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Model risk of risk models

00105510 / A F L A C INC


1980-01-14 to 1980-07-14
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 127.00 127.00 127.00 127.00 127.00 127.00 127.00 127.00
min 1.52 1.76 1.21 1.53 1.39 1.58 1.08 1.24
max 2.95 3.47 3.00 3.72 2.85 3.09 3.33 3.00
mean 1.78 2.09 1.94 2.40 1.67 1.86 1.74 1.98
st.dev. 0.27 0.33 0.52 0.70 0.28 0.29 0.44 0.54
Q5% 1.53 1.77 1.24 1.57 1.42 1.60 1.13 1.27
Q50% 1.68 1.98 1.87 2.24 1.58 1.77 1.70 1.88
Q95% 2.36 2.77 2.76 3.54 2.29 2.47 2.38 2.84


1981-07-14 to 1982-11-14
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 340.00 340.00 340.00 340.00 340.00 340.00 340.00 340.00
min 1.36 1.54 1.23 1.39 1.24 1.40 1.12 1.29
max 2.62 3.20 9.81 14.69 2.43 2.70 7.74 11.37
mean 1.66 1.93 2.30 2.56 1.49 1.71 2.15 2.34
st.dev. 0.25 0.32 0.76 1.08 0.19 0.24 0.62 0.84
Q5% 1.43 1.63 1.34 1.48 1.29 1.47 1.30 1.35
Q50% 1.60 1.84 2.32 2.50 1.45 1.65 2.17 2.34
Q95% 2.29 2.73 3.21 3.79 1.90 2.27 2.97 3.26


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 1.41 1.61 1.51 1.59 1.28 1.46 1.39 1.54
max 4.73 5.46 5.28 5.51 4.41 4.93 5.69 5.30
mean 2.26 2.44 2.97 3.11 2.23 2.30 2.95 2.97
st.dev. 0.82 0.97 1.04 1.05 0.79 0.86 1.11 1.05
Q5% 1.42 1.62 1.66 1.71 1.30 1.48 1.59 1.66
Q50% 2.04 2.10 2.74 2.88 2.08 2.06 2.52 2.73
Q95% 4.08 4.72 4.75 4.84 3.86 4.25 4.86 4.84


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 1.22 1.41 1.04 1.44 1.18 1.26 1.10 1.15
max 2.67 3.04 5.61 6.57 2.75 2.77 5.84 5.77
mean 1.57 1.93 1.94 2.33 1.54 1.65 1.92 1.99
st.dev. 0.24 0.27 0.77 0.91 0.26 0.24 0.71 0.77
Q5% 1.29 1.50 1.15 1.44 1.26 1.34 1.21 1.18
Q50% 1.54 1.94 1.75 2.14 1.47 1.63 1.76 1.84
Q95% 2.00 2.29 3.51 4.17 2.07 2.06 3.02 3.45


1998-08-14 to 1998-11-14
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 65.00 65.00 65.00 65.00 65.00 65.00 65.00 65.00
min 1.47 1.70 2.04 1.86 1.52 1.53 2.16 1.97
max 5.62 6.62 8.59 12.65 5.76 5.89 7.81 9.97
mean 2.56 2.92 3.91 3.99 2.70 2.65 3.89 3.94
st.dev. 0.82 1.02 1.75 2.20 0.84 0.88 1.57 1.89
Q5% 1.51 1.75 2.22 2.05 1.64 1.58 2.28 2.17
Q50% 2.41 2.68 3.23 3.02 2.63 2.47 3.44 3.16
Q95% 4.06 4.80 7.40 8.31 4.10 4.27 7.04 7.73


2001-03-14 to 2001-11-14
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 168.00 168.00 168.00 168.00 168.00 168.00 168.00 168.00
min 1.40 1.59 1.21 1.18 1.27 1.45 1.18 1.18
max 3.68 4.03 6.25 7.24 3.50 3.62 5.54 6.45
mean 1.70 1.93 1.95 1.97 1.55 1.74 1.94 1.95
st.dev. 0.38 0.37 0.60 0.70 0.34 0.34 0.54 0.62
Q5% 1.43 1.64 1.30 1.30 1.30 1.48 1.30 1.30
Q50% 1.59 1.81 1.86 1.86 1.47 1.63 1.86 1.86
Q95% 2.37 2.63 2.49 2.54 2.17 2.37 2.44 2.45


2007-12-14 to 2009-06-14
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 376.00 376.00 376.00 376.00 376.00 376.00 376.00 376.00
min 1.82 2.29 1.19 1.19 1.57 1.95 1.19 1.19
max 10.94 14.37 10.12 10.45 11.86 11.96 11.86 10.20
mean 4.09 5.41 2.92 3.08 3.82 4.48 3.05 2.92
st.dev. 2.23 3.04 1.60 1.81 2.29 2.47 1.78 1.62
Q5% 1.90 2.43 1.37 1.35 1.65 2.05 1.38 1.36
Q50% 3.05 4.06 2.53 2.56 2.90 3.35 2.55 2.53
Q95% 7.79 10.50 6.02 6.44 8.05 8.61 6.51 6.06


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 8727.00 8727.00 8718.00 8718.00 8727.00 8727.00 8718.00 8718.00
min 1.14 1.26 1.04 1.09 1.08 1.17 1.05 1.07
max 10.94 14.37 19.60 28.63 11.86 11.96 15.28 22.67
mean 1.99 2.41 2.34 2.59 1.80 2.09 2.22 2.37
st.dev. 0.89 1.25 1.07 1.37 0.79 0.98 0.94 1.13
Q5% 1.39 1.57 1.30 1.35 1.29 1.43 1.29 1.30
Q50% 1.71 2.00 2.08 2.20 1.58 1.78 2.01 2.09
Q95% 3.79 5.00 4.34 5.21 3.07 4.04 4.01 4.56