Daily risk forecast for Wednesday, May 24 (euro) and Monday, May 15 (SP-500)

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 7.25 13.22 6.87 13.10 11.98 8.21 1.92
DKK 0.54 0.42 0.33 0.40 0.76 0.48 2.30
GBP 13.06 12.94 11.40 11.90 17.31 13.45 1.52
JPY 15.95 14.59 17.24 17.09 23.63 16.40 1.62
RUB 35.65 33.80 22.41 28.93 38.11 37.30 1.70
SP-500 23.10 18.47 8.52 11.49 14.28 22.45 2.71
USD 15.01 12.65 10.78 11.41 20.56 14.80 1.91

ES

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 24.53 15.15 7.87 15.01 16.52 14.31 3.12
DKK 0.73 0.48 0.38 0.46 1.07 0.89 2.80
GBP 17.46 14.82 13.07 13.64 22.52 18.08 1.72
JPY 24.38 16.72 19.75 19.58 31.94 24.69 1.91
RUB 58.41 38.73 25.67 33.14 49.41 57.70 2.28
SP-500 28.77 21.16 9.76 13.17 18.37 30.65 3.14
USD 21.10 14.50 12.35 13.07 29.13 22.85 2.36

-5%

MA EWMA GARCH tGARCH EVT
CHF 6e+15 3e+61 1e+16 98 28
DKK 5e+06 9,330
GBP 3e+16 4e+21 5e+19 57 67
JPY 5e+12 5e+08 8e+08 7.6 11
RUB 14 38,200 138 1.2 0.9
SP-500 3e+07 4e+39 2e+21 220 8.0
USD 2e+17 2e+24 4e+21 8.6 13

-15%

MA EWMA GARCH tGARCH EVT
CHF 5e+150 3e+153 9,210 365
DKK 4e+08 1e+05
GBP 3e+157 6e+202 1e+186 20,900 4,920
JPY 4e+123 2e+88 8e+89 951 293
RUB 1e+22 7e+51 5e+30 328 20
SP-500 7e+76 5e+199 1e+05 486
USD 4e+164 2e+227 3e+202 512 285