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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	6.02	10.11	1.83	2.43	5.03	7.39	1.64	2.16
max	31.20	49.80	56.26	88.66	25.97	36.91	75.30	66.87
mean	11.76	19.75	5.19	7.15	9.83	14.44	6.49	5.43
st.dev.	4.65	7.53	6.99	10.92	3.85	5.56	9.53	8.24
Q5%	6.73	11.29	1.83	3.40	5.63	8.26	1.83	2.17
Q50%	11.43	19.51	3.02	3.86	9.62	14.22	3.55	3.02
Q95%	20.38	33.59	9.56	14.08	17.60	24.79	13.76	9.76

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	2.06	2.90	1.73	2.38	1.68	2.32	1.13	1.87
max	35.37	61.56	16.64	21.96	26.56	44.31	13.99	18.23
mean	9.40	15.84	4.20	6.48	7.09	11.57	3.06	4.66
st.dev.	9.21	16.27	2.13	3.59	6.85	11.63	1.64	2.44
Q5%	4.04	6.40	1.77	2.56	3.11	4.82	1.30	2.04
Q50%	5.01	7.96	3.52	5.31	3.83	5.98	2.74	4.04
Q95%	32.27	56.19	7.50	13.12	24.06	40.43	5.67	8.65

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	2592.00	2592.00	2583.00	2583.00	2592.00	2592.00	2583.00	2583.00
min	1.97	2.88	1.20	1.09	1.61	2.32	1.06	1.18
max	35.37	61.56	56.26	88.66	26.56	44.31	75.30	66.87
mean	6.86	11.36	3.43	4.77	5.37	8.37	2.87	3.71
st.dev.	4.29	7.66	2.44	4.51	3.30	5.45	2.13	2.91
Q5%	2.62	3.66	1.45	1.45	2.15	2.94	1.36	1.45
Q50%	5.54	9.00	2.63	3.03	4.27	6.68	2.41	2.72
Q95%	13.80	23.82	7.90	13.72	11.06	17.19	5.52	9.10