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Model risk of risk models

31944110 / FIRST CHARTER FINL CORP


1977-05-14 to 1977-10-14
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 12.00 12.00 12.00 12.00 12.00 12.00 12.00 12.00
min 1.85 2.22 2.06 2.44 1.67 1.95 1.99 2.18
max 2.13 2.36 2.68 3.16 2.12 2.14 2.60 2.84
mean 1.96 2.30 2.31 2.73 1.88 2.03 2.23 2.45
st.dev. 0.09 0.05 0.24 0.28 0.18 0.06 0.24 0.25
Q5% 1.85 2.22 2.09 2.47 1.67 1.95 2.02 2.22
Q50% 1.97 2.31 2.21 2.61 1.96 2.03 2.13 2.34
Q95% 2.09 2.35 2.68 3.16 2.08 2.11 2.60 2.83


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 864.00 864.00 864.00 864.00 864.00 864.00 864.00 864.00
min 1.57 1.86 1.13 1.14 1.41 1.63 1.08 1.12
max 4.52 5.62 7.47 10.05 3.92 4.83 7.46 8.25
mean 2.19 2.68 2.38 2.53 1.97 2.32 2.20 2.34
st.dev. 0.44 0.55 0.81 0.87 0.40 0.47 0.75 0.80
Q5% 1.71 2.09 1.31 1.36 1.51 1.82 1.26 1.30
Q50% 2.11 2.60 2.29 2.47 1.88 2.24 2.13 2.28
Q95% 3.11 3.83 3.62 3.86 2.77 3.29 3.36 3.52