Cédric Gemehl
11 March 2022

Real-Time Crash Risk Indicators

At 15% drawdown in equity markets compared to a market high, the probability of an extension of the drawdown by an additional 20% in the coming year is multiplied by a factor of 4 to reach 20%.

At 30% drawdown, by a factor of 10 to reach 50% (reference “The Snake That Bites Its Own Tail,” published in September 2021).

Risk begets risk.

Here are some crash risk indicators to follow daily in the highly troubled period we are currently experiencing.