Daily risk forecast for Friday, February 23 (euro) and Wednesday, February 21 (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.