Replication package: Tail Risk and Concentration — The Magnificent Seven

Tail Risk and Concentration: The Magnificent SevenParra Hormiga, S. A., & Caballero Márquez, J. A. (2026)Universidad Autónoma de Bucaramanga, Colombia Replication package. Python 3 with arch, numpy, scipy, pandas.Fixed random seed: 20260815. Scripts (run in this order): var_mag7.py univariate GARCH models and backtests (Tables 1-3, Fig. 1) dcc_portafolio.py DCC-GARCH, portfolios, Euler decomposition (Tables 4-5, Fig. 2) sp_analisis.py S&P 500 backtests (Table 6) rev2_calc.py rolling index attribution with contemporaneous weights (Table 7, Fig. 3) rev2_calc2.py Euler dynamics, DCC Hessians, stress scenario, capital illustration (Table 8) robustez.py threshold, window and historical-share checks (Appendix A) fz0_dm.py Fissler-Ziegel joint scoring and Diebold-Mariano tests adcc.py symmetric vs asymmetric DCC checks.py, graficos.py auxiliary Data: precios_yf.csv and sp500.csv (Yahoo Finance, split- and dividend-adjusted,downloaded 15 Aug 2026); pesos_cap_historicos.csv (main weights);pesos_cap_const.csv (robustness). All intermediate outputs included.