Deutche Bank, equity, Germany, 19 June, 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 | 5.4 | 4.2 | 4.6 | 5.3 | 7.1 | 1.9 | 5.7 |
ES | 9.9 | 6.1 | 4.9 | 5.3 | 7.4 | 12.1 | 2.5 | 7.6 |
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,