Citigroup, equity, United States, 30 November, 2023
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 | 7.2 | 6.1 | 3.4 | 3.7 | 4.0 | 7.4 | 2.2 | 5.3 |
ES | 12.0 | 7.0 | 3.9 | 4.2 | 5.2 | 12.2 | 3.1 | 7.4 |
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,