--- title: Firms layout: default ---

Model risk of risk models

55293910 / M F S GOVERNMENT MARKETS INC TR


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 1.30 1.62 1.30 1.41 1.19 1.36 1.16 1.29
max 8.99 10.87 12.20 14.71 9.41 9.51 11.74 12.90
mean 3.03 3.69 2.70 3.08 2.81 3.20 2.79 2.77
st.dev. 1.45 1.78 1.31 1.50 1.43 1.55 1.46 1.35
Q5% 1.54 1.68 1.57 1.60 1.46 1.55 1.38 1.57
Q50% 2.66 3.27 2.33 2.73 2.39 2.85 2.33 2.37
Q95% 6.01 7.21 4.75 5.97 5.71 6.34 5.33 5.02


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 2338.00 2338.00 2329.00 2329.00 2338.00 2338.00 2329.00 2329.00
min 1.27 1.45 1.13 1.15 1.18 1.30 1.08 1.15
max 8.99 10.87 12.20 14.71 9.41 9.51 11.74 12.90
mean 2.32 2.97 2.50 3.24 1.94 2.44 2.21 2.66
st.dev. 0.91 1.25 0.96 1.69 0.79 0.98 0.84 1.11
Q5% 1.40 1.62 1.38 1.43 1.29 1.45 1.30 1.39
Q50% 2.06 2.66 2.30 2.64 1.72 2.15 2.08 2.38
Q95% 3.79 5.23 4.16 6.47 3.17 4.09 3.60 4.65