--- title: Firms layout: default ---

Model risk of risk models

78464A76 / SPDR SERIES TRUST


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 792.00 792.00 783.00 783.00 792.00 792.00 783.00 783.00
min 1.25 1.52 1.32 1.44 1.12 1.32 1.28 1.36
max 5.71 7.01 7.90 8.98 4.91 6.00 7.45 8.22
mean 2.91 3.54 3.54 3.94 2.53 3.05 3.37 3.65
st.dev. 0.96 1.19 1.35 1.49 0.83 1.02 1.29 1.39
Q5% 1.37 1.65 1.68 1.88 1.24 1.44 1.61 1.74
Q50% 2.93 3.58 3.47 3.87 2.53 3.07 3.30 3.59
Q95% 4.55 5.57 5.86 6.48 3.94 4.78 5.64 6.07