Deutche Bank, equity, Germany, 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 | 8.9 | 6.4 | 3.3 | 4.4 | 4.8 | 8.4 | 2.7 | 6.0 |
| ES | 11.9 | 7.3 | 3.8 | 5.0 | 6.7 | 12.8 | 3.4 | 7.9 |
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,