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Model risk of risk models

03095410 / AMERICAN INFORMATION TECHS CORP


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 1.41 1.65 1.12 1.16 1.30 1.47 1.10 1.13
max 2.23 2.61 9.58 15.26 2.28 2.33 7.34 11.45
mean 1.67 2.02 2.02 2.23 1.56 1.75 1.95 2.07
st.dev. 0.15 0.22 0.87 1.34 0.17 0.16 0.71 1.02
Q5% 1.46 1.72 1.28 1.34 1.35 1.53 1.30 1.29
Q50% 1.65 1.97 1.87 2.05 1.53 1.73 1.85 1.89
Q95% 1.92 2.42 2.77 2.91 1.90 2.01 2.75 2.78


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 817.00 817.00 808.00 808.00 817.00 817.00 808.00 808.00
min 1.41 1.65 1.11 1.16 1.30 1.47 1.10 1.13
max 2.46 3.48 15.52 24.69 2.30 2.73 11.90 18.54
mean 1.81 2.23 2.11 2.48 1.63 1.92 1.99 2.21
st.dev. 0.23 0.35 1.11 1.77 0.19 0.26 0.86 1.32
Q5% 1.53 1.82 1.30 1.39 1.41 1.60 1.27 1.32
Q50% 1.76 2.16 1.92 2.15 1.59 1.86 1.85 1.97
Q95% 2.26 2.93 3.01 3.56 2.01 2.42 2.82 3.23