HSBC, equity, United Kingdom, 22 April, 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 | 5.1 | 4.3 | 3.8 | 3.8 | 4.6 | 4.9 | 1.4 | 4.4 |
| ES | 6.7 | 4.9 | 4.3 | 4.4 | 6.6 | 7.0 | 1.6 | 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,