Covid-19 market risk — 1 March 2021
Normalised prices from January 2020
Price changes since 2017
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% one day 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.
| AORD | BOVESPA | DAX | FTSE100 | N225 | SHCOMP | SP500 | STI | TWSE | |
|---|---|---|---|---|---|---|---|---|---|
| January | 397.0 | 1090.0 | 1430.0 | 373.0 | 51.3 | 17.0 | 610.0 | 2710.0 | 226.0 |
| February | 320.0 | 596.0 | 850.0 | 226.0 | 27.4 | 14.2 | 252.0 | 1650.0 | 190.0 |
| March | 12.4 | 4.7 | 17.0 | 15.2 | 32.6 | 25.2 | 15.9 | 29.0 | 18.0 |
| April | 12.4 | 4.1 | 14.5 | 19.7 | 41.4 | 57.9 | 24.2 | 29.0 | 18.1 |
| May | 11.6 | 4.1 | 15.5 | 22.9 | 23.5 | 57.9 | 28.0 | 34.6 | 23.5 |
| June | 11.1 | 4.0 | 14.5 | 19.2 | 19.1 | 56.2 | 20.3 | 31.7 | 27.2 |
| July | 11.4 | 4.0 | 18.1 | 31.4 | 20.1 | 36.3 | 20.3 | 31.7 | 15.3 |
| August | 11.4 | 4.0 | 19.5 | 31.4 | 40.0 | 36.3 | 20.3 | 31.7 | 15.3 |
| September | 11.4 | 4.0 | 16.1 | 31.4 | 40.0 | 36.3 | 20.3 | 31.7 | 18.0 |
| October | 13.5 | 3.8 | 16.1 | 43.6 | 40.0 | 36.3 | 21.6 | 31.7 | 26.6 |
| November | 13.5 | 3.8 | 54.2 | 43.6 | 40.0 | 36.3 | 22.3 | 31.7 | 26.6 |
| December | 13.5 | 3.7 | 54.2 | 43.6 | 40.0 | 36.3 | 22.3 | 31.7 | 13.7 |
| January | 13.5 | 3.7 | 54.2 | 43.6 | 56.1 | 36.3 | 22.3 | 31.7 | 13.7 |
| February | NA | NA | NA | NA | NA | NA | NA | NA | NA |