Extreme Risk

SP-500

3.68
-2.68%

BITCOIN

10.19
-1.13%

SP-500

3.68
-2.68%

BITCOIN

10.19
-1.13%

USDEUR

1.78
-0.72%

SP-500

3.68
-2.68%

BITCOIN

10.19
-1.13%

USDEUR

1.78
-0.72%

N225

2.94
0.0%

SP-500

3.68
-2.68%

BITCOIN

10.19
-1.13%

USDEUR

1.78
-0.72%

N225

2.94
0.0%

SP-500

3.68
-2.68%

BITCOIN

10.19
-1.13%

USDEUR

1.78
-0.72%

N225

2.94
0.0%

DAX

3.24
-0.79%

TSLA

10.97
2.32%

SP-500

3.68
-2.68%

BITCOIN

10.19
-1.13%

USDEUR

1.78
-0.72%

N225

2.94
0.0%

DAX

3.24
-0.79%

TSLA

10.97
2.32%
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.

More details
Asset risk

I estimate risk with a few dozen assets, major stock indices, crypto, exchange rates and some stocks I am interested in. The specific as it shows changes frequently.

SP-500 risk
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.

More details
Asset risk

I estimate risk with a few dozen assets, major stock indices, crypto, exchange rates and some stocks I am interested in. The specific as it shows changes frequently.

SP-500 risk
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

Daily Risk

Model Risk

How big is the worst quarter century price drop?

Latest Market Risk Forecasts

Click on a row for more details about a particular asset

Extreme risk

Daily market risk forecasts and analysis
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