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Model risk of risk models

69147110 / OXFORD HEALTH PLANS INC


1998-08-14 to 1998-11-14
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 65.00 65.00 65.00 65.00 65.00 65.00 65.00 65.00
min 1.63 2.05 1.84 2.14 1.58 1.75 1.70 1.74
max 6.47 8.40 7.39 10.64 6.48 7.04 6.03 7.92
mean 2.74 3.50 3.12 3.46 2.74 2.96 2.89 3.09
st.dev. 1.04 1.37 1.43 1.82 1.03 1.14 1.14 1.43
Q5% 1.74 2.21 1.86 2.14 1.74 1.87 1.76 1.77
Q50% 2.37 3.04 2.47 2.59 2.43 2.55 2.39 2.48
Q95% 5.05 6.57 6.50 7.83 5.05 5.50 5.20 6.35


2001-03-14 to 2001-11-14
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 168.00 168.00 168.00 168.00 168.00 168.00 168.00 168.00
min 1.81 2.27 1.98 2.08 1.57 1.95 1.58 1.92
max 4.21 5.55 8.85 9.58 3.68 4.60 6.75 8.21
mean 2.75 3.57 4.11 4.45 2.38 2.99 3.19 3.83
st.dev. 0.52 0.71 1.62 1.75 0.43 0.58 1.20 1.48
Q5% 2.02 2.47 2.14 2.29 1.88 2.12 1.82 2.08
Q50% 2.63 3.42 3.80 4.11 2.27 2.87 2.91 3.53
Q95% 3.86 5.07 7.48 8.09 3.35 4.22 5.70 6.94


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 2271.00 2271.00 2262.00 2262.00 2271.00 2271.00 2262.00 2262.00
min 1.26 1.59 1.08 1.07 1.25 1.37 1.06 1.08
max 16.49 15.30 12.07 16.64 18.00 14.26 12.07 12.43
mean 2.07 2.52 2.96 3.31 1.96 2.18 2.52 2.88
st.dev. 0.68 0.81 1.36 1.67 0.71 0.68 1.04 1.29
Q5% 1.52 1.79 1.46 1.55 1.37 1.59 1.39 1.48
Q50% 1.91 2.34 2.61 2.84 1.81 2.02 2.31 2.57
Q95% 3.07 3.82 5.72 6.68 2.96 3.24 4.18 5.44