Week Ending December 18th

 

Risk has reached new highs for nearly every major asset class, with the exception of Long Term Treasuries (TLT) whose tail risk as declined for the second straight week in a row. As deflated prices for oil drove default concern for US oil companies, US Corporate High Yield Debt (HYG) saw further increases in tail risk surpassing Long Term Treasuries to become the most risky fixed income asset.

                                                          RISK OF EXTREME LOSS BY ASSET CLASS (CVaR)