ExtremeRisk.org
What is risk?
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Model Risk
Jon Danielsson
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Covid-19 risk
Risk forecasts made 01 March 2021
Risk in Bitcoin is 18 times higher than that of USD/EUR and 6 times the SP-500 risk.
Over the past 5 years, has seen the highest one day drop in risk (%) and the biggest increase (%)
15 February 2021
Global market risk
13 February 2021
On the future of Amazon
8 February 2021
How fast is the Apple M1?
15 June 2020
ARM on AWS for R
8 May 2020
Low vol strategies
8 May 2020
Of Julia and R
30 April 2020
How to manipulate risk forecasts 101
27 April 2020
The five principles of correct riskometer use
More
Model risk of daily risk forecasts
For 99% VaR
Worst daily price drop every quarter century
Estimated with EVT
Daily risk forecast
Average 99% VaR
Evolution of daily risk forecasts
Average 99% VaR
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