfa-12563 592 7 the the DET cjfa-12563 592 8 two two NUM cjfa-12563 592 9 portfolios portfolio NOUN cjfa-12563 592 10 as as ADP cjfa-12563 592 11 a a DET cjfa-12563 592 12 copula copula NOUN cjfa-12563 592 13 does do AUX cjfa-12563 592 14 not not PART cjfa-12563 592 15 make make VERB cjfa-12563 592 16 sense sense NOUN cjfa-12563 592 17 for for ADP cjfa-12563 592 18 individual individual ADJ cjfa-12563 592 19 return return NOUN cjfa-12563 592 20 series series NOUN cjfa-12563 592 21 . . PUNCT cjfa-12563 593 1 for for ADP cjfa-12563 593 2 the the DET cjfa-12563 593 3 automobile automobile NOUN cjfa-12563 593 4 portfolio portfolio NOUN cjfa-12563 593 5 , , PUNCT cjfa-12563 593 6 we we PRON cjfa-12563 593 7 underestimate underestimate VERB cjfa-12563 593 8 risk risk NOUN cjfa-12563 593 9 with with ADP cjfa-12563 593 10 the the DET cjfa-12563 593 11 gaussian gaussian ADJ cjfa-12563 593 12 approach approach NOUN cjfa-12563 593 13 by by ADP cjfa-12563 593 14 4,291 4,291 NUM cjfa-12563 593 15 euros euro NOUN cjfa-12563 593 16 or or CCONJ cjfa-12563 593 17 11.5 11.5 NUM cjfa-12563 593 18 % % NOUN cjfa-12563 593 19 of of ADP cjfa-12563 593 20 the the DET cjfa-12563 593 21 t t NOUN cjfa-12563 593 22 distribution distribution NOUN cjfa-12563 593 23 var var NOUN cjfa-12563 593 24 if if SCONJ cjfa-12563 593 25 1 1 NUM cjfa-12563 593 26 million million NUM cjfa-12563 593 27 euros euro NOUN cjfa-12563 593 28 are be AUX cjfa-12563 593 29 invested invest VERB cjfa-12563 593 30 into into ADP cjfa-12563 593 31 this this DET cjfa-12563 593 32 portfolio portfolio NOUN cjfa-12563 593 33 . . PUNCT cjfa-12563 594 1 by by ADP cjfa-12563 594 2 contrast contrast NOUN cjfa-12563 594 3 , , PUNCT cjfa-12563 594 4 for for ADP cjfa-12563 594 5 the the DET cjfa-12563 594 6 better well ADV cjfa-12563 594 7 diversified diversified ADJ cjfa-12563 594 8 portfolio portfolio NOUN cjfa-12563 594 9 of of ADP cjfa-12563 594 10 basf basf PROPN cjfa-12563 594 11 and and CCONJ cjfa-12563 594 12 sap sap PROPN cjfa-12563 594 13 , , PUNCT cjfa-12563 594 14 we we PRON cjfa-12563 594 15 underestimate underestimate VERB cjfa-12563 594 16 risk risk NOUN cjfa-12563 594 17 by by ADP cjfa-12563 594 18 12,002 12,002 NUM cjfa-12563 594 19 euros euro NOUN cjfa-12563 594 20 or or CCONJ cjfa-12563 594 21 33 33 NUM cjfa-12563 594 22 % % NOUN cjfa-12563 594 23 of of ADP cjfa-12563 594 24 the the DET cjfa-12563 594 25 t t NOUN cjfa-12563 594 26 distribution distribution NOUN cjfa-12563 594 27 var var NOUN cjfa-12563 594 28 for for ADP cjfa-12563 594 29 a a DET cjfa-12563 594 30 1 1 NUM cjfa-12563 594 31 - - PUNCT cjfa-12563 594 32 million million NUM cjfa-12563 594 33 euro euro NOUN cjfa-12563 594 34 portfolio portfolio NOUN cjfa-12563 594 35 . . PUNCT cjfa-12563 595 1 with with ADP cjfa-12563 595 2 these these DET cjfa-12563 595 3 results result NOUN cjfa-12563 595 4 , , PUNCT cjfa-12563 595 5 we we PRON cjfa-12563 595 6 confirm confirm VERB cjfa-12563 595 7 our our PRON cjfa-12563 595 8 conjecture conjecture NOUN cjfa-12563 595 9 and and CCONJ cjfa-12563 595 10 our our PRON cjfa-12563 595 11 earlier early ADJ cjfa-12563 595 12 conclusion conclusion NOUN cjfa-12563 595 13 that that SCONJ cjfa-12563 595 14 the the DET cjfa-12563 595 15 normal normal ADJ cjfa-12563 595 16 assumption assumption NOUN cjfa-12563 595 17 substantially substantially ADV cjfa-12563 595 18 underestimates underestimate VERB cjfa-12563 595 19 risk risk NOUN cjfa-12563 595 20 and and CCONJ cjfa-12563 595 21 should should AUX cjfa-12563 595 22 therefore therefore ADV cjfa-12563 595 23 be be AUX cjfa-12563 595 24 avoided avoid VERB cjfa-12563 595 25 in in ADP cjfa-12563 595 26 practice practice NOUN cjfa-12563 595 27 . . PUNCT cjfa-12563 596 1 while while SCONJ cjfa-12563 596 2 the the DET cjfa-12563 596 3 empirical empirical ADJ cjfa-12563 596 4 distribution distribution NOUN cjfa-12563 596 5 is be AUX cjfa-12563 596 6 certainly certainly ADV cjfa-12563 596 7 the the DET cjfa-12563 596 8 best good ADJ cjfa-12563 596 9 fit fit NOUN cjfa-12563 596 10 , , PUNCT cjfa-12563 596 11 the the DET cjfa-12563 596 12 t t NOUN cjfa-12563 596 13 distribution distribution NOUN cjfa-12563 596 14 works work VERB cjfa-12563 596 15 reasonably reasonably ADV cjfa-12563 596 16 well well ADV cjfa-12563 596 17 for for ADP cjfa-12563 596 18 the the DET cjfa-12563 596 19 4 4 NUM cjfa-12563 596 20 return return NOUN cjfa-12563 596 21 series series NOUN cjfa-12563 596 22 investigated investigate VERB cjfa-12563 596 23 here here ADV cjfa-12563 596 24 ( ( PUNCT cjfa-12563 596 25 see see VERB cjfa-12563 596 26 figures figure NOUN cjfa-12563 596 27 4 4 NUM cjfa-12563 596 28 and and CCONJ cjfa-12563 596 29 5 5 NUM cjfa-12563 596 30 ) ) PUNCT cjfa-12563 596 31 . . PUNCT cjfa-12563 597 1 as as ADP cjfa-12563 597 2 a a DET cjfa-12563 597 3 robustness robustness NOUN cjfa-12563 597 4 check check NOUN cjfa-12563 597 5 , , PUNCT cjfa-12563 597 6 we we PRON cjfa-12563 597 7 calculate calculate VERB cjfa-12563 597 8 the the DET cjfa-12563 597 9 same same ADJ cjfa-12563 597 10 indicators indicator NOUN cjfa-12563 597 11 for for ADP cjfa-12563 597 12 the the DET cjfa-12563 597 13 stress stress NOUN cjfa-12563 597 14 period period NOUN cjfa-12563 597 15 of of ADP cjfa-12563 597 16 02 02 NUM cjfa-12563 597 17 july july PROPN cjfa-12563 597 18 2007 2007 NUM cjfa-12563 597 19 to to ADP cjfa-12563 597 20 31 31 NUM cjfa-12563 597 21 december december PROPN cjfa-12563 597 22 2009 2009 NUM cjfa-12563 597 23 . . PUNCT cjfa-12563 598 1 during during ADP cjfa-12563 598 2 this this DET cjfa-12563 598 3 time time NOUN cjfa-12563 598 4 , , PUNCT cjfa-12563 598 5 the the DET cjfa-12563 598 6 global global ADJ cjfa-12563 598 7 financial financial ADJ cjfa-12563 598 8 crisis crisis NOUN cjfa-12563 598 9 had have VERB cjfa-12563 598 10 its its PRON cjfa-12563 598 11 heaviest heavy ADJ cjfa-12563 598 12 impact impact NOUN cjfa-12563 598 13 on on ADP cjfa-12563 598 14 financial financial ADJ cjfa-12563 598 15 markets market NOUN cjfa-12563 598 16 . . PUNCT cjfa-12563 599 1 therefore therefore ADV cjfa-12563 599 2 , , PUNCT cjfa-12563 599 3 the the DET cjfa-12563 599 4 var var NOUN cjfa-12563 599 5 calculated calculate VERB cjfa-12563 599 6 for for ADP cjfa-12563 599 7 this this DET cjfa-12563 599 8 period period NOUN cjfa-12563 599 9 is be AUX cjfa-12563 599 10 interpreted interpret VERB cjfa-12563 599 11 as as ADP cjfa-12563 599 12 the the DET cjfa-12563 599 13 stressed stressed ADJ cjfa-12563 599 14 var var NOUN cjfa-12563 599 15 in in ADP cjfa-12563 599 16 the the DET cjfa-12563 599 17 basel basel PROPN cjfa-12563 599 18 iii iii PROPN cjfa-12563 599 19 framework framework NOUN cjfa-12563 599 20 . . PUNCT cjfa-12563 600 1 tables table NOUN cjfa-12563 600 2 4 4 NUM cjfa-12563 600 3 to to PART cjfa-12563 600 4 6 6 NUM cjfa-12563 600 5 summarise summarise VERB cjfa-12563 600 6 the the DET cjfa-12563 600 7 results result NOUN cjfa-12563 600 8 . . PUNCT cjfa-12563 601 1 table table NOUN cjfa-12563 601 2 4 4 NUM cjfa-12563 601 3 . . PUNCT cjfa-12563 601 4 descriptive descriptive ADJ cjfa-12563 601 5 statistics statistic NOUN cjfa-12563 601 6 for for ADP cjfa-12563 601 7 stressed stressed ADJ cjfa-12563 601 8 return return NOUN cjfa-12563 601 9 series series NOUN cjfa-12563 601 10 of of ADP cjfa-12563 601 11 daimler daimler PROPN cjfa-12563 601 12 , , PUNCT cjfa-12563 601 13 bmw bmw PROPN cjfa-12563 601 14 , , PUNCT cjfa-12563 601 15 basf basf PROPN cjfa-12563 601 16 , , PUNCT cjfa-12563 601 17 and and CCONJ cjfa-12563 601 18 sap sap PROPN cjfa-12563 601 19 from from ADP cjfa-12563 601 20 02 02 NUM cjfa-12563 601 21 july july PROPN cjfa-12563 601 22 2007 2007 NUM cjfa-12563 601 23 to to ADP cjfa-12563 601 24 31 31 NUM cjfa-12563 601 25 december december PROPN cjfa-12563 601 26 2009 2009 NUM cjfa-12563 601 27 daimler daimler NOUN cjfa-12563 601 28 bmw bmw PROPN cjfa-12563 601 29 basf basf PROPN cjfa-12563 601 30 sap sap PROPN cjfa-12563 601 31 number number NOUN cjfa-12563 601 32 of of ADP cjfa-12563 601 33 observations observation NOUN cjfa-12563 601 34 635 635 NUM cjfa-12563 601 35 634 634 NUM cjfa-12563 601 36 637 637 NUM cjfa-12563 601 37 635 635 NUM cjfa-12563 601 38 median median NOUN cjfa-12563 601 39 0,00000 0,00000 ADJ cjfa-12563 601 40 -0,03806 -0,03806 X cjfa-12563 601 41 0,00000 0,00000 ADJ cjfa-12563 602 1 0,00000 0,00000 NUM cjfa-12563 602 2 mean mean VERB cjfa-12563 602 3 -0,07830 -0,07830 PROPN cjfa-12563 602 4 -0,04896 -0,04896 PROPN cjfa-12563 602 5 -0,00651 -0,00651 PROPN cjfa-12563 602 6 -0,01690 -0,01690 PROPN cjfa-12563 602 7 variance variance NOUN cjfa-12563 602 8 10,52665 10,52665 NUM cjfa-12563 602 9 8,09299 8,09299 NOUN cjfa-12563 602 10 7,27877 7,27877 PROPN cjfa-12563 602 11 4,61677 4,61677 PROPN cjfa-12563 602 12 standard standard ADJ cjfa-12563 602 13 deviation deviation NOUN cjfa-12563 602 14 3,24448 3,24448 NUM cjfa-12563 602 15 2,84482 2,84482 NUM cjfa-12563 602 16 2,69792 2,69792 NUM cjfa-12563 602 17 2,14867 2,14867 NUM cjfa-12563 602 18 skewness skewness NOUN cjfa-12563 602 19 0,47567 0,47567 PROPN cjfa-12563 602 20 0,31012 0,31012 PROPN cjfa-12563 602 21 0,18209 0,18209 NOUN cjfa-12563 602 22 -0,38797 -0,38797 PROPN cjfa-12563 602 23 kurtosis kurtosis VERB cjfa-12563 602 24 5,53263 5,53263 NUM cjfa-12563 602 25 3,47062 3,47062 NUM cjfa-12563 602 26 6,70795 6,70795 NUM cjfa-12563 602 27 13,16942 13,16942 NUM cjfa-12563 602 28 correlation correlation NOUN cjfa-12563 602 29 coefficient coefficient NOUN cjfa-12563 602 30 0,75 0,75 NUM cjfa-12563 602 31 0,47 0,47 NUM cjfa-12563 602 32 figures figure NOUN cjfa-12563 602 33 reported report VERB cjfa-12563 602 34 in in ADP cjfa-12563 602 35 this this DET cjfa-12563 602 36 table table NOUN cjfa-12563 602 37 are be AUX cjfa-12563 602 38 based base VERB cjfa-12563 602 39 . . PUNCT cjfa-12563 603 1 in in ADP cjfa-12563 603 2 the the DET cjfa-12563 603 3 markowitz markowitz PROPN cjfa-12563 603 4 ( ( PUNCT cjfa-12563 603 5 1952 1952 NUM cjfa-12563 603 6 ) ) PUNCT cjfa-12563 603 7 world world NOUN cjfa-12563 603 8 , , PUNCT cjfa-12563 603 9 this this DET cjfa-12563 603 10 table table NOUN cjfa-12563 603 11 gives give VERB cjfa-12563 603 12 sufficient sufficient ADJ cjfa-12563 603 13 risk risk NOUN cjfa-12563 603 14 measures measure NOUN cjfa-12563 603 15 in in ADP cjfa-12563 603 16 that that SCONJ cjfa-12563 603 17 it it PRON cjfa-12563 603 18 lists list VERB cjfa-12563 603 19 standard standard ADJ cjfa-12563 603 20 deviations deviation NOUN cjfa-12563 603 21 as as ADV cjfa-12563 603 22 well well ADV cjfa-12563 603 23 as as ADP cjfa-12563 603 24 correlation correlation NOUN cjfa-12563 603 25 coefficients coefficient NOUN cjfa-12563 603 26 . . PUNCT cjfa-12563 604 1 the the DET cjfa-12563 604 2 latter latter ADJ cjfa-12563 604 3 are be AUX cjfa-12563 604 4 . . PUNCT cjfa-12563 605 1 sampling sample VERB cjfa-12563 605 2 period period NOUN cjfa-12563 605 3 is be AUX cjfa-12563 605 4 02 02 NUM cjfa-12563 605 5 july july PROPN cjfa-12563 605 6 2007 2007 NUM cjfa-12563 605 7 to to ADP cjfa-12563 605 8 31 31 NUM cjfa-12563 605 9 december december PROPN cjfa-12563 605 10 2009 2009 NUM cjfa-12563 605 11 , , PUNCT cjfa-12563 605 12 var var NOUN cjfa-12563 605 13 holding holding NOUN cjfa-12563 605 14 period period NOUN cjfa-12563 605 15 1 1 NUM cjfa-12563 605 16 day day NOUN cjfa-12563 605 17 , , PUNCT cjfa-12563 605 18 99 99 NUM cjfa-12563 605 19 % % NOUN cjfa-12563 605 20 confidence confidence NOUN cjfa-12563 605 21 level level NOUN cjfa-12563 605 22 , , PUNCT cjfa-12563 605 23 portfolio portfolio NOUN cjfa-12563 605 24 weights weight VERB cjfa-12563 605 25 50 50 NUM cjfa-12563 605 26 % % NOUN cjfa-12563 605 27 , , PUNCT cjfa-12563 605 28 difference difference NOUN cjfa-12563 605 29 in in ADP cjfa-12563 605 30 absolute absolute ADJ cjfa-12563 605 31 values value NOUN cjfa-12563 605 32 . . PUNCT cjfa-12563 606 1 this this DET cjfa-12563 606 2 table table NOUN cjfa-12563 606 3 compares compare VERB cjfa-12563 606 4 directly directly ADV cjfa-12563 606 5 to to ADP cjfa-12563 606 6 table table NOUN cjfa-12563 606 7 3 3 NUM cjfa-12563 606 8 , , PUNCT cjfa-12563 606 9 where where SCONJ cjfa-12563 606 10 the the DET cjfa-12563 606 11 non non ADJ cjfa-12563 606 12 - - ADJ cjfa-12563 606 13 stressed stressed ADJ cjfa-12563 606 14 results result NOUN cjfa-12563 606 15 are be AUX cjfa-12563 606 16 summarised summarise VERB cjfa-12563 606 17 . . PUNCT cjfa-12563 607 1 s s PART cjfa-12563 607 2 o o X cjfa-12563 607 3 u u NOUN cjfa-12563 607 4 r r NOUN cjfa-12563 607 5 c c NOUN cjfa-12563 607 6 e e NOUN cjfa-12563 607 7 : : PUNCT cjfa-12563 607 8 developed develop VERB cjfa-12563 607 9 by by ADP cjfa-12563 607 10 author author NOUN cjfa-12563 607 11 . . PUNCT cjfa-12563 608 1 the the DET cjfa-12563 608 2 copula copula NOUN cjfa-12563 608 3 - - PUNCT cjfa-12563 608 4 based base VERB cjfa-12563 608 5 var var NOUN cjfa-12563 608 6 figures figure NOUN cjfa-12563 608 7 are be AUX cjfa-12563 608 8 reported report VERB cjfa-12563 608 9 in in ADP cjfa-12563 608 10 tables table NOUN cjfa-12563 608 11 3 3 NUM cjfa-12563 608 12 and and CCONJ cjfa-12563 608 13 6 6 NUM cjfa-12563 608 14 . . PUNCT cjfa-12563 609 1 during during ADP cjfa-12563 609 2 the the DET cjfa-12563 609 3 stress stress NOUN cjfa-12563 609 4 period period NOUN cjfa-12563 609 5 of of ADP cjfa-12563 609 6 2007 2007 NUM cjfa-12563 609 7 to to ADP cjfa-12563 609 8 2009 2009 NUM cjfa-12563 609 9 , , PUNCT cjfa-12563 609 10 we we PRON cjfa-12563 609 11 observe observe VERB cjfa-12563 609 12 much much ADV cjfa-12563 609 13 higher high ADJ cjfa-12563 609 14 potential potential ADJ cjfa-12563 609 15 losses loss NOUN cjfa-12563 609 16 than than ADP cjfa-12563 609 17 during during ADP cjfa-12563 609 18 the the DET cjfa-12563 609 19 2011–2016 2011–2016 NUM cjfa-12563 609 20 period period NOUN cjfa-12563 609 21 . . PUNCT cjfa-12563 610 1 for for ADP cjfa-12563 610 2 example example NOUN cjfa-12563 610 3 , , PUNCT cjfa-12563 610 4 a a DET cjfa-12563 610 5 1 1 NUM cjfa-12563 610 6 - - PUNCT cjfa-12563 610 7 million million NUM cjfa-12563 610 8 euro euro NOUN cjfa-12563 610 9 daimler daimler PROPN cjfa-12563 610 10 - - PUNCT cjfa-12563 610 11 bmw bmw NOUN cjfa-12563 610 12 portfolio portfolio NOUN cjfa-12563 610 13 loses lose VERB cjfa-12563 610 14 with with ADP cjfa-12563 610 15 99 99 NUM cjfa-12563 610 16 % % NOUN cjfa-12563 610 17 no no DET cjfa-12563 610 18 more more ADJ cjfa-12563 610 19 than than ADP cjfa-12563 610 20 37,277 37,277 NUM cjfa-12563 610 21 euros euro NOUN cjfa-12563 610 22 across across ADP cjfa-12563 610 23 1 1 NUM cjfa-12563 610 24 day day NOUN cjfa-12563 610 25 , , PUNCT cjfa-12563 610 26 whereas whereas SCONJ cjfa-12563 610 27 the the DET cjfa-12563 610 28 same same ADJ cjfa-12563 610 29 portfolio portfolio NOUN cjfa-12563 610 30 loses lose VERB cjfa-12563 610 31 83,938 83,938 NUM cjfa-12563 610 32 euros euro NOUN cjfa-12563 610 33 under under ADP cjfa-12563 610 34 stress stress NOUN cjfa-12563 610 35 but but CCONJ cjfa-12563 610 36 with with ADP cjfa-12563 610 37 otherwise otherwise ADV cjfa-12563 610 38 equal equal ADJ cjfa-12563 610 39 parameters parameter NOUN cjfa-12563 610 40 . . PUNCT cjfa-12563 611 1 furthermore furthermore ADV cjfa-12563 611 2 , , PUNCT cjfa-12563 611 3 the the DET cjfa-12563 611 4 difference difference NOUN cjfa-12563 611 5 between between ADP cjfa-12563 611 6 normal normal ADJ cjfa-12563 611 7 and and CCONJ cjfa-12563 611 8 t t NOUN cjfa-12563 611 9 distribution distribution NOUN cjfa-12563 611 10 assumptions assumption NOUN cjfa-12563 611 11 is be AUX cjfa-12563 611 12 much much ADV cjfa-12563 611 13 larger large ADJ cjfa-12563 611 14 during during ADP cjfa-12563 611 15 the the DET cjfa-12563 611 16 stress stress NOUN cjfa-12563 611 17 period period NOUN cjfa-12563 611 18 than than ADP cjfa-12563 611 19 under under ADP cjfa-12563 611 20 ordinary ordinary ADJ cjfa-12563 611 21 circumstances circumstance NOUN cjfa-12563 611 22 . . PUNCT cjfa-12563 612 1 for for ADP cjfa-12563 612 2 a a DET cjfa-12563 612 3 1 1 NUM cjfa-12563 612 4 - - PUNCT cjfa-12563 612 5 million million NUM cjfa-12563 612 6 euro euro NOUN cjfa-12563 612 7 daimler daimler PROPN cjfa-12563 612 8 - - PUNCT cjfa-12563 612 9 bmw bmw NOUN cjfa-12563 612 10 portfolio portfolio NOUN cjfa-12563 612 11 , , PUNCT cjfa-12563 612 12 this this DET cjfa-12563 612 13 difference difference NOUN cjfa-12563 612 14 in in ADP cjfa-12563 612 15 estimation estimation NOUN cjfa-12563 612 16 approach approach NOUN cjfa-12563 612 17 amounts amount VERB cjfa-12563 612 18 to to ADP cjfa-12563 612 19 4,291 4,291 NUM cjfa-12563 612 20 euros euro NOUN cjfa-12563 612 21 under under ADP cjfa-12563 612 22 ordinary ordinary ADJ cjfa-12563 612 23 circumstances circumstance NOUN cjfa-12563 612 24 compared compare VERB cjfa-12563 612 25 to to ADP cjfa-12563 612 26 38,229 38,229 NUM cjfa-12563 612 27 euros euro NOUN cjfa-12563 612 28 during during ADP cjfa-12563 612 29 the the DET cjfa-12563 612 30 stress stress NOUN cjfa-12563 612 31 period period NOUN cjfa-12563 612 32 . . PUNCT cjfa-12563 613 1 this this PRON cjfa-12563 613 2 confirms confirm VERB cjfa-12563 613 3 our our PRON cjfa-12563 613 4 earlier early ADV cjfa-12563 613 5 finding find VERB cjfa-12563 613 6 that that SCONJ cjfa-12563 613 7 the the DET cjfa-12563 613 8 mistake mistake NOUN cjfa-12563 613 9 in in ADP cjfa-12563 613 10 underestimating underestimate VERB cjfa-12563 613 11 risk risk NOUN cjfa-12563 613 12 using use VERB cjfa-12563 613 13 the the DET cjfa-12563 613 14 normal normal ADJ cjfa-12563 613 15 assumption assumption NOUN cjfa-12563 613 16 is be AUX cjfa-12563 613 17 substantially substantially ADV cjfa-12563 613 18 bigger big ADJ cjfa-12563 613 19 during during ADP cjfa-12563 613 20 a a DET cjfa-12563 613 21 stress stress NOUN cjfa-12563 613 22 period period NOUN cjfa-12563 613 23 compared compare VERB cjfa-12563 613 24 to to ADP cjfa-12563 613 25 ordinary ordinary ADJ cjfa-12563 613 26 market market NOUN cjfa-12563 613 27 circumstances circumstance NOUN cjfa-12563 613 28 . . PUNCT cjfa-12563 614 1 since since SCONJ cjfa-12563 614 2 accurate accurate ADJ cjfa-12563 614 3 risk risk NOUN cjfa-12563 614 4 measurement measurement NOUN cjfa-12563 614 5 is be AUX cjfa-12563 614 6 particularly particularly ADV cjfa-12563 614 7 important important ADJ cjfa-12563 614 8 during during ADP cjfa-12563 614 9 periods period NOUN cjfa-12563 614 10 of of ADP cjfa-12563 614 11 market market NOUN cjfa-12563 614 12 turbulence turbulence NOUN cjfa-12563 614 13 , , PUNCT cjfa-12563 614 14 both both DET cjfa-12563 614 15 supervisors supervisor NOUN cjfa-12563 614 16 and and CCONJ cjfa-12563 614 17 practitioners practitioner NOUN cjfa-12563 614 18 should should AUX cjfa-12563 614 19 avoid avoid VERB cjfa-12563 614 20 using use VERB cjfa-12563 614 21 the the DET cjfa-12563 614 22 normal normal ADJ cjfa-12563 614 23 distribution distribution NOUN cjfa-12563 614 24 as as SCONJ cjfa-12563 614 25 its its PRON cjfa-12563 614 26 tails tail NOUN cjfa-12563 614 27 are be AUX cjfa-12563 614 28 too too ADV cjfa-12563 614 29 thin thin ADJ cjfa-12563 614 30 . . PUNCT cjfa-12563 615 1 in in ADP cjfa-12563 615 2 summary summary NOUN cjfa-12563 615 3 , , PUNCT cjfa-12563 615 4 we we PRON cjfa-12563 615 5 investigate investigate VERB cjfa-12563 615 6 continuous continuous ADJ cjfa-12563 615 7 stock stock NOUN cjfa-12563 615 8 returns return NOUN cjfa-12563 615 9 from from ADP cjfa-12563 615 10 2011 2011 NUM cjfa-12563 615 11 to to ADP cjfa-12563 615 12 2016 2016 NUM cjfa-12563 615 13 , , PUNCT cjfa-12563 615 14 and and CCONJ cjfa-12563 615 15 during during ADP cjfa-12563 615 16 the the DET cjfa-12563 615 17 stress stress NOUN cjfa-12563 615 18 period period NOUN cjfa-12563 615 19 of of ADP cjfa-12563 615 20 2007 2007 NUM cjfa-12563 615 21 to to ADP cjfa-12563 615 22 2009 2009 NUM cjfa-12563 615 23 . . PUNCT cjfa-12563 616 1 the the DET cjfa-12563 616 2 return return NOUN cjfa-12563 616 3 series series NOUN cjfa-12563 616 4 deviate deviate VERB cjfa-12563 616 5 from from ADP cjfa-12563 616 6 the the DET cjfa-12563 616 7 normal normal ADJ cjfa-12563 616 8 distribution distribution NOUN cjfa-12563 616 9 in in ADP cjfa-12563 616 10 both both DET cjfa-12563 616 11 periods period NOUN cjfa-12563 616 12 , , PUNCT cjfa-12563 616 13 but but CCONJ cjfa-12563 616 14 more more ADV cjfa-12563 616 15 severely severely ADV cjfa-12563 616 16 so so ADV cjfa-12563 616 17 during during ADP cjfa-12563 616 18 the the DET cjfa-12563 616 19 period period NOUN cjfa-12563 616 20 of of ADP cjfa-12563 616 21 the the DET cjfa-12563 616 22 financial financial ADJ cjfa-12563 616 23 crisis crisis NOUN cjfa-12563 616 24 . . PUNCT cjfa-12563 617 1 this this DET cjfa-12563 617 2 results result NOUN cjfa-12563 617 3 in in ADP cjfa-12563 617 4 substantial substantial ADJ cjfa-12563 617 5 errors error NOUN cjfa-12563 617 6 in in ADP cjfa-12563 617 7 measuring measure VERB cjfa-12563 617 8 risk risk NOUN cjfa-12563 617 9 based base VERB cjfa-12563 617 10 on on ADP cjfa-12563 617 11 the the DET cjfa-12563 617 12 normal normal ADJ cjfa-12563 617 13 assumption assumption NOUN cjfa-12563 617 14 , , PUNCT cjfa-12563 617 15 and and CCONJ cjfa-12563 617 16 these these DET cjfa-12563 617 17 errors error NOUN cjfa-12563 617 18 are be AUX cjfa-12563 617 19 even even ADV cjfa-12563 617 20 larger large ADJ cjfa-12563 617 21 during during ADP cjfa-12563 617 22 a a DET cjfa-12563 617 23 period period NOUN cjfa-12563 617 24 of of ADP cjfa-12563 617 25 market market NOUN cjfa-12563 617 26 stress stress NOUN cjfa-12563 617 27 . . PUNCT cjfa-12563 618 1 in in ADP cjfa-12563 618 2 fact fact NOUN cjfa-12563 618 3 , , PUNCT cjfa-12563 618 4 this this DET cjfa-12563 618 5 error error NOUN cjfa-12563 618 6 is be AUX cjfa-12563 618 7 risky risky ADJ cjfa-12563 618 8 in in ADP cjfa-12563 618 9 that that SCONJ cjfa-12563 618 10 the the DET cjfa-12563 618 11 normal normal ADJ cjfa-12563 618 12 assumption assumption NOUN cjfa-12563 618 13 underestimates underestimate VERB cjfa-12563 618 14 risk risk NOUN cjfa-12563 618 15 . . PUNCT cjfa-12563 619 1 based base VERB cjfa-12563 619 2 on on ADP cjfa-12563 619 3 this this DET cjfa-12563 619 4 insight insight NOUN cjfa-12563 619 5 , , PUNCT cjfa-12563 619 6 we we PRON cjfa-12563 619 7 strongly strongly ADV cjfa-12563 619 8 recommend recommend VERB cjfa-12563 619 9 that that SCONJ cjfa-12563 619 10 financial financial ADJ cjfa-12563 619 11 institutions institution NOUN cjfa-12563 619 12 and and CCONJ cjfa-12563 619 13 supervisors supervisor NOUN cjfa-12563 619 14 adopt adopt VERB cjfa-12563 619 15 a a DET cjfa-12563 619 16 non non ADJ cjfa-12563 619 17 - - ADJ cjfa-12563 619 18 normal normal ADJ cjfa-12563 619 19 approach approach NOUN cjfa-12563 619 20 to to PART cjfa-12563 619 21 capture capture VERB cjfa-12563 619 22 the the DET cjfa-12563 619 23 risk risk NOUN cjfa-12563 619 24 an an DET cjfa-12563 619 25 institution institution NOUN cjfa-12563 619 26 faces face VERB cjfa-12563 619 27 . . PUNCT cjfa-12563 620 1 in in ADP cjfa-12563 620 2 order order NOUN cjfa-12563 620 3 to to PART cjfa-12563 620 4 facilitate facilitate VERB cjfa-12563 620 5 the the DET cjfa-12563 620 6 implementation implementation NOUN cjfa-12563 620 7 of of ADP cjfa-12563 620 8 such such DET cjfa-12563 620 9 an an DET cjfa-12563 620 10 approach approach NOUN cjfa-12563 620 11 in in ADP cjfa-12563 620 12 practice practice NOUN cjfa-12563 620 13 , , PUNCT cjfa-12563 620 14 we we PRON cjfa-12563 620 15 are be AUX cjfa-12563 620 16 very very ADV cjfa-12563 620 17 happy happy ADJ cjfa-12563 620 18 to to PART cjfa-12563 620 19 share share VERB cjfa-12563 620 20 our our PRON cjfa-12563 620 21 commented commented ADJ cjfa-12563 620 22 code code NOUN cjfa-12563 620 23 that that PRON cjfa-12563 620 24 calculates calculate VERB cjfa-12563 620 25 risky risky ADJ cjfa-12563 620 26 risk risk NOUN cjfa-12563 620 27 measures measure NOUN cjfa-12563 620 28 … … PUNCT cjfa-12563 620 29 107 107 NUM cjfa-12563 620 30 non non ADJ cjfa-12563 620 31 - - ADJ cjfa-12563 620 32 normal normal ADJ cjfa-12563 620 33 risk risk NOUN cjfa-12563 620 34 measures measure NOUN cjfa-12563 620 35 with with ADP cjfa-12563 620 36 the the DET cjfa-12563 620 37 open open ADJ cjfa-12563 620 38 source source NOUN cjfa-12563 620 39 software software NOUN cjfa-12563 620 40 r. r. PROPN cjfa-12563 620 41 this this DET cjfa-12563 620 42 code code NOUN cjfa-12563 620 43 is be AUX cjfa-12563 620 44 available available ADJ cjfa-12563 620 45 from from ADP cjfa-12563 620 46 the the DET cjfa-12563 620 47 authors author NOUN cjfa-12563 620 48 on on ADP cjfa-12563 620 49 request request NOUN cjfa-12563 620 50 . . PUNCT cjfa-12563 621 1 summary summary NOUN cjfa-12563 621 2     SPACE cjfa-12563 621 3 and and CCONJ cjfa-12563 621 4     SPACE cjfa-12563 621 5 conclusions conclusion NOUN cjfa-12563 621 6 the the DET cjfa-12563 621 7 goal goal NOUN cjfa-12563 621 8 of of ADP cjfa-12563 621 9 this this DET cjfa-12563 621 10 paper paper NOUN cjfa-12563 621 11 is be AUX cjfa-12563 621 12 to to PART cjfa-12563 621 13 compare compare VERB cjfa-12563 621 14 risk risk NOUN cjfa-12563 621 15 measures measure NOUN cjfa-12563 621 16 that that PRON cjfa-12563 621 17 rely rely VERB cjfa-12563 621 18 on on ADP cjfa-12563 621 19 the the DET cjfa-12563 621 20 normal normal ADJ cjfa-12563 621 21 assumption assumption NOUN cjfa-12563 621 22 with with ADP cjfa-12563 621 23 those those PRON cjfa-12563 621 24 that that PRON cjfa-12563 621 25 do do VERB cjfa-12563 621 26 not not PART cjfa-12563 621 27 , , PUNCT cjfa-12563 621 28 based base VERB cjfa-12563 621 29 on on ADP cjfa-12563 621 30 daily daily ADJ cjfa-12563 621 31 stock stock NOUN cjfa-12563 621 32 return return NOUN cjfa-12563 621 33 data datum NOUN cjfa-12563 621 34 from from ADP cjfa-12563 621 35 2011 2011 NUM cjfa-12563 621 36 to to ADP cjfa-12563 621 37 2016 2016 NUM cjfa-12563 621 38 . . PUNCT cjfa-12563 622 1 in in ADP cjfa-12563 622 2 fact fact NOUN cjfa-12563 622 3 , , PUNCT cjfa-12563 622 4 the the DET cjfa-12563 622 5 normal normal ADJ cjfa-12563 622 6 assumption assumption NOUN cjfa-12563 622 7 substantially substantially ADV cjfa-12563 622 8 underestimates underestimate VERB cjfa-12563 622 9 the the DET cjfa-12563 622 10 risk risk NOUN cjfa-12563 622 11 an an DET cjfa-12563 622 12 institution institution NOUN cjfa-12563 622 13 faces face VERB cjfa-12563 622 14 . . PUNCT cjfa-12563 623 1 during during ADP cjfa-12563 623 2 times time NOUN cjfa-12563 623 3 of of ADP cjfa-12563 623 4 stressed stress VERB cjfa-12563 623 5 markets market NOUN cjfa-12563 623 6 from from ADP cjfa-12563 623 7 2007 2007 NUM cjfa-12563 623 8 to to ADP cjfa-12563 623 9 2009 2009 NUM cjfa-12563 623 10 , , PUNCT cjfa-12563 623 11 this this DET cjfa-12563 623 12 underestimation underestimation NOUN cjfa-12563 623 13 becomes become VERB cjfa-12563 623 14 even even ADV cjfa-12563 623 15 more more ADV cjfa-12563 623 16 severe severe ADJ cjfa-12563 623 17 . . PUNCT cjfa-12563 624 1 according accord VERB cjfa-12563 624 2 to to ADP cjfa-12563 624 3 basel basel PROPN cjfa-12563 624 4 iii iii PROPN cjfa-12563 624 5 , , PUNCT cjfa-12563 624 6 however however ADV cjfa-12563 624 7 , , PUNCT cjfa-12563 624 8 a a DET cjfa-12563 624 9 risk risk NOUN cjfa-12563 624 10 measure measure NOUN cjfa-12563 624 11 needs need VERB cjfa-12563 624 12 to to PART cjfa-12563 624 13 adequately adequately ADV cjfa-12563 624 14 capture capture VERB cjfa-12563 624 15 the the DET cjfa-12563 624 16 risk risk NOUN cjfa-12563 624 17 facing face VERB cjfa-12563 624 18 an an DET cjfa-12563 624 19 institution institution NOUN cjfa-12563 624 20 . . PUNCT cjfa-12563 625 1 it it PRON cjfa-12563 625 2 therefore therefore ADV cjfa-12563 625 3 appears appear VERB cjfa-12563 625 4 that that SCONJ cjfa-12563 625 5 risk risk NOUN cjfa-12563 625 6 measures measure NOUN cjfa-12563 625 7 based base VERB cjfa-12563 625 8 on on ADP cjfa-12563 625 9 the the DET cjfa-12563 625 10 normal normal ADJ cjfa-12563 625 11 assumption assumption NOUN cjfa-12563 625 12 should should AUX cjfa-12563 625 13 not not PART cjfa-12563 625 14 be be AUX cjfa-12563 625 15 used use VERB cjfa-12563 625 16 . . PUNCT cjfa-12563 626 1 despite despite SCONJ cjfa-12563 626 2 this this DET cjfa-12563 626 3 insight insight NOUN cjfa-12563 626 4 , , PUNCT cjfa-12563 626 5 regulators regulator NOUN cjfa-12563 626 6 still still ADV cjfa-12563 626 7 accept accept VERB cjfa-12563 626 8 normal normal ADJ cjfa-12563 626 9 - - PUNCT cjfa-12563 626 10 based base VERB cjfa-12563 626 11 risk risk NOUN cjfa-12563 626 12 measures measure NOUN cjfa-12563 626 13 such such ADJ cjfa-12563 626 14 as as ADP cjfa-12563 626 15 the the DET cjfa-12563 626 16 value value NOUN cjfa-12563 626 17 at at ADP cjfa-12563 626 18 risk risk NOUN cjfa-12563 626 19 based base VERB cjfa-12563 626 20 on on ADP cjfa-12563 626 21 the the DET cjfa-12563 626 22 assumption assumption NOUN cjfa-12563 626 23 that that SCONJ cjfa-12563 626 24 the the DET cjfa-12563 626 25 return return NOUN cjfa-12563 626 26 distribution distribution NOUN cjfa-12563 626 27 is be AUX cjfa-12563 626 28 normal normal ADJ cjfa-12563 626 29 . . PUNCT cjfa-12563 627 1 in in ADP cjfa-12563 627 2 order order NOUN cjfa-12563 627 3 to to PART cjfa-12563 627 4 help help VERB cjfa-12563 627 5 implement implement VERB cjfa-12563 627 6 non non ADJ cjfa-12563 627 7 - - ADJ cjfa-12563 627 8 normal normal ADJ cjfa-12563 627 9 risk risk NOUN cjfa-12563 627 10 measures measure NOUN cjfa-12563 627 11 in in ADP cjfa-12563 627 12 practice practice NOUN cjfa-12563 627 13 , , PUNCT cjfa-12563 627 14 we we PRON cjfa-12563 627 15 propose propose VERB cjfa-12563 627 16 a a DET cjfa-12563 627 17 simple simple ADJ cjfa-12563 627 18 methodology methodology NOUN cjfa-12563 627 19 to to PART cjfa-12563 627 20 comprehensively comprehensively ADV cjfa-12563 627 21 capture capture VERB cjfa-12563 627 22 risk risk NOUN cjfa-12563 627 23 with with ADP cjfa-12563 627 24 a a DET cjfa-12563 627 25 var var NOUN cjfa-12563 627 26 based base VERB cjfa-12563 627 27 on on ADP cjfa-12563 627 28 the the DET cjfa-12563 627 29 historical historical ADJ cjfa-12563 627 30 , , PUNCT cjfa-12563 627 31 empirical empirical ADJ cjfa-12563 627 32 distribution distribution NOUN cjfa-12563 627 33 or or CCONJ cjfa-12563 627 34 a a DET cjfa-12563 627 35 var var NOUN cjfa-12563 627 36 based base VERB cjfa-12563 627 37 on on ADP cjfa-12563 627 38 the the DET cjfa-12563 627 39 t t NOUN cjfa-12563 627 40 copula copula NOUN cjfa-12563 627 41 , , PUNCT cjfa-12563 627 42 and and CCONJ cjfa-12563 627 43 we we PRON cjfa-12563 627 44 are be AUX cjfa-12563 627 45 happy happy ADJ cjfa-12563 627 46 to to PART cjfa-12563 627 47 share share VERB cjfa-12563 627 48 our our PRON cjfa-12563 627 49 code code NOUN cjfa-12563 627 50 to to PART cjfa-12563 627 51 produce produce VERB cjfa-12563 627 52 accurate accurate ADJ cjfa-12563 627 53 risk risk NOUN cjfa-12563 627 54 measures measure NOUN cjfa-12563 627 55 . . PUNCT cjfa-12563 628 1 it it PRON cjfa-12563 628 2 is be AUX cjfa-12563 628 3 disadvantageous disadvantageous ADJ cjfa-12563 628 4 for for SCONJ cjfa-12563 628 5 a a DET cjfa-12563 628 6 financial financial ADJ cjfa-12563 628 7 institution institution NOUN cjfa-12563 628 8 to to PART cjfa-12563 628 9 overestimate overestimate VERB cjfa-12563 628 10 risk risk NOUN cjfa-12563 628 11 because because SCONJ cjfa-12563 628 12 this this PRON cjfa-12563 628 13 may may AUX cjfa-12563 628 14 lead lead VERB cjfa-12563 628 15 to to ADP cjfa-12563 628 16 equity equity NOUN cjfa-12563 628 17 requirements requirement NOUN cjfa-12563 628 18 that that PRON cjfa-12563 628 19 are be AUX cjfa-12563 628 20 too too ADV cjfa-12563 628 21 high high ADJ cjfa-12563 628 22 . . PUNCT cjfa-12563 629 1 it it PRON cjfa-12563 629 2 is be AUX cjfa-12563 629 3 , , PUNCT cjfa-12563 629 4 however however ADV cjfa-12563 629 5 , , PUNCT cjfa-12563 629 6 equally equally ADV cjfa-12563 629 7 disadvantageous disadvantageous ADJ cjfa-12563 629 8 to to PART cjfa-12563 629 9 underestimate underestimate VERB cjfa-12563 629 10 risk risk NOUN cjfa-12563 629 11 since since SCONJ cjfa-12563 629 12 the the DET cjfa-12563 629 13 institution institution NOUN cjfa-12563 629 14 has have VERB cjfa-12563 629 15 a a DET cjfa-12563 629 16 vital vital ADJ cjfa-12563 629 17 interest interest NOUN cjfa-12563 629 18 in in ADP cjfa-12563 629 19 continuing continue VERB cjfa-12563 629 20 to to PART cjfa-12563 629 21 stay stay VERB cjfa-12563 629 22 in in ADP cjfa-12563 629 23 business business NOUN cjfa-12563 629 24 . . PUNCT cjfa-12563 630 1 this this PRON cjfa-12563 630 2 might might AUX cjfa-12563 630 3 be be AUX cjfa-12563 630 4 jeopardised jeopardise VERB cjfa-12563 630 5 if if SCONJ cjfa-12563 630 6 risks risk NOUN cjfa-12563 630 7 are be AUX cjfa-12563 630 8 systematically systematically ADV cjfa-12563 630 9 and and CCONJ cjfa-12563 630 10 substantially substantially ADV cjfa-12563 630 11 underestimated underestimate VERB cjfa-12563 630 12 , , PUNCT cjfa-12563 630 13 resulting result VERB cjfa-12563 630 14 in in ADP cjfa-12563 630 15 too too ADV cjfa-12563 630 16 high high ADJ cjfa-12563 630 17 an an DET cjfa-12563 630 18 exposure exposure NOUN cjfa-12563 630 19 . . PUNCT cjfa-12563 631 1 this this DET cjfa-12563 631 2 concern concern NOUN cjfa-12563 631 3 is be AUX cjfa-12563 631 4 shared share VERB cjfa-12563 631 5 by by ADP cjfa-12563 631 6 supervisors supervisor NOUN cjfa-12563 631 7 . . PUNCT cjfa-12563 632 1 at at ADP cjfa-12563 632 2 the the DET cjfa-12563 632 3 same same ADJ cjfa-12563 632 4 time time NOUN cjfa-12563 632 5 , , PUNCT cjfa-12563 632 6 it it PRON cjfa-12563 632 7 is be AUX cjfa-12563 632 8 still still ADV cjfa-12563 632 9 common common ADJ cjfa-12563 632 10 practice practice NOUN cjfa-12563 632 11 to to PART cjfa-12563 632 12 calculate calculate VERB cjfa-12563 632 13 the the DET cjfa-12563 632 14 value value NOUN cjfa-12563 632 15 at at ADP cjfa-12563 632 16 risk risk NOUN cjfa-12563 632 17 based base VERB cjfa-12563 632 18 on on ADP cjfa-12563 632 19 a a DET cjfa-12563 632 20 normal normal ADJ cjfa-12563 632 21 distribution distribution NOUN cjfa-12563 632 22 assumption assumption NOUN cjfa-12563 632 23 . . PUNCT cjfa-12563 633 1 in in ADP cjfa-12563 633 2 this this DET cjfa-12563 633 3 paper paper NOUN cjfa-12563 633 4 , , PUNCT cjfa-12563 633 5 we we PRON cjfa-12563 633 6 have have AUX cjfa-12563 633 7 shown show VERB cjfa-12563 633 8 to to ADP cjfa-12563 633 9 what what DET cjfa-12563 633 10 extent extent NOUN cjfa-12563 633 11 this this DET cjfa-12563 633 12 method method NOUN cjfa-12563 633 13 underestimates underestimate VERB cjfa-12563 633 14 risk risk NOUN cjfa-12563 633 15 , , PUNCT cjfa-12563 633 16 especially especially ADV cjfa-12563 633 17 so so ADV cjfa-12563 633 18 during during ADP cjfa-12563 633 19 times time NOUN cjfa-12563 633 20 of of ADP cjfa-12563 633 21 stress stress NOUN cjfa-12563 633 22 , , PUNCT cjfa-12563 633 23 when when SCONJ cjfa-12563 633 24 risk risk NOUN cjfa-12563 633 25 exposure exposure NOUN cjfa-12563 633 26 is be AUX cjfa-12563 633 27 particularly particularly ADV cjfa-12563 633 28 risky risky ADJ cjfa-12563 633 29 ! ! PUNCT cjfa-12563 634 1 in in ADP cjfa-12563 634 2 light light NOUN cjfa-12563 634 3 of of ADP cjfa-12563 634 4 these these DET cjfa-12563 634 5 findings finding NOUN cjfa-12563 634 6 , , PUNCT cjfa-12563 634 7 we we PRON cjfa-12563 634 8 stronlgy stronlgy VERB cjfa-12563 634 9 recommend recommend VERB cjfa-12563 634 10 that that SCONJ cjfa-12563 634 11 regulatory regulatory ADJ cjfa-12563 634 12 requirements requirement NOUN cjfa-12563 634 13 are be AUX cjfa-12563 634 14 revised revise VERB cjfa-12563 634 15 to to PART cjfa-12563 634 16 exclude exclude VERB cjfa-12563 634 17 normal normal ADJ cjfa-12563 634 18 - - PUNCT cjfa-12563 634 19 assumption assumption NOUN cjfa-12563 634 20 based base VERB cjfa-12563 634 21 risk risk NOUN cjfa-12563 634 22 measures measure NOUN cjfa-12563 634 23 . . PUNCT cjfa-12563 634 24     SPACE cjfa-12563 635 1 references reference NOUN cjfa-12563 635 2 campbell campbell PROPN cjfa-12563 635 3 , , PUNCT cjfa-12563 635 4 r. r. PROPN cjfa-12563 635 5 , , PUNCT cjfa-12563 635 6 huismann huismann PROPN cjfa-12563 635 7 , , PUNCT cjfa-12563 635 8 r. r. PROPN cjfa-12563 635 9 , , PUNCT cjfa-12563 635 10 & & CCONJ cjfa-12563 635 11 koedijk koedijk PROPN cjfa-12563 635 12 , , PUNCT cjfa-12563 635 13 k. k. PROPN cjfa-12563 635 14 ( ( PUNCT cjfa-12563 635 15 2001 2001 NUM cjfa-12563 635 16 ) ) PUNCT cjfa-12563 635 17 . . PUNCT cjfa-12563 636 1 optimal optimal ADJ cjfa-12563 636 2 portfolio portfolio NOUN cjfa-12563 636 3 selection selection NOUN cjfa-12563 636 4 in in ADP cjfa-12563 636 5 a a DET cjfa-12563 636 6 valueat valueat ADJ cjfa-12563 636 7 - - PUNCT cjfa-12563 636 8 risk risk NOUN cjfa-12563 636 9 framework framework NOUN cjfa-12563 636 10 . . PUNCT cjfa-12563 637 1 journal journal NOUN cjfa-12563 637 2 of of ADP cjfa-12563 637 3 banking banking NOUN cjfa-12563 637 4 and and CCONJ cjfa-12563 637 5 finance finance NOUN cjfa-12563 637 6 , , PUNCT cjfa-12563 637 7 25(9 25(9 NUM cjfa-12563 637 8 ) ) PUNCT cjfa-12563 637 9 , , PUNCT cjfa-12563 637 10 1789–1804 1789–1804 NUM cjfa-12563 637 11 . . PUNCT cjfa-12563 638 1 doi doi PROPN cjfa-12563 638 2 : : PUNCT cjfa-12563 638 3 http:// http:// PROPN cjfa-12563 638 4 dx.doi.org/10.1016/s0378-4266(00)00160-6 dx.doi.org/10.1016/s0378-4266(00)00160-6 PROPN cjfa-12563 638 5 . . PUNCT cjfa-12563 639 1 fama fama PROPN cjfa-12563 639 2 , , PUNCT cjfa-12563 639 3 e. e. PROPN cjfa-12563 639 4 ( ( PUNCT cjfa-12563 639 5 1965 1965 NUM cjfa-12563 639 6 ) ) PUNCT cjfa-12563 639 7 . . PUNCT cjfa-12563 640 1 the the DET cjfa-12563 640 2 behavior behavior NOUN cjfa-12563 640 3 of of ADP cjfa-12563 640 4 stock stock NOUN cjfa-12563 640 5 market market NOUN cjfa-12563 640 6 prices price NOUN cjfa-12563 640 7 . . PUNCT cjfa-12563 641 1 journal journal PROPN cjfa-12563 641 2 of of ADP cjfa-12563 641 3 business business NOUN cjfa-12563 641 4 , , PUNCT cjfa-12563 641 5 38(1 38(1 NUM cjfa-12563 641 6 ) ) PUNCT cjfa-12563 641 7 , , PUNCT cjfa-12563 641 8 34 34 NUM cjfa-12563 641 9 – – PUNCT cjfa-12563 641 10 – – PUNCT cjfa-12563 641 11 105 105 NUM cjfa-12563 641 12 . . PUNCT cjfa-12563 642 1 doi doi NOUN cjfa-12563 642 2 : : PUNCT cjfa-12563 642 3 http://dx.doi.org/10.1086/294743 http://dx.doi.org/10.1086/294743 PROPN cjfa-12563 642 4 . . PUNCT cjfa-12563 643 1 christiane christiane PROPN cjfa-12563 643 2 goodfellow goodfellow PROPN cjfa-12563 643 3 , , PUNCT cjfa-12563 643 4 christian christian PROPN cjfa-12563 643 5 salm108 salm108 PROPN cjfa-12563 643 6 malkiel malkiel PROPN cjfa-12563 643 7 , , PUNCT cjfa-12563 643 8 b. b. PROPN cjfa-12563 643 9 ( ( PUNCT cjfa-12563 643 10 2003 2003 NUM cjfa-12563 643 11 ) ) PUNCT cjfa-12563 643 12 . . PUNCT cjfa-12563 644 1 passive passive ADJ cjfa-12563 644 2 investment investment NOUN cjfa-12563 644 3 strategies strategy NOUN cjfa-12563 644 4 and and CCONJ cjfa-12563 644 5 efficient efficient ADJ cjfa-12563 644 6 markets market NOUN cjfa-12563 644 7 . . PUNCT cjfa-12563 645 1 european european ADJ cjfa-12563 645 2 financial financial ADJ cjfa-12563 645 3 management management NOUN cjfa-12563 645 4 , , PUNCT cjfa-12563 645 5 9(1 9(1 NUM cjfa-12563 645 6 ) ) PUNCT cjfa-12563 645 7 , , PUNCT cjfa-12563 645 8 1–10 1–10 NOUN cjfa-12563 645 9 . . PUNCT cjfa-12563 646 1 doi doi NOUN cjfa-12563 646 2 : : PUNCT cjfa-12563 646 3 http://dx.doi.org/10.1111/1468-036x.00205 http://dx.doi.org/10.1111/1468-036x.00205 NOUN cjfa-12563 646 4 . . PROPN cjfa-12563 646 5 mandelbrot mandelbrot PROPN cjfa-12563 646 6 , , PUNCT cjfa-12563 646 7 b. b. PROPN cjfa-12563 646 8 ( ( PUNCT cjfa-12563 646 9 1963 1963 NUM cjfa-12563 646 10 ) ) PUNCT cjfa-12563 646 11 . . PUNCT cjfa-12563 647 1 the the DET cjfa-12563 647 2 variation variation NOUN cjfa-12563 647 3 of of ADP cjfa-12563 647 4 certain certain ADJ cjfa-12563 647 5 speculative speculative ADJ cjfa-12563 647 6 prices price NOUN cjfa-12563 647 7 . . PUNCT cjfa-12563 648 1 journal journal NOUN cjfa-12563 648 2 of of ADP cjfa-12563 648 3 business business NOUN cjfa-12563 648 4 , , PUNCT cjfa-12563 648 5 36(4 36(4 NUM cjfa-12563 648 6 ) ) PUNCT cjfa-12563 648 7 , , PUNCT cjfa-12563 648 8 394–419 394–419 NUM cjfa-12563 648 9 . . PUNCT cjfa-12563 649 1 doi doi NOUN cjfa-12563 649 2 : : PUNCT cjfa-12563 649 3 http://dx.doi.org/10.1086/294632 http://dx.doi.org/10.1086/294632 PROPN cjfa-12563 649 4 . . PUNCT cjfa-12563 650 1 markowitz markowitz PROPN cjfa-12563 650 2 , , PUNCT cjfa-12563 650 3 h. h. PROPN cjfa-12563 650 4 ( ( PUNCT cjfa-12563 650 5 1952 1952 NUM cjfa-12563 650 6 ) ) PUNCT cjfa-12563 650 7 . . PUNCT cjfa-12563 651 1 portfolio portfolio NOUN cjfa-12563 651 2 selection selection NOUN cjfa-12563 651 3 . . PUNCT cjfa-12563 652 1 journal journal PROPN cjfa-12563 652 2 of of ADP cjfa-12563 652 3 finance finance NOUN cjfa-12563 652 4 , , PUNCT cjfa-12563 652 5 7(1 7(1 NUM cjfa-12563 652 6 ) ) PUNCT cjfa-12563 652 7 , , PUNCT cjfa-12563 652 8 77–91 77–91 NUM cjfa-12563 652 9 . . PUNCT cjfa-12563 653 1 doi doi NOUN cjfa-12563 653 2 : : PUNCT cjfa-12563 653 3 http:// http:// PROPN cjfa-12563 653 4 dx.doi.org/10.2307/2975974 dx.doi.org/10.2307/2975974 X cjfa-12563 653 5 . . PUNCT cjfa-12563 654 1 markowitz markowitz PROPN cjfa-12563 654 2 , , PUNCT cjfa-12563 654 3 h. h. PROPN cjfa-12563 654 4 ( ( PUNCT cjfa-12563 654 5 1959 1959 NUM cjfa-12563 654 6 ) ) PUNCT cjfa-12563 654 7 . . PUNCT cjfa-12563 655 1 portfolio portfolio NOUN cjfa-12563 655 2 selection selection NOUN cjfa-12563 655 3 : : PUNCT cjfa-12563 655 4 efficient efficient ADJ cjfa-12563 655 5 diversification diversification NOUN cjfa-12563 655 6 of of ADP cjfa-12563 655 7 investments investment NOUN cjfa-12563 655 8 . . PUNCT cjfa-12563 656 1 16 16 NUM cjfa-12563 656 2 . . PUNCT cjfa-12563 657 1 new new PROPN cjfa-12563 657 2 york york PROPN cjfa-12563 657 3 : : PUNCT cjfa-12563 658 1 cowles cowles PROPN cjfa-12563 658 2 foundation foundation PROPN cjfa-12563 658 3 , , PUNCT cjfa-12563 658 4 wiley wiley PROPN cjfa-12563 658 5 . . PUNCT cjfa-12563 659 1 second second ADJ cjfa-12563 659 2 edition edition NOUN cjfa-12563 659 3 1991 1991 NUM cjfa-12563 659 4 , , PUNCT cjfa-12563 659 5 blackwell blackwell NOUN cjfa-12563 659 6 , , PUNCT cjfa-12563 659 7 oxford oxford PROPN cjfa-12563 659 8 , , PUNCT cjfa-12563 659 9 uk uk PROPN cjfa-12563 659 10 . . PROPN cjfa-12563 659 11 peters peters PROPN cjfa-12563 659 12 , , PUNCT cjfa-12563 659 13 e.e e.e PROPN cjfa-12563 659 14 . . PROPN cjfa-12563 659 15 ( ( PUNCT cjfa-12563 659 16 1996 1996 NUM cjfa-12563 659 17 ) ) PUNCT cjfa-12563 659 18 . . PUNCT cjfa-12563 660 1 chaos chaos NOUN cjfa-12563 660 2 and and CCONJ cjfa-12563 660 3 order order NOUN cjfa-12563 660 4 in in ADP cjfa-12563 660 5 the the DET cjfa-12563 660 6 capital capital NOUN cjfa-12563 660 7 markets market NOUN cjfa-12563 660 8 : : PUNCT cjfa-12563 660 9 a a DET cjfa-12563 660 10 new new ADJ cjfa-12563 660 11 view view NOUN cjfa-12563 660 12 of of ADP cjfa-12563 660 13 cycles cycle NOUN cjfa-12563 660 14 , , PUNCT cjfa-12563 660 15 prices price NOUN cjfa-12563 660 16 , , PUNCT cjfa-12563 660 17 and and CCONJ cjfa-12563 660 18 market market NOUN cjfa-12563 660 19 volatility volatility NOUN cjfa-12563 660 20 , , PUNCT cjfa-12563 660 21 2nd 2nd PROPN cjfa-12563 660 22 edition edition NOUN cjfa-12563 660 23 . . PUNCT cjfa-12563 661 1 john john PROPN cjfa-12563 661 2 wiley wiley PROPN cjfa-12563 661 3 and and CCONJ cjfa-12563 661 4 sons son NOUN cjfa-12563 661 5 . . PUNCT cjfa-12563 662 1 rachev rachev VERB cjfa-12563 662 2 , , PUNCT cjfa-12563 662 3 s.t s.t PROPN cjfa-12563 662 4 , , PUNCT cjfa-12563 662 5 höchstötter höchstötter NOUN cjfa-12563 662 6 , , PUNCT cjfa-12563 662 7 m. m. NOUN cjfa-12563 662 8 , , PUNCT cjfa-12563 662 9 fabozzi fabozzi NOUN cjfa-12563 662 10 f.j f.j PROPN cjfa-12563 662 11 . . PROPN cjfa-12563 662 12 , , PUNCT cjfa-12563 662 13 focardi focardi PROPN cjfa-12563 662 14 , , PUNCT cjfa-12563 662 15 s.m s.m PROPN cjfa-12563 662 16 . . PROPN cjfa-12563 663 1 ( ( PUNCT cjfa-12563 663 2 2010 2010 NUM cjfa-12563 663 3 ) ) PUNCT cjfa-12563 663 4 . . PUNCT cjfa-12563 664 1 probability probability NOUN cjfa-12563 664 2 and and CCONJ cjfa-12563 664 3 statistics statistic NOUN cjfa-12563 664 4 for for ADP cjfa-12563 664 5 finance finance NOUN cjfa-12563 664 6 . . PUNCT cjfa-12563 665 1 the the DET cjfa-12563 665 2 frank frank PROPN cjfa-12563 665 3 fabozzi fabozzi PROPN cjfa-12563 665 4 series series PROPN cjfa-12563 665 5 . . PUNCT cjfa-12563 666 1 new new PROPN cjfa-12563 666 2 jersey jersey PROPN cjfa-12563 666 3 , , PUNCT cjfa-12563 666 4 hoboken hoboken PROPN cjfa-12563 666 5 : : PUNCT cjfa-12563 666 6 john john PROPN cjfa-12563 666 7 wiley wiley PROPN cjfa-12563 666 8 & & CCONJ cjfa-12563 666 9 sons son NOUN cjfa-12563 666 10 . . PUNCT cjfa-12563 667 1 rockafellar rockafellar ADJ cjfa-12563 667 2 , , PUNCT cjfa-12563 667 3 r. r. PROPN cjfa-12563 667 4 , , PUNCT cjfa-12563 667 5 & & CCONJ cjfa-12563 667 6 uryasev uryasev PROPN cjfa-12563 667 7 , , PUNCT cjfa-12563 667 8 s. s. PROPN cjfa-12563 667 9 ( ( PUNCT cjfa-12563 667 10 2000 2000 NUM cjfa-12563 667 11 ) ) PUNCT cjfa-12563 667 12 . . PUNCT cjfa-12563 668 1 optimization optimization NOUN cjfa-12563 668 2 of of ADP cjfa-12563 668 3 conditional conditional ADJ cjfa-12563 668 4 value value NOUN cjfa-12563 668 5 - - PUNCT cjfa-12563 668 6 at at ADP cjfa-12563 668 7 - - PUNCT cjfa-12563 668 8 risk risk NOUN cjfa-12563 668 9 . . PUNCT cjfa-12563 669 1 journal journal NOUN cjfa-12563 669 2 of of ADP cjfa-12563 669 3 risk risk NOUN cjfa-12563 669 4 , , PUNCT cjfa-12563 669 5 2 2 NUM cjfa-12563 669 6 , , PUNCT cjfa-12563 669 7 21–41 21–41 NUM cjfa-12563 669 8 . . PUNCT cjfa-12563 670 1 doi doi PROPN cjfa-12563 670 2 : : PUNCT cjfa-12563 670 3 http://dx.doi.org/10.21314/jor.2000.038 http://dx.doi.org/10.21314/jor.2000.038 PROPN cjfa-12563 670 4 . . PUNCT cjfa-12563 671 1 rubinstein rubinstein PROPN cjfa-12563 671 2 , , PUNCT cjfa-12563 671 3 m. m. NOUN cjfa-12563 671 4 ( ( PUNCT cjfa-12563 671 5 2002 2002 NUM cjfa-12563 671 6 ) ) PUNCT cjfa-12563 671 7 . . PUNCT cjfa-12563 672 1 markowitz markowitz PROPN cjfa-12563 672 2 ’ ' PUNCT cjfa-12563 672 3 portfolio portfolio NOUN cjfa-12563 672 4 selection selection NOUN cjfa-12563 672 5 : : PUNCT cjfa-12563 672 6 a a DET cjfa-12563 672 7 fifty fifty NUM cjfa-12563 672 8 - - PUNCT cjfa-12563 672 9 year year NOUN cjfa-12563 672 10 retrospective retrospective NOUN cjfa-12563 672 11 . . PUNCT cjfa-12563 673 1 journal journal PROPN cjfa-12563 673 2 of of ADP cjfa-12563 673 3 finance finance NOUN cjfa-12563 673 4 , , PUNCT cjfa-12563 673 5 57(3 57(3 NUM cjfa-12563 673 6 ) ) PUNCT cjfa-12563 673 7 , , PUNCT cjfa-12563 673 8 1041–1045 1041–1045 NUM cjfa-12563 673 9 . . PUNCT cjfa-12563 674 1 doi doi NOUN cjfa-12563 674 2 : : PUNCT cjfa-12563 674 3 http://dx.doi.org/10.1111/1540-6261.00453 http://dx.doi.org/10.1111/1540-6261.00453 NOUN cjfa-12563 674 4 sklar sklar NOUN cjfa-12563 674 5 , , PUNCT cjfa-12563 674 6 a. a. NOUN cjfa-12563 674 7 ( ( PUNCT cjfa-12563 674 8 1959 1959 NUM cjfa-12563 674 9 ) ) PUNCT cjfa-12563 674 10 . . PUNCT cjfa-12563 675 1 fonctions fonction NOUN cjfa-12563 675 2 de de X cjfa-12563 675 3 répartition répartition X cjfa-12563 675 4 à à X cjfa-12563 675 5 n n ADP cjfa-12563 675 6 dimensions dimension NOUN cjfa-12563 675 7 et et PROPN cjfa-12563 675 8 leurs leurs PROPN cjfa-12563 675 9 marges marges PROPN cjfa-12563 675 10 , , PUNCT cjfa-12563 675 11 publ publ PROPN cjfa-12563 675 12 . . PUNCT cjfa-12563 676 1 inst inst PROPN cjfa-12563 676 2 . . PUNCT cjfa-12563 676 3 statist statist PROPN cjfa-12563 676 4 . . PUNCT cjfa-12563 677 1 univ univ PROPN cjfa-12563 677 2 . . PUNCT cjfa-12563 677 3 paris paris PROPN cjfa-12563 677 4 , , PUNCT cjfa-12563 677 5 8 8 NUM cjfa-12563 677 6 , , PUNCT cjfa-12563 677 7 229–231 229–231 NUM cjfa-12563 677 8 . . PUNCT cjfa-12563 678 1 xiong xiong PROPN cjfa-12563 678 2 , , PUNCT cjfa-12563 678 3 j.x j.x PROPN cjfa-12563 678 4 , , PUNCT cjfa-12563 678 5 idzorek idzorek NOUN cjfa-12563 678 6 , , PUNCT cjfa-12563 678 7 t.m t.m PROPN cjfa-12563 678 8 . . PROPN cjfa-12563 678 9 , , PUNCT cjfa-12563 678 10 & & CCONJ cjfa-12563 678 11 ibbotson ibbotson PROPN cjfa-12563 678 12 , , PUNCT cjfa-12563 678 13 r.g r.g PROPN cjfa-12563 678 14 . . PROPN cjfa-12563 678 15 ( ( PUNCT cjfa-12563 678 16 2014 2014 NUM cjfa-12563 678 17 ) ) PUNCT cjfa-12563 678 18 . . PUNCT cjfa-12563 679 1 volatility volatility NOUN cjfa-12563 679 2 versus versus ADP cjfa-12563 679 3 tail tail NOUN cjfa-12563 679 4 risk risk NOUN cjfa-12563 679 5 : : PUNCT cjfa-12563 679 6 which which DET cjfa-12563 679 7 one one NOUN cjfa-12563 679 8 is be AUX cjfa-12563 679 9 compensated compensate VERB cjfa-12563 679 10 in in ADP cjfa-12563 679 11 equity equity NOUN cjfa-12563 679 12 funds fund NOUN cjfa-12563 679 13 ? ? PUNCT cjfa-12563 680 1 journal journal NOUN cjfa-12563 680 2 of of ADP cjfa-12563 680 3 portfolio portfolio NOUN cjfa-12563 680 4 management management PROPN cjfa-12563 680 5 , , PUNCT cjfa-12563 680 6 40(2 40(2 NUM cjfa-12563 680 7 ) ) PUNCT cjfa-12563 680 8 , , PUNCT cjfa-12563 680 9 112–121 112–121 NUM cjfa-12563 680 10 . . PUNCT