Deutche Bank, 28 April, 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 | 8.0 | 5.4 | 8.5 | 7.0 | 8.000000 | 7.7 | 1.6 | 7.4 |
| ES | 10.1 | 6.2 | 9.8 | 8.0 | 11.599999 | 11.7 | 1.9 | 9.5 |
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,