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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	22.00	22.00	13.00	13.00	22.00	22.00	13.00	13.00
min	2.03	2.67	1.26	1.82	1.71	2.22	1.17	1.40
max	5.70	7.67	4.51	6.02	4.82	6.29	4.51	4.64
mean	3.57	4.81	2.41	3.35	2.98	3.94	2.18	2.60
st.dev.	1.04	1.41	0.96	1.29	0.87	1.15	0.94	0.98
Q5%	2.05	2.72	1.29	1.85	1.72	2.25	1.20	1.43
Q50%	3.32	4.56	2.22	3.20	2.74	3.70	2.04	2.47
Q95%	4.81	6.58	3.87	5.14	4.01	5.34	3.87	3.97

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	169.00	169.00	169.00	169.00	169.00	169.00	169.00	169.00
min	1.40	1.61	1.35	1.51	1.31	1.45	1.31	1.41
max	4.62	5.40	10.13	10.00	4.48	4.83	10.25	10.09
mean	2.18	2.55	2.86	3.05	2.08	2.27	2.79	2.91
st.dev.	0.64	0.75	1.58	1.62	0.63	0.67	1.58	1.59
Q5%	1.45	1.66	1.49	1.54	1.36	1.50	1.43	1.49
Q50%	2.02	2.43	2.38	2.48	1.94	2.13	2.33	2.39
Q95%	3.65	4.26	5.81	5.87	3.52	3.82	5.77	5.82

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	2011.00	2011.00	2002.00	2002.00	2011.00	2011.00	2002.00	2002.00
min	1.39	1.60	1.11	1.11	1.28	1.44	1.04	1.11
max	14.92	24.18	19.99	27.80	12.67	17.99	19.99	21.79
mean	2.66	3.26	3.21	3.66	2.42	2.80	3.04	3.32
st.dev.	1.98	2.41	2.28	2.51	1.94	2.04	2.28	2.31
Q5%	1.50	1.77	1.40	1.50	1.37	1.57	1.33	1.45
Q50%	1.99	2.44	2.58	2.98	1.78	2.11	2.38	2.72
Q95%	7.56	8.85	7.73	8.15	7.30	7.73	7.70	7.89