Deutche Bank, equity, Germany, 26 May, 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 | 6.6 | 5.2 | 5.3 | 6.0 | 8.5 | 1.7 | 6.7 |
ES | 11.9 | 7.5 | 5.9 | 6.1 | 8.3 | 12.8 | 2.2 | 8.8 |
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,