Corona market risk — 3 June 2020

The impact of the coronavirus on financial markets.

Normalised prices this year

Price changes since 2017

Market Change from 2017 Change from 2018 Change from 2019 Change this year
IBEX35 -21% -27% -13% -24%
BOVESPA 53% 17% 0% -23%
STI -11% -25% -15% -20%
CAC40 -1% -8% 3% -20%
FTSE -13% -19% -8% -18%
SENSEX 27% 0% -6% -18%
STOXX50E -5% -10% 4% -16%
HSI 8% -21% -5% -16%
ASX200 2% -4% 3% -13%
DAX 4% -7% 14% -10%
TWSE 20% 4% 16% -8%
Shanghai -7% -13% 18% -6%
SP500 36% 14% 23% -5%
ICEX 19% 15% 22% -4%
N225 14% -3% 14% -4%

Daily returns

Expected shortfall — Weekly maximum

There are many ways to measure market risk. The following analysis shows expected shortfall (ES) on a portfolio worth 1000, estimated with four methods, and a thousand day estimation window. For details see here.

First we show the results ordered by market.

Market risk, weekly maximum

now we show the same information, but ordered by method.

Probability of a 20% drop

The probability of a 20% drop in the market, expressed as how many years we have to wait between each such drop. These are the highest values each month.

The estimation method is extreme value theory (EVT), the only way to do such calculations.

STOXX50E FTSE SP500 N225 Shanghai ASX200 TWSE DAX BOVESPA
January 372.0 709.0 781.0 78.5 34.7 512.0 709.0 6950.0 2700.0
February 472.0 595.0 614.0 46.3 63.6 512.0 264.0 5270.0 2700.0
March 156.0 227.0 442.0 73.4 66.5 103.0 264.0 513.0 624.0
April 16.8 26.8 56.1 73.4 61.9 8.4 27.3 15.7 4.8
May 12.7 29.1 28.3 37.3 61.9 8.4 33.4 14.3 4.1
June 12.7 29.1 28.3 25.2 61.9 7.3 33.4 20.4 4.1

© All rights reserved, Jon Danielsson, 2020