HSBC, equity, United Kingdom, 03 October, 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 | 4.7 | 4.1 | 3.0 | 3.9 | 4.3 | 4.8 | 1.6 | 4.1 |
| ES | 7.1 | 4.7 | 3.5 | 4.4 | 6.3 | 7.7 | 2.2 | 5.6 |
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,