Citigroup, 25 April, 2025
CAC40
Returns
Data density with normal and t(3)
Value-at-Risk
Expexted Shortfall
Risk forecasts
| Type | HS | MA | EWMA | GARCH | tGARCH | EVT | ModelRisk | Mean |
|---|---|---|---|---|---|---|---|---|
| VaR | 4.5 | 4.3 | 8.500000 | 7.5 | 5.1 | 4.7 | 2.0 | 5.8 |
| ES | 6.7 | 4.9 | 9.700001 | 8.5 | 6.6 | 7.0 | 2.0 | 7.3 |
Price drop given year
Probability of price drop
Autocorrelations
Quantile-Quantile plots
Extreme risk
Daily market risk forecasts and analysis© All rights reserved, Jon Danielsson,