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Model risk of risk models

78467Y10 / SPDR S & P MIDCAP 400 ETF TRUST


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 1.11 1.26 1.21 1.28 1.08 1.15 1.09 1.17
max 1.86 2.21 4.13 4.13 1.79 1.96 4.13 4.13
mean 1.42 1.60 2.27 2.36 1.36 1.47 2.14 2.24
st.dev. 0.19 0.24 0.64 0.66 0.18 0.20 0.61 0.63
Q5% 1.14 1.26 1.31 1.35 1.10 1.18 1.25 1.30
Q50% 1.43 1.60 2.25 2.36 1.36 1.49 2.11 2.24
Q95% 1.71 2.00 3.33 3.36 1.65 1.79 3.32 3.34


2007-12-14 to 2009-06-14
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 376.00 376.00 376.00 376.00 376.00 376.00 376.00 376.00
min 1.10 1.15 1.26 1.30 1.12 1.12 1.18 1.25
max 5.84 6.41 8.91 9.03 5.56 5.99 8.82 8.94
mean 2.05 2.16 2.56 2.83 2.00 2.07 2.48 2.60
st.dev. 1.00 1.07 1.12 1.24 0.97 1.02 1.12 1.12
Q5% 1.22 1.23 1.41 1.45 1.19 1.23 1.32 1.42
Q50% 1.64 1.75 2.33 2.64 1.62 1.65 2.22 2.33
Q95% 4.41 4.64 4.35 5.38 4.24 4.46 4.34 4.36


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 3446.00 3446.00 3437.00 3437.00 3446.00 3446.00 3437.00 3437.00
min 1.03 1.06 1.04 1.08 1.05 1.03 1.05 1.04
max 5.84 6.41 10.96 17.73 5.56 5.99 8.82 13.20
mean 1.75 1.99 2.39 2.81 1.64 1.81 2.14 2.46
st.dev. 0.62 0.81 0.87 1.17 0.53 0.66 0.74 0.93
Q5% 1.15 1.18 1.31 1.42 1.13 1.16 1.25 1.32
Q50% 1.56 1.72 2.23 2.60 1.50 1.59 2.01 2.29
Q95% 3.03 3.78 4.04 5.06 2.64 3.22 3.50 4.27