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Model risk of risk models

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  4. 62949110 / N Y S E EURONEXT

62949110 / N Y S E EURONEXT

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 716.00 716.00 707.00 707.00 716.00 716.00 707.00 707.00
min 1.44 1.63 1.35 1.40 1.30 1.47 1.21 1.29
max 5.15 6.23 5.54 5.81 4.80 5.45 5.42 5.59
mean 2.67 3.06 2.97 3.13 2.29 2.69 2.64 2.87
st.dev. 0.77 0.88 0.83 0.89 0.66 0.77 0.72 0.80
Q5% 1.56 1.82 1.70 1.76 1.40 1.63 1.57 1.68
Q50% 2.62 3.02 2.96 3.12 2.24 2.64 2.60 2.87
Q95% 3.92 4.49 4.42 4.66 3.37 3.95 3.81 4.23