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Model risk of risk models

59156R10 / METLIFE 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 1.40 1.62 1.13 -0.13 1.26 1.46 1.22 -0.28
max 11.19 10.10 13.86 89.63 11.60 9.13 18.50 41.45
mean 3.03 3.43 2.93 3.73 3.05 3.09 3.33 3.03
st.dev. 1.82 1.88 1.91 5.15 2.11 1.69 2.63 2.75
Q5% 1.44 1.67 1.32 1.39 1.31 1.50 1.39 1.28
Q50% 2.29 2.62 2.22 2.45 2.09 2.38 2.26 2.22
Q95% 6.23 6.94 6.26 7.87 7.60 6.28 8.65 6.33


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 2203.00 2203.00 2194.00 2194.00 2203.00 2203.00 2194.00 2194.00
min 1.29 1.42 1.13 -0.13 1.21 1.32 1.22 -0.28
max 11.19 10.10 21.03 89.63 11.60 9.13 18.50 41.45
mean 2.44 3.00 3.16 3.76 2.19 2.57 2.94 3.24
st.dev. 1.16 1.43 1.70 2.86 1.14 1.18 1.66 1.96
Q5% 1.38 1.54 1.41 1.58 1.28 1.42 1.43 1.40
Q50% 2.00 2.41 2.58 2.92 1.83 2.09 2.36 2.59
Q95% 4.54 5.76 6.38 7.74 3.99 4.86 5.93 6.59