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Model risk of risk models

06384010 / BANK NEW ENGLAND CORP


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 1.86 2.20 1.56 1.57 1.65 1.99 1.54 1.55
max 8.19 10.23 7.75 7.96 7.96 8.78 8.18 7.74
mean 3.33 4.03 3.52 3.62 3.27 3.52 3.66 3.52
st.dev. 1.50 1.97 1.55 1.62 1.41 1.64 1.59 1.56
Q5% 1.92 2.33 2.05 2.09 1.84 2.05 2.14 2.05
Q50% 2.88 3.20 2.88 2.87 2.89 2.98 3.05 2.87
Q95% 6.72 8.58 6.67 7.28 6.27 7.26 7.23 6.58


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 95.00 95.00 95.00 95.00 95.00 95.00 95.00 95.00
min 1.63 2.24 1.59 2.09 1.34 1.80 1.31 1.70
max 20.40 25.88 11.56 11.22 23.81 21.99 11.83 11.48
mean 4.17 5.26 3.57 4.04 4.58 4.48 3.34 3.63
st.dev. 3.35 4.39 2.19 2.21 3.97 3.66 2.28 2.18
Q5% 1.75 2.39 1.61 2.11 1.58 1.92 1.37 1.72
Q50% 3.18 3.55 2.92 3.20 3.66 3.26 2.74 2.99
Q95% 11.18 14.33 8.18 8.75 13.03 12.10 8.14 8.20


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 1100.00 1100.00 1091.00 1091.00 1100.00 1100.00 1091.00 1091.00
min 1.47 1.90 1.09 1.10 1.20 1.57 1.07 1.09
max 20.40 25.88 11.56 11.22 23.81 21.99 11.83 11.48
mean 2.62 3.50 2.77 3.43 2.47 2.86 2.54 2.95
st.dev. 1.68 2.12 1.48 1.80 1.92 1.82 1.41 1.53
Q5% 1.59 2.18 1.27 1.35 1.40 1.75 1.23 1.35
Q50% 2.12 2.88 2.42 2.88 1.87 2.32 2.23 2.53
Q95% 5.50 7.40 5.74 6.66 5.46 6.11 5.29 5.92