Deutche Bank, 17 February, 2025
FTSE100
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 | 7.900001 | 5.2 | 3.7 | 4.5 | 5.3 | 7.3 | 2.1 | 5.6 |
| ES | 9.800000 | 5.9 | 4.2 | 5.1 | 7.8 | 11.0 | 2.6 | 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,