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C

Citigroup
17 September 2025
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Returns

Returns chart for C showing historical price movements

Data density with normal and t(3)

Data density chart for C with normal and t(3) distributions

Value-at-Risk

Value-at-Risk chart for C showing risk forecasts

Expected Shortfall

Expected Shortfall chart for C showing tail risk measures

Risk forecasts

Type HS MA EWMA GARCH tGARCH EVT ModelRisk Mean
VaR 4.50000000 4.50000000 3.00000000 3.90000010 4.30000019 4.90000010 1.60000002 4.19999981
ES 6.80000019 5.20000029 3.40000010 4.50000000 5.50000000 6.59999990 2.00000000 5.29999971

Price drop given year

Price drop given year chart for C showing historical decline patterns

Probability of price drop

Probability of price drop chart for C showing risk event likelihood

Autocorrelations

Autocorrelation Function (ACF) plot showing return and squared return patterns for C

Quantile-Quantile plots

Quantile-Quantile QQ plots for C across various tail thicknesses.
Extreme Risk. Daily Market Risk Forecasts

Real-time market risk analysis and forecasts for global financial markets

© Jon Danielsson