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 detailsTechnical 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 | 3.9 | 3.1 | 1.7 | 1.8 | 2.0 | 3.9 | 2.3 | 2.7 |
| ES | 6.6 | 3.6 | 1.9 | 2.0 | 2.6 | 7.4 | 3.9 | 4.0 |
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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