Covid-19 market risk — 21 April 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 13.5 3.6 54.2 43.6 56.1 36.3 22.3 31.7 13.7
March 13.5 3.6 54.2 43.6 50.6 36.3 22.3 31.7 16.5
April NA NA NA NA NA NA NA NA NA

© All rights reserved, Jon Danielsson, 2021