Risk forecasts made 07 May 2021

Risk in Bitcoin is 14 times higher than that of USD/EUR and 4 times the SP-500 risk.

Over the past 5 years, has seen the highest one day drop in risk (%) and the biggest increase (%)

12 April 2021
Everybody working in the financial system has an incentive to increase its complexity, including the regulators

11 April 2021
Riskometers and their inconsistencies

15 February 2021
Global market risk

13 February 2021
On the future of Amazon

8 February 2021
How fast is the Apple M1?

15 June 2020
ARM on AWS for R

8 May 2020
Low vol strategies

8 May 2020
Of Julia and R

More

Model risk of daily risk forecasts

For 99% VaR

Worst daily price drop every quarter century

Estimated with EVT

Daily risk forecast

Average 99% VaR

Evolution of daily risk forecasts

Average 99% VaR

© All rights reserved, Jon Danielsson, 2021