Deutche Bank, equity, Germany, 16 October, 2024
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 | 7.9 | 5.3 | 3.3 | 4.5 | 5.1 | 7.3 | 2.4 | 5.6 |
ES | 9.8 | 6.1 | 3.8 | 5.1 | 7.3 | 11.0 | 2.9 | 7.2 |
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,