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Model risk of risk models

69440210 / PACIFIC HOLDING 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 611.00 611.00 611.00 611.00 611.00 611.00 611.00 611.00
min 1.39 1.71 1.05 1.10 1.27 1.48 1.05 1.07
max 5.33 6.87 8.21 12.43 4.65 5.78 6.44 9.57
mean 2.08 2.55 2.17 2.22 1.84 2.21 2.17 2.18
st.dev. 0.54 0.68 0.80 0.92 0.49 0.58 0.77 0.83
Q5% 1.58 1.92 1.24 1.26 1.40 1.68 1.25 1.25
Q50% 1.95 2.39 2.05 2.09 1.72 2.07 2.06 2.06
Q95% 2.95 3.61 3.49 3.51 2.74 3.13 3.49 3.49