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Number per decade
40

35
Banking Crises
30
Currency Crises
25

20

15

10

0
1880 1890 1900 1910 1920 1930 1940 1950 1960 1970 1980 1990

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Dec-80 Dec-80

Dec-81 Dec-81

Dec-82 Dec-82

Dec-83 Dec-83

Dec-84 Dec-84

99% daily VAR (%)


99% daily VAR (%)

Dec-85 Dec-85

Dec-86 Dec-86

Dec-87 Dec-87

Dec-88 Dec-88
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EW MA-decay=0.992
Dec-90 Dec-90
EW MA-decay=0.94

Dec-91 Dec-91

Normal model-250-day SD
Dec-92 Dec-92

Historical simulation-250 days


Dec-93 Dec-93
6WBN+, e L4T@htL? Lu V+ L_i*tG #%m +@|i

Dec-94 Dec-94

Dec-95 Dec-95

Dec-96 Dec-96

Dec-97 Dec-97

Dec-98 Dec-98

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10

2
Historical simulation-250 days
Normal model-250-day SD
1
EWMA-decay=0.992
0
Dec-80

Dec-81

Dec-82

Dec-83

Dec-84

Dec-85

Dec-86

Dec-87

Dec-88

Dec-89

Dec-90

Dec-91

Dec-92

Dec-93

Dec-94

Dec-95

Dec-96

Dec-97

Dec-98

Dec-99

Dec-00
6WBN+, S @h!i| +t! @h}iG N5 ,^|it

25

Historical simulation-250 days


20
Aug 1998
Normal model-250-day SD
EWMA-decay=0.992
15

10

0
Dec-80

Dec-81

Dec-82

Dec-83

Dec-84

Dec-85

Dec-86

Dec-87

Dec-88

Dec-89

Dec-90

Dec-91

Dec-92

Dec-93

Dec-94

Dec-95

Dec-96

Dec-97

Dec-98

Dec-99

Dec-00
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16

14

12

10

4 Historical simulation-250 days

2
Normal model-250-day SD
EWMA-decay=0.992
0
May-98
Jan-98

Feb-98

Mar-98

Jun-98

Aug-98

Sep-98
Dec-97

Apr-98

Jul-98

Oct-98

Nov-98

Dec-98
6WBN+, H @h!i| +t! @h}iG N5 Ahi@thit
12

Historical simulation-250 days


10 Normal model-250-day SD

Aug 1998
EWMA-decay=0.992
8

0
Dec-80

Dec-81

Dec-82

Dec-83

Dec-84

Dec-85

Dec-86

Dec-87

Dec-88

Dec-89

Dec-90

Dec-91

Dec-92

Dec-93

Dec-94

Dec-95

Dec-96

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