Python code to match the article:

    from statistics import NormalDist

    def var(nd):
        'Value at risk'
        return nd.stdev - nd.mean

    safe = NormalDist(5, 3)
    bold = NormalDist(9, 10)
    shock = NormalDist(-5, 10)

    print('Safe: %s\tBold: %s\tBaseline' % (var(safe), var(bold)))
    print('Safe: %s\tBold: %s\tConstant shock' % (var(safe - 5), var(bold - 5)))
    print('Safe: %s\tBold: %s\tUncorrelated shock' % (var(safe + shock), var(bold + shock)))
    print('Safe: %s\tBold: %s\tCorrelated shock' % (var(safe * 2), var(bold *2)))