A set of regional and country’s equity indices have been evaluated and
analysed in their Value at Risk (VaR) and Conditional Value at Risk (CVaR) in this
paper, using computational methods based on the Johnson systems. Comparing the
main statistics and the values of the two cited measures of financial risk obtained
using a roll-over mechanism in the period January 2008–July 2012, the impact of
the crisis on equity market risk can be shown. It seems that for all regions and
countries the patterns are very similar: there is a peak of all the risk measures
adopted at the beginning of the crisis (September 2008–February 2009) and another
turbulent period in 2011 (from July to December). In other terms, the global patterns
of the main financially relevant countries and their regional aggregations demonstrate
that ‘‘One Financial system’’, and just one, is already at work, in theory and in
practice. On the other hand, the scale of the risk measures differs from one country
to another: e.g., with a probability of 1 %, the potential daily loss on an equity
position in Latin America in the worst period arrives to about 25 %, the Emerging
Markets as a whole show values around 20 % and Asia arrives to 15 %, while the
US and European corresponding values are below 14 %. This is true whatever the
risk measure and whatever the confidence interval (which, again, influences strongly
the scale of the risk values). Looking in detail to the last period (April 2012–July
2012), a general improvement could be appreciated: the risk measures are all around
4 % if not on one hand Italy and Spain (around 6 %), Greece (around 10 %) and on the other hand the ‘‘virtuous’’ Chile (around 1.5 %), again with reference to a
probability of 1 %. Nevertheless, indices of performance (expected return over risk
measure) have been evaluated and compared. They give sometimes different
answers to the risk measures themselves.
