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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	7.05	11.11	1.60	1.60	5.43	8.38	1.60	1.60
max	42.30	69.87	9.58	9.84	34.55	51.52	9.79	9.64
mean	18.49	30.33	3.43	3.48	14.63	22.44	3.44	3.44
st.dev.	9.41	15.64	1.49	1.55	7.63	11.50	1.52	1.50
Q5%	7.82	12.62	1.88	1.88	5.95	9.42	1.88	1.88
Q50%	17.56	28.38	3.08	3.08	13.83	21.20	3.09	3.08
Q95%	35.79	58.23	5.98	6.10	28.16	43.54	5.91	6.00

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	904.00	904.00	895.00	895.00	904.00	904.00	895.00	895.00
min	1.14	1.58	1.09	1.12	1.32	1.25	1.08	1.10
max	55.73	80.17	15.97	15.97	46.92	58.73	15.97	15.97
mean	8.90	14.13	2.89	2.96	7.35	10.51	3.00	2.88
st.dev.	7.27	11.58	1.85	1.86	6.05	8.47	1.96	1.84
Q5%	2.93	4.52	1.31	1.38	2.41	3.43	1.37	1.32
Q50%	6.56	10.34	2.42	2.46	5.46	7.75	2.45	2.42
Q95%	24.32	40.14	6.51	6.82	19.88	29.12	6.75	6.56