New Method Better Predicts Financial Market Risks During Turmoil
During financial crises, there is extra risk for investors beyond what traditional methods predict. A new method called conditional VaR-x can better estimate this extra risk by considering unusual patterns in market behavior. Compared to the standard RiskMetricsTM model, the conditional VaR-x method gives more accurate forecasts of potential losses during turbulent times, making it a valuable tool for managing risk in financial markets.