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Model risk of risk models

25766110 / DONALDSON LUFKIN & JEN INC NEW


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 269.00 269.00 260.00 260.00 269.00 269.00 260.00 260.00
min 1.32 1.45 1.17 1.48 1.23 1.35 1.09 1.22
max 28.37 32.15 36.06 38.75 28.25 29.70 39.93 35.22
mean 2.38 2.63 2.70 3.10 2.31 2.45 2.63 2.76
st.dev. 3.29 3.66 2.33 2.48 3.35 3.43 2.58 2.28
Q5% 1.33 1.47 1.34 1.62 1.24 1.37 1.26 1.40
Q50% 1.60 1.77 2.31 2.74 1.52 1.64 2.17 2.42
Q95% 3.11 3.49 4.94 4.90 3.01 3.22 4.94 4.94