PROMETHEUS ANALYTICS offers a risk analysis and monitoring model following the approach developed by Diebold and Yilmaz (2009 and 2014).

Dernière version : 18 juillet, 2023

Rentability Analysis

JPM
BAC
WFC
MS
GS
SCHW
C
USB
RY
TD
BNS
HDFC
CBA
MUFG
BNP
UBSG
ITUB
SMFG
SAN
NAB
INGA
WBC
FROM
JPM
10.35
8.53
6.19
6.60
6.81
4.88
7.34
7.31
4.14
4.78
4.35
1.09
1.03
3.95
3.75
3.39
2.32
3.96
3.77
0.74
3.75
0.98
89.65
BAC
8.34
10.27
6.76
6.52
6.72
5.35
7.44
7.26
3.98
4.77
4.18
1.09
0.99
4.00
3.65
3.29
2.38
3.91
3.78
0.76
3.55
0.99
89.73
WFC
7.06
7.87
12.21
5.82
6.47
4.60
7.34
7.65
4.35
4.88
4.26
1.08
1.10
3.66
3.38
3.08
2.43
3.79
3.61
0.88
3.39
1.08
87.79
MS
7.27
7.29
5.71
11.04
8.12
5.20
7.06
6.12
4.41
4.92
4.56
1.45
1.09
3.67
3.59
3.88
2.26
3.83
3.19
0.87
3.44
1.04
88.96
GS
7.34
7.42
6.06
7.92
10.96
4.50
7.18
6.33
4.50
4.71
4.49
1.25
1.18
3.98
3.54
3.41
2.35
4.26
3.22
0.94
3.42
1.04
89.04
SCHW
6.36
7.14
5.43
6.14
5.43
14.85
5.24
5.72
4.33
4.93
4.14
1.74
1.34
3.89
3.87
3.42
2.50
4.01
3.80
1.08
3.57
1.09
85.15
C
7.62
7.92
6.63
6.62
6.92
4.07
10.83
6.88
3.94
4.85
4.24
1.03
1.21
3.98
3.71
3.50
2.59
4.08
3.80
0.89
3.67
1.02
89.17
USB
7.75
7.83
6.97
5.95
6.16
4.69
7.08
11.43
4.46
4.93
4.75
0.98
0.99
3.91
3.57
3.25
2.33
4.05
3.62
0.78
3.66
0.86
88.57
RY
5.09
5.20
4.85
5.20
5.40
4.68
4.91
5.46
13.85
6.89
6.32
1.36
1.55
4.04
4.25
3.79
2.33
4.07
3.72
1.40
4.26
1.40
86.15
TD
5.66
5.86
5.09
5.26
5.12
4.45
5.65
5.77
6.29
13.04
6.20
1.25
1.43
4.20
3.93
3.97
2.34
4.28
3.77
1.19
3.95
1.30
86.96
BNS
5.64
5.65
4.76
5.35
5.52
4.16
5.42
5.96
6.29
6.78
14.23
1.26
1.31
3.86
3.85
3.24
2.49
4.03
3.90
1.17
3.85
1.27
85.77
HDFC
3.59
3.32
2.78
4.50
3.76
3.90
3.32
3.14
3.25
3.33
3.52
30.47
2.27
2.63
3.86
4.24
2.34
3.16
3.69
2.55
3.73
2.65
69.53
CBA
3.40
3.43
3.33
3.44
3.74
3.36
3.40
3.22
3.58
3.39
3.57
1.61
20.00
2.62
3.18
2.90
2.02
2.86
3.46
10.80
3.28
9.42
80.00
MUFG
5.23
5.62
4.19
4.49
4.88
4.12
4.93
4.91
3.92
4.68
3.94
1.26
1.34
14.23
4.12
3.67
2.36
11.19
3.89
1.19
4.49
1.36
85.77
BNP
4.99
5.00
3.90
4.17
4.30
3.89
4.74
4.46
3.98
4.26
3.84
1.79
1.26
3.88
12.84
6.97
2.15
3.83
8.27
1.06
9.26
1.15
87.16
UBSG
4.74
4.84
3.75
4.90
4.50
3.55
4.90
4.32
3.78
4.62
3.61
1.76
1.60
3.83
7.87
14.44
1.99
3.84
6.84
1.24
7.63
1.44
85.56
ITUB
4.26
4.69
4.32
4.15
4.35
3.73
5.05
4.21
3.73
4.01
4.05
1.70
1.96
3.77
3.51
2.93
24.85
3.80
3.68
1.69
3.58
1.96
75.15
SMFG
5.24
5.35
4.28
4.58
5.17
4.16
5.05
5.08
4.11
4.68
4.14
1.47
1.33
11.10
3.88
3.52
2.30
13.95
3.90
1.32
4.15
1.27
86.05
SAN
5.13
5.19
4.21
3.90
3.97
3.88
4.88
4.67
3.60
4.22
3.91
1.43
1.34
3.74
8.94
6.49
2.54
3.71
13.83
1.08
7.92
1.43
86.17
NAB
3.62
3.57
3.68
3.58
3.64
3.57
3.38
3.50
3.42
3.28
3.48
1.72
9.65
2.85
3.33
2.93
2.19
2.82
3.51
17.85
3.92
10.50
82.15
1–20 of 26 rows
Show




Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 202378808284868890929496
TCITCI Last DataRolling Windows TCI (150)DateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023020406080100120140
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023020406080100120140
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−20020406080100120
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−20020406080100120
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023020406080100120
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023405060708090100110
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 202390100110120130
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023708090100110120130140
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 20236080100120140
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 202360708090100110120130140150
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 20236080100120140160
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 202320406080100
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−60−40−20020406080100
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−20020406080100120
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−20020406080100120
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−20020406080100
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−60−40−20020406080100
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−20020406080100120
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−20020406080100120
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−60−40−20020406080100
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−20020406080100120140
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−60−40−20020406080100
ToFromNetTo, From & NetDateIndex


JPM: JPMorgan Chase & Co
BAC: Bank of America Corp
WFC: Wells Fargo & Company
MS: Morgan Stanley
GS: Goldman Sachs Group Inc
SCHW: Charles Schwab Corp
C: Citigroup Inc
USB: U.S. Bancorp
RY: Royal Bank of Canada
TD: Toronto Dominion Bank
BNS: Bank of Nova Scotia
HDFC: HDFC Bank Limited
CBA: Commonwealth Bank Of Australia
MUFG: Mitsubishi UFJ Financial Group Inc ADRs
BNP: BNP Paribas
UBSG: UBS Group AG
ITUB: Itau Unibanco Banco Holding SA
SMFG: Sumitomo Mitsui Financial Group Inc
SAN: Banco Santander
NAB: National Australia Bank Ltd
INGA: ING Groep NV
WBC: Westpac Banking Corp


Connectedness Table: Connectedness table proves central for understanding the various connectedness measures and ther relationships. Its main upper-left NxN block contains the variance decomposition (variance decomposition matrix). From a connectedness perspective, they measure pairwise directional connectedness. The connectedness table makes clear how one begin with the most disaggregated connectedness measures and aggregate them in a various ways to obtain macroeconomic economy-wide total directional and total connectedness.
Pairwise Connectedness Graph: Pairwise Connected Graph is a stringball representation of pairwise directional connectedness.
Net Pairwise Connectedness Graph: Net Pairwise Connected Graph is a stringball representation of net pairwise directional connectedness.
Total Connectedness Index: Total Connectedness Index express the total cross-variance contribution as a percent of total variance.
Plot TO: Dynamic total directional connectedness plot.
Plot FROM: Dynamic from total directional connectedness plot.
Plot NET: Dynamic net total directional connectedness plot.


Volatility Analysis

JPM
BAC
WFC
MS
GS
SCHW
C
USB
RY
TD
BNS
HDFC
CBA
MUFG
BNP
UBSG
ITUB
SMFG
SAN
NAB
INGA
WBC
FROM
JPM
10.26
7.94
5.02
5.90
5.97
4.67
6.27
6.04
5.58
5.14
4.72
2.08
1.50
3.27
3.30
3.97
2.50
4.12
2.02
2.40
4.77
2.56
89.74
BAC
8.27
11.72
5.62
6.27
6.65
5.02
6.84
6.35
4.79
4.19
3.75
2.02
1.54
2.50
3.14
4.01
2.31
3.49
1.82
2.68
4.42
2.61
88.28
WFC
6.04
6.76
14.80
5.34
5.10
4.60
5.75
6.31
3.85
3.40
3.78
2.41
2.21
2.95
3.31
3.86
2.95
4.10
1.86
2.85
4.31
3.48
85.20
MS
6.57
8.33
4.76
12.24
8.12
4.59
6.14
6.33
4.69
4.22
4.02
1.90
1.59
3.40
2.71
4.07
2.84
3.47
1.62
2.34
3.74
2.30
87.76
GS
6.70
7.92
5.36
7.79
11.74
4.08
6.71
5.76
5.25
4.45
3.92
1.85
1.47
3.34
2.77
3.95
2.79
3.79
1.83
2.49
3.89
2.15
88.26
SCHW
6.01
5.23
4.58
5.30
5.31
15.47
5.48
5.77
4.73
4.46
3.74
2.68
1.78
3.49
3.34
4.58
2.94
3.43
2.41
1.99
5.09
2.17
84.53
C
7.99
7.74
5.24
6.21
5.96
5.37
11.33
6.33
4.87
4.36
4.48
2.29
1.42
2.94
2.92
4.16
3.12
3.12
1.89
2.48
3.70
2.08
88.67
USB
6.96
6.81
5.25
5.80
6.88
5.90
6.06
12.44
5.10
4.80
4.36
2.55
1.23
2.58
3.40
3.62
2.00
3.65
1.60
2.53
4.22
2.26
87.56
RY
3.96
4.70
3.56
4.11
3.38
4.56
3.40
4.88
15.57
7.14
8.28
3.40
1.96
2.91
3.10
5.37
3.33
3.69
2.76
2.27
4.67
3.00
84.43
TD
5.10
4.99
3.13
4.32
3.46
4.55
3.15
5.20
8.08
12.54
8.41
3.83
1.94
2.74
3.11
4.63
3.35
3.67
2.43
2.90
4.61
3.85
87.46
BNS
4.31
4.42
3.22
3.99
2.92
4.67
3.16
4.45
8.40
7.34
13.73
3.74
2.57
3.55
3.07
4.84
2.78
4.22
2.79
2.86
5.73
3.21
86.27
HDFC
3.74
4.66
2.82
3.76
2.72
2.97
3.28
4.49
3.53
4.55
4.90
22.53
2.24
2.93
3.27
3.76
3.51
5.00
3.61
3.59
4.72
3.42
77.47
CBA
2.99
3.88
2.68
4.39
2.53
2.59
2.72
3.12
3.90
3.57
4.22
3.91
17.91
4.43
2.81
4.55
3.01
4.50
2.62
7.74
3.85
8.07
82.09
MUFG
3.78
4.28
3.70
4.98
3.90
3.66
3.35
3.02
3.40
3.73
4.40
2.85
2.77
15.62
3.78
5.69
5.23
5.86
2.99
4.64
5.86
2.53
84.38
BNP
5.62
4.28
3.07
2.96
2.91
5.58
4.13
4.95
3.45
3.29
4.23
3.01
1.74
2.08
12.99
7.56
2.07
2.88
7.54
3.14
10.02
2.50
87.01
UBSG
5.00
4.78
3.31
3.50
3.38
4.96
3.77
4.54
3.88
3.72
4.84
2.94
2.25
2.28
5.97
15.86
2.50
2.95
5.56
3.38
7.24
3.37
84.14
ITUB
3.69
4.39
5.85
5.31
4.36
3.58
3.70
3.01
4.80
5.20
5.03
3.60
2.72
2.15
3.41
4.03
18.18
2.24
3.48
4.40
3.39
3.48
81.82
SMFG
4.59
5.08
3.43
4.14
4.25
3.52
3.99
3.88
3.86
4.47
5.29
4.01
2.72
4.97
3.66
6.78
3.30
12.51
3.39
3.82
5.53
2.81
87.49
SAN
4.56
3.96
3.18
3.33
3.08
5.52
3.85
4.79
3.70
3.24
4.39
2.79
2.38
1.75
8.33
8.35
2.96
2.81
12.90
2.73
8.19
3.22
87.10
NAB
2.57
3.40
2.73
4.05
2.41
2.57
2.71
3.32
3.32
4.56
4.10
3.90
8.24
2.54
3.05
3.14
4.45
3.07
2.46
19.15
3.99
10.25
80.85
1–20 of 26 rows
Show




Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023788082848688909294
TCITCI Last DataRolling Windows TCI (150)DateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−50050100150200250
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−50050100150200250300
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−50050100150
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−50050100150200250
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−50050100150
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023050100150200250300350400
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 202320406080100120140160180200
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 202350100150200250300
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023050100150200250300
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 202350100150200250
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 202350100150200250
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 20230100200300400500
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−100−50050100150
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−100−50050100150200
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−50050100150200250300
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−50050100150200250300
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−100−50050100150200250
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−100−50050100150200
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−50050100150
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−50050100150200250
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−50050100150200250
ToFromNetTo, From & NetDateIndex


Jan 2020Jul 2020Jan 2021Jul 2021Jan 2022Jul 2022Jan 2023Jul 2023−100−50050100150200250
ToFromNetTo, From & NetDateIndex


JPM: JPMorgan Chase & Co
BAC: Bank of America Corp
WFC: Wells Fargo & Company
MS: Morgan Stanley
GS: Goldman Sachs Group Inc
SCHW: Charles Schwab Corp
C: Citigroup Inc
USB: U.S. Bancorp
RY: Royal Bank of Canada
TD: Toronto Dominion Bank
BNS: Bank of Nova Scotia
HDFC: HDFC Bank Limited
CBA: Commonwealth Bank Of Australia
MUFG: Mitsubishi UFJ Financial Group Inc ADRs
BNP: BNP Paribas
UBSG: UBS Group AG
ITUB: Itau Unibanco Banco Holding SA
SMFG: Sumitomo Mitsui Financial Group Inc
SAN: Banco Santander
NAB: National Australia Bank Ltd
INGA: ING Groep NV
WBC: Westpac Banking Corp


Connectedness Table: Connectedness table proves central for understanding the various connectedness measures and ther relationships. Its main upper-left NxN block contains the variance decomposition (variance decomposition matrix). From a connectedness perspective, they measure pairwise directional connectedness. The connectedness table makes clear how one begin with the most disaggregated connectedness measures and aggregate them in a various ways to obtain macroeconomic economy-wide total directional and total connectedness.
Pairwise Connectedness Graph: Pairwise Connected Graph is a stringball representation of pairwise directional connectedness.
Net Pairwise Connectedness Graph: Net Pairwise Connected Graph is a stringball representation of net pairwise directional connectedness.
Total Connectedness Index: Total Connectedness Index express the total cross-variance contribution as a percent of total variance.
Plot TO: Dynamic total directional connectedness plot.
Plot FROM: Dynamic from total directional connectedness plot.
Plot NET: Dynamic net total directional connectedness plot.