ricotomo / Market-Risk-Covid-Crisis

Comparison of market risk in USA and Europe during COVID crisis. We implement and evaluate parametric Value at Risk, historical VaR and Extreme Value Theory.

Market-Risk-Covid-Crisis

Comparison of market risk in USA and Europe during COVID crisis. We implement and evaluate parametric Value at Risk, historical VaR and Dynamic Extreme Value Theory.

Research Questions

• What was the impact of COVID on equity market risk in the USA and Europe?
• Which Value at Risk method will most accurately model the COVID crisis?

Findings