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Model risk of risk models

1987-10-19 to 1988-01-19
	Non-overlapping, 99% VaR	Non-overlapping, 99% ES	10-day overlapping, 99% VaR	10-day overlapping, 99% ES	Non-overlapping, 97.5% VaR	Non-overlapping, 97.5% ES	10-day overlapping, 97.5% VaR	10-day overlapping, 97.5% ES
obs	64.00	64.00	64.00	64.00	64.00	64.00	64.00	64.00
min	1.86	2.20	1.56	1.57	1.65	1.99	1.54	1.55
max	8.19	10.23	7.75	7.96	7.96	8.78	8.18	7.74
mean	3.33	4.03	3.52	3.62	3.27	3.52	3.66	3.52
st.dev.	1.50	1.97	1.55	1.62	1.41	1.64	1.59	1.56
Q5%	1.92	2.33	2.05	2.09	1.84	2.05	2.14	2.05
Q50%	2.88	3.20	2.88	2.87	2.89	2.98	3.05	2.87
Q95%	6.72	8.58	6.67	7.28	6.27	7.26	7.23	6.58

1990-07-14 to 1991-03-14
	Non-overlapping, 99% VaR	Non-overlapping, 99% ES	10-day overlapping, 99% VaR	10-day overlapping, 99% ES	Non-overlapping, 97.5% VaR	Non-overlapping, 97.5% ES	10-day overlapping, 97.5% VaR	10-day overlapping, 97.5% ES
obs	95.00	95.00	95.00	95.00	95.00	95.00	95.00	95.00
min	1.63	2.24	1.59	2.09	1.34	1.80	1.31	1.70
max	20.40	25.88	11.56	11.22	23.81	21.99	11.83	11.48
mean	4.17	5.26	3.57	4.04	4.58	4.48	3.34	3.63
st.dev.	3.35	4.39	2.19	2.21	3.97	3.66	2.28	2.18
Q5%	1.75	2.39	1.61	2.11	1.58	1.92	1.37	1.72
Q50%	3.18	3.55	2.92	3.20	3.66	3.26	2.74	2.99
Q95%	11.18	14.33	8.18	8.75	13.03	12.10	8.14	8.20

1974-01-01 to 2012-12-31
	Non-overlapping, 99% VaR	Non-overlapping, 99% ES	10-day overlapping, 99% VaR	10-day overlapping, 99% ES	Non-overlapping, 97.5% VaR	Non-overlapping, 97.5% ES	10-day overlapping, 97.5% VaR	10-day overlapping, 97.5% ES
obs	1100.00	1100.00	1091.00	1091.00	1100.00	1100.00	1091.00	1091.00
min	1.47	1.90	1.09	1.10	1.20	1.57	1.07	1.09
max	20.40	25.88	11.56	11.22	23.81	21.99	11.83	11.48
mean	2.62	3.50	2.77	3.43	2.47	2.86	2.54	2.95
st.dev.	1.68	2.12	1.48	1.80	1.92	1.82	1.41	1.53
Q5%	1.59	2.18	1.27	1.35	1.40	1.75	1.23	1.35
Q50%	2.12	2.88	2.42	2.88	1.87	2.32	2.23	2.53
Q95%	5.50	7.40	5.74	6.66	5.46	6.11	5.29	5.92