distributed leads to a severe underestimation of the total risk. The Cornish-Fisher procedure used gains accuracy with the length of the estimation horizon hence future research could address this limitation. Appendix Table 10 Portfolio Risk Estimates - Infra (weights: JSW Energy = .25, Crompton Greaves = .25, Tata Communications = .25 & IRB Infra. = .25) Relative Spread Return Skewness(S) Kurtosis(S) Skewness (R) Kurtosis (R) Mean 0.157935569 1.41699E-05 5.355810542 71.75344423 -0.248326109 0.469428191 Median 0.142673258 0.000426268 7.519791353 106.3839229 -0.288795359 0.351296393 Std Dev. 0.100376706 0.018994293 3.525948658 58.09914333 0.188124925 0.561464923 LVaR z-alpha(Bangia) z-cornish(S) z-cornish (R) Price Risk (%) LVaR (Bangia) % (Modified) % Mean 0.962803869 7.565285392 2.217071326 4.103538767 4.274740198 4.626610064 Median 0.826826105 7.052219911 2.147985599 3.896207647 4.03519867 4.446329983 Std Dev. 0.51004316 3.942126764 0.190830865 1.322265372 1.356173616 1.580766816
distributed leads to a severe underestimation of the total risk. The Cornish-Fisher procedure used gains accuracy with the length of the estimation horizon hence future research could address this limitation. Appendix Table 10 Portfolio Risk Estimates - Infra (weights: JSW Energy = .25, Crompton Greaves = .25, Tata Communications = .25 & IRB Infra. = .25) Relative Spread Return Skewness(S) Kurtosis(S) Skewness (R) Kurtosis (R) Mean 0.157935569 1.41699E-05 5.355810542 71.75344423 -0.248326109 0.469428191 Median 0.142673258 0.000426268 7.519791353 106.3839229 -0.288795359 0.351296393 Std Dev. 0.100376706 0.018994293 3.525948658 58.09914333 0.188124925 0.561464923 z-alpha(Bangia) z-cornish(S) z-cornish (R) Price Risk (%) LVaR (Bangia) % LVaR (Modified) % Mean 0.962803869 7.565285392 2.217071326 4.103538767 4.274740198 4.626610064 Median 0.826826105 7.052219911 2.147985599 3.896207647 4.03519867 4.446329983 Std Dev. 0.51004316 3.942126764 0.190830865 1.322265372 1.356173616 1.580766816
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