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Model risk of risk models

65142610 / NEWHALL LAND & FARMING CO CAL


1990-07-14 to 1991-03-14
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 169.00 169.00 169.00 169.00 169.00 169.00 169.00 169.00
min 1.54 1.99 1.16 1.46 1.58 1.61 1.05 1.26
max 6.32 10.15 7.98 8.27 6.27 7.59 8.36 7.86
mean 2.51 3.28 2.43 2.78 2.41 2.71 2.46 2.49
st.dev. 0.82 1.17 1.10 1.20 0.82 0.91 1.08 1.11
Q5% 1.90 2.46 1.38 1.61 1.62 2.06 1.35 1.41
Q50% 2.16 2.77 2.12 2.48 2.17 2.27 2.16 2.17
Q95% 4.09 5.55 4.53 4.91 3.95 4.55 4.80 4.61


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 2069.00 2069.00 2060.00 2060.00 2069.00 2069.00 2060.00 2060.00
min 1.32 1.52 1.08 1.12 1.21 1.36 1.05 1.08
max 9.18 14.50 11.82 19.47 7.07 10.93 8.85 13.95
mean 2.27 2.92 2.31 2.81 2.00 2.46 2.31 2.46
st.dev. 0.87 1.44 0.80 1.36 0.68 1.05 0.76 0.93
Q5% 1.57 1.84 1.37 1.44 1.40 1.63 1.37 1.40
Q50% 1.97 2.43 2.19 2.48 1.77 2.10 2.19 2.30
Q95% 4.07 5.80 3.60 5.65 3.41 4.61 3.57 4.03