Extreme Risk: AORD

AORD

Returns

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VaR

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ES

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Risk forecast

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 3.5 2.7 2.5 2.9 3.2 3.6 1.4 3.1
ES 5.9 3.1 2.9 3.3 4.0 6.6 2.3 4.3

Price drop given year

Probability of price drop

Data and normal density

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AORD