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THETA AG
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Tel. +41 44 217 80 14
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Rolling Risk
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Single Asset View: DJ Euro Stoxx
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Index Family: [dynAAx BVG]
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How to read this graph
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Time series plots of rolling risk measures show us how risk changes over time. Rolling plots are created from a running window of one year length and shifted month by month, then the risk measure is calculated at the end of every month and displayed in the graph.
The four graphs show the rolling Value at Risk (VaR) and the expected Shortfall Risk (CVaR) of the financial returns, as well as the rolling Drawdown at Risk (DaR) and the conditional Drawdown at Risk (CDaR).
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