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Model risk of risk models

80218310 / SANTA FE SOUTHN PAC CORP


1987-10-19 to 1988-01-19
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 12.00 12.00 3.00 3.00 12.00 12.00 3.00 3.00
min 1.42 1.80 1.38 1.43 1.52 1.48 1.43 1.38
max 1.73 2.18 1.84 1.97 2.01 1.80 1.84 1.84
mean 1.53 1.97 1.54 1.61 1.73 1.58 1.58 1.54
st.dev. 0.10 0.12 0.26 0.31 0.15 0.10 0.23 0.26
Q5% 1.43 1.80 1.38 1.43 1.54 1.48 1.43 1.38
Q50% 1.54 1.95 1.41 1.43 1.73 1.56 1.46 1.41
Q95% 1.68 2.15 1.80 1.91 1.95 1.75 1.80 1.80


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 331.00 331.00 322.00 322.00 331.00 331.00 322.00 322.00
min 1.33 1.57 1.13 1.35 1.25 1.37 1.08 1.17
max 2.07 2.61 3.24 3.99 2.32 2.14 3.24 3.34
mean 1.47 1.93 1.92 2.24 1.53 1.56 1.81 1.96
st.dev. 0.11 0.23 0.52 0.66 0.19 0.13 0.47 0.53
Q5% 1.35 1.63 1.26 1.47 1.29 1.40 1.18 1.29
Q50% 1.45 1.88 1.82 2.03 1.51 1.54 1.74 1.85
Q95% 1.65 2.37 2.91 3.50 1.86 1.80 2.68 2.98