Deutche Bank, equity, Germany, 23 April, 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 | 7.8 | 5.4 | 3.5 | 4.4 | 4.9 | 7.0 | 2.2 | 5.5 |
| ES | 9.8 | 6.2 | 4.0 | 5.0 | 6.8 | 11.7 | 2.9 | 7.3 |
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,