##### What is Risk?

While I use common market risk techniques, that is too simple. After all, there is no single observable phenomenon called risk because risk is latent and specific to the end user.

More details##### Technical details

I measure risk by the two main market risk measures, Value-at-Risk and Expected Shortfall, at the 99% one day horizon, were the portfolio value is 100. Risk is estimated with estimated by the five most common statistical methods, with an estimation window of thousand days.

Math detailsReturns

Value-at-Risk

Expexted Shortfall

Risk Forecasts

Type | HS | MA | EWMA | GARCH | tGARCH | EVT | ModelRisk | Mean |
---|---|---|---|---|---|---|---|---|

VaR | 3.8 | 3.3 | 3.0 | 3.1 | 3.4 | 3.8 | 1.3 | 3.4 |

ES | 5.9 | 3.7 | 3.5 | 3.6 | 4.2 | 6.3 | 1.8 | 4.5 |

Price drop given year

Probability of price drop

Data density with normal and t

ACF

##### Extreme risk

Daily market risk forecasts and analysis

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