Daily risk forecast for Monday, May 01 (euro) and Thursday, April 27 (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 7.29 13.25 7.05 13.15 11.68 8.37 1.88
DKK 0.54 0.41 0.33 0.35 0.71 0.48 2.15
GBP 13.06 12.93 11.94 12.46 19.01 13.45 1.59
JPY 16.52 14.96 17.57 18.26 27.87 17.56 1.86
RUB 35.65 33.74 15.62 17.37 23.41 37.30 2.39
SP-500 23.10 18.52 11.83 16.79 20.68 22.45 1.95
USD 15.14 12.71 11.15 11.81 21.48 15.00 1.93

ES

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 24.53 15.18 8.08 15.06 16.09 13.92 3.04
DKK 0.73 0.47 0.38 0.41 0.99 0.89 2.62
GBP 17.46 14.81 13.67 14.27 24.89 18.08 1.82
JPY 25.95 17.13 20.13 20.92 38.26 24.90 2.23
RUB 58.41 38.66 17.90 19.90 30.29 57.70 3.26
SP-500 28.77 21.21 13.56 19.24 26.76 30.65 2.26
USD 21.15 14.56 12.77 13.53 30.51 23.30 2.39

-5%

MA EWMA GARCH tGARCH EVT
CHF 5e+15 2e+58 9e+15 110 36
DKK 7e+06 9,330
GBP 3e+16 4e+19 8e+17 31 67
JPY 1e+12 2e+08 4e+07 3.4 14
RUB 14 8e+10 4e+08 13 0.9
SP-500 2e+07 9e+19 2e+09 25 8.0
USD 1e+17 5e+22 1e+20 7.2 12

-15%

MA EWMA GARCH tGARCH EVT
CHF 9e+149 3e+152 10,500 562
DKK 5e+08 1e+05
GBP 4e+157 1e+185 7e+169 9,170 4,920
JPY 4e+117 8e+84 4e+78 308 578
RUB 2e+22 5e+107 8e+86 5,230 20
SP-500 3e+76 2e+188 1e+93 10,600 486
USD 1e+163 2e+212 1e+189 411 256