Daily risk forecast for Monday, September 25 (euro) and Tuesday, September 05 (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 8.36 13.35 8.54 13.25 12.72 8.69 1.60
DKK 0.54 0.42 0.21 0.23 0.42 0.48 2.62
GBP 13.06 13.05 12.74 13.31 17.17 13.65 1.35
JPY 15.95 14.43 10.74 11.89 18.80 16.40 1.75
RUB 35.65 34.04 14.84 16.31 23.44 37.30 2.51
SP-500 21.84 18.12 12.26 13.65 20.21 22.13 1.81
USD 15.01 12.70 12.70 12.10 21.81 14.80 1.80

ES

HS MA EWMA GARCH tGARCH EVT Model Risk
CHF 25.47 15.30 9.78 15.18 17.56 15.83 2.60
DKK 0.73 0.48 0.24 0.27 0.59 0.89 3.80
GBP 17.46 14.95 14.60 15.25 22.48 17.68 1.54
JPY 24.38 16.53 12.31 13.62 25.68 24.69 2.09
RUB 58.41 39.00 17.00 18.69 30.55 57.70 3.44
SP-500 28.42 20.75 14.04 15.64 26.89 30.00 2.14
USD 21.10 14.55 14.54 13.87 30.44 22.85 2.20

-5%

MA EWMA GARCH tGARCH EVT
CHF 3e+15 3e+39 5e+15 76 19
DKK 5e+07 9,330
GBP 2e+16 1e+17 3e+15 52 120
JPY 1e+13 3e+24 6e+19 18 11
RUB 13 2e+12 8e+09 12 0.9
SP-500 6e+07 4e+18 5e+14 18 8.9
USD 2e+17 2e+17 1e+19 7.8 13

-15%

MA EWMA GARCH tGARCH EVT
CHF 5e+147 9e+149 7,030 221
DKK 4e+09 1e+05
GBP 5e+154 2e+162 5e+148 15,400 15,000
JPY 3e+126 3e+228 3e+186 1,880 293
RUB 7e+21 3e+119 5e+98 3,740 20
SP-500 7e+79 3e+175 2e+141 3,320 587
USD 2e+163 3e+163 9e+179 566 285