Volatility (market risk under normal conditions)

This metric summarises key market risk indicators such as VaR and CVaR at various degrees of confidence and time horizons, price return volatility, stress risk and jumps, intraday price volatility at different percentiles, as well as stability of trading volumes, adjusted for market-cap and sector effects and trading history length. An asset with the highest score of 7 ranks in the top risk bucket relative to its peers. It means very high price volatility, both historical and intraday, the fat left tail of return distribution, significantly above-average probability of sudden price falls and volatile liquidity.

For bonds, we additionally consider adjustments for credit score ranking and liquidity, as bonds with lower credit scores and poorer liquidity tend to exhibit higher volatility, other things being equal.