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Model risk of risk models

09247X10 / BLACKROCK INC


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 1.79 2.14 1.22 1.18 1.58 1.88 1.21 1.20
max 6.56 8.12 12.53 16.76 6.03 7.01 10.36 13.90
mean 3.12 3.79 2.61 2.63 2.84 3.29 2.64 2.61
st.dev. 0.84 1.07 1.29 1.48 0.74 0.91 1.25 1.34
Q5% 2.05 2.47 1.41 1.42 1.88 2.15 1.41 1.40
Q50% 2.88 3.53 2.29 2.26 2.65 3.05 2.32 2.28
Q95% 4.79 5.92 5.06 5.03 4.27 5.11 5.27 5.07


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 2332.00 2332.00 2323.00 2323.00 2332.00 2332.00 2323.00 2323.00
min 1.34 1.49 1.11 1.06 1.24 1.38 1.06 1.09
max 6.56 8.12 14.43 20.42 6.03 7.01 11.73 16.20
mean 2.30 2.73 2.44 2.62 2.06 2.40 2.34 2.47
st.dev. 0.64 0.80 0.97 1.26 0.58 0.68 0.87 1.04
Q5% 1.59 1.81 1.37 1.38 1.42 1.64 1.36 1.37
Q50% 2.16 2.56 2.29 2.40 1.93 2.24 2.22 2.29
Q95% 3.57 4.21 3.88 4.28 3.22 3.67 3.64 3.94