Deutche Bank, 11 March, 2025
GBPEUR
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 | 7.900001 | 5.3 | 8.6 | 8.1 | 9.6 | 7.4 | 1.8 | 7.8 |
| ES | 9.800000 | 6.1 | 9.9 | 9.2 | 14.0 | 11.3 | 2.3 | 10.1 |
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,