Daily risk forecast for Tuesday, February 20

The Daily Risk page shows one day risk forecasts for a range of assets and models. The forecasts are updated daily as the closing prices become available.

The models are estimated with code from Financial Risk Forecasting and the output is described here. The two risk measures that are estimated are Value-at-Risk (VaR) and expected shortfall (ES), both at the 99% probability. These measures are described here, while the statistical models used in the forecasting can be seen here.

The assets are a number of euro exchange rates as well as the SP-500 index. Therefore, the risk is of the euro falling.


VaR

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 8.58 13.46 6.45 13.35 10.88 8.84 2.09
DKK 0.54 0.42 0.38 0.46 0.92 0.48 2.45
GBP 14.00 13.24 12.40 13.61 19.03 13.99 1.53
JPY 15.34 14.16 11.82 12.59 18.74 16.13 1.58
RUB 35.65 34.05 10.87 15.13 20.17 37.30 3.43
SP-500 23.99 18.24 34.28 32.69 55.32 23.31 3.03
USD 15.01 12.80 11.79 11.84 22.80 14.89 1.93

ES

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 25.59 15.43 7.39 15.30 15.00 16.45 3.46
DKK 0.73 0.49 0.43 0.53 1.28 0.89 2.98
GBP 17.59 15.17 14.21 15.59 24.91 18.06 1.75
JPY 24.03 16.22 13.55 14.42 25.29 23.98 1.87
RUB 58.41 39.01 12.46 17.33 26.07 57.70 4.69
SP-500 31.94 20.90 39.27 37.45 73.02 34.34 3.49
USD 21.10 14.67 13.51 13.57 33.70 22.76 2.49

-5%

MA EWMA GARCH tGARCH EVT
CHF 1e+15 6e+69 3e+15 146 17
DKK 2e+06 9,330
GBP 5e+15 1e+18 6e+14 31 114
JPY 4e+13 1e+20 3e+17 21 13
RUB 13 8e+23 5e+11 29 0.9
SP-500 4e+07 12 21 0.3 4.3
USD 8e+16 1e+20 9e+19 4.5 13

-15%

MA EWMA GARCH tGARCH EVT
CHF 2e+145 6e+147 13,700 182
DKK 2e+08 1e+05
GBP 2e+150 2e+171 1e+142 9,160 14,900
JPY 2e+131 4e+188 2e+166 2,830 364
RUB 7e+21 2e+223 9e+114 13,000 20
SP-500 6e+78 3e+21 6e+23 31 132
USD 6e+160 4e+189 1e+188 168 318