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Model risk of risk models

31933610 / FIRST BOSTON INC


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 1.62 1.88 1.55 2.05 1.55 1.69 1.49 1.80
max 6.48 7.47 11.98 11.98 6.91 6.66 11.98 11.98
mean 2.73 3.03 4.19 5.06 2.80 2.79 4.48 4.27
st.dev. 1.06 1.25 2.61 2.65 1.11 1.09 2.68 2.54
Q5% 1.72 1.98 1.61 2.79 1.67 1.78 1.90 1.81
Q50% 2.44 2.67 3.35 3.92 2.60 2.44 3.40 3.37
Q95% 4.60 5.43 9.63 9.78 4.58 4.82 9.77 9.63


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 376.00 376.00 367.00 367.00 376.00 376.00 367.00 367.00
min 1.46 1.75 1.18 1.16 1.29 1.54 1.19 1.17
max 6.48 7.47 11.98 11.98 6.91 6.66 11.98 11.98
mean 2.02 2.39 2.87 4.31 1.89 2.12 2.55 3.18
st.dev. 0.59 0.67 1.53 2.27 0.66 0.60 1.54 1.62
Q5% 1.57 1.82 1.50 1.66 1.42 1.64 1.29 1.66
Q50% 1.86 2.23 2.37 3.67 1.69 1.96 2.21 2.68
Q95% 2.93 3.26 5.04 9.07 3.10 3.07 5.39 5.97