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Model risk of risk models

03091810 / AMERICUS TR BRISTOL MEYERS CO


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 14.00 14.00 5.00 5.00 14.00 14.00 5.00 5.00
min 2.15 3.03 2.58 3.73 1.58 2.28 2.22 2.96
max 2.56 3.61 2.91 4.20 1.88 2.72 2.51 3.33
mean 2.34 3.31 2.80 4.04 1.72 2.49 2.41 3.20
st.dev. 0.10 0.15 0.15 0.21 0.08 0.11 0.13 0.17
Q5% 2.19 3.08 2.61 3.76 1.60 2.32 2.24 2.99
Q50% 2.34 3.32 2.88 4.16 1.71 2.49 2.48 3.30
Q95% 2.49 3.51 2.91 4.20 1.82 2.64 2.51 3.33


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 218.00 218.00 209.00 209.00 218.00 218.00 209.00 209.00
min 2.15 3.03 2.33 3.33 1.58 2.28 2.00 2.67
max 8.66 17.60 8.93 14.43 5.99 11.07 8.93 10.09
mean 5.03 8.33 4.70 6.51 3.86 5.84 4.15 5.27
st.dev. 1.70 3.77 1.39 2.15 1.31 2.25 1.35 1.62
Q5% 2.42 3.42 2.91 3.80 1.76 2.57 2.50 3.29
Q50% 4.92 7.35 4.47 6.28 4.04 5.60 3.87 4.90
Q95% 8.15 16.55 7.50 11.07 5.63 10.41 6.75 8.80