The ETH Riskometer 
Market Risk Summary for Major Indices on 22/11/00
Dynamic Risk Measures
| Index |
VaR (95%) |
ESfall (95%) |
VaR (99%) |
ESfall (99%) |
Volatility |
| S&P 500 |
2.08 |
2.98 |
3.50 |
4.55 |
20.8 |
| Dow Jones |
1.70 |
2.46 |
2.90 |
3.75 |
17 |
| DAX |
2.49 |
3.21 |
3.69 |
4.12 |
23.1 |
- VaR and ESfall prognoses are estimates of potential daily losses expressed
as percentages.
- Volatility is an annualized estimate expressed as a percentage; click on column heading for recent history.
- Data are kindly provided by Olsen & Associates.
- Developers are Alexander McNeil and
Rüdiger Frey in the group for
financial and insurance mathematics in the
mathematics
department of ETH Zürich.
- Our methods, which combine econometric modelling and extreme value
theory, are
described in our research paper; there are
postscript and pdf versions.
VaR Backtests & Violation Summary
In all backtest pictures the 95% VaR is marked by a solid red line and the 99% VaR by a dotted red line. Circles
and triangles indicate violation respectively.
Alexander McNeil ( mcneil@math.ethz.ch )