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Model risk of risk models

59456310 / MICHIGAN NATIONAL CORP


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 1181.00 1181.00 1172.00 1172.00 1181.00 1181.00 1172.00 1172.00
min 1.35 1.54 1.16 1.33 1.23 1.40 1.12 1.15
max 24.68 26.30 17.97 25.76 24.81 25.40 17.97 19.21
mean 3.02 3.56 3.65 3.96 2.78 3.16 3.38 3.64
st.dev. 2.86 3.01 2.85 2.97 2.86 2.92 2.88 2.89
Q5% 1.55 1.87 1.55 1.63 1.40 1.64 1.45 1.55
Q50% 2.04 2.56 2.83 3.15 1.80 2.16 2.53 2.83
Q95% 9.98 10.75 10.39 10.62 9.63 10.20 10.39 10.39