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Use the original 95% baseline
Start from mean loss 0 and dispersion 10. VaR is 16.448536 and ES 20.627128 loss units under the declared normal law.
Change one parameter at a time
| Record | Mean | Dispersion | VaR | ES |
|---|---|---|---|---|
| Baseline | 0 | 10 | 16.448536 | 20.627128 |
| Mean shift | 5 | 10 | 21.448536 | 25.627128 |
| Dispersion increase | 0 | 15 | 24.672804 | 30.940692 |
Identify the reason for each change
The mean shift adds five to every loss percentile and its selected-tail mean. Increasing dispersion stretches the centered loss law: the quantile rises by about 8.224268 and ES by about 10.313564.
Retain a controlled model comparison
These are separate assumption records. A real position change may affect location, dispersion, shape and dependence together. The table isolates the entered model parameters rather than claiming an investment intervention changes only one.