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Model risk of risk models

81369Y88 / SECTOR SPDR TRUST


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 1.23 1.33 1.24 1.31 1.11 1.22 1.10 1.29
max 5.31 5.59 8.21 8.21 5.12 5.38 8.21 8.21
mean 1.90 2.03 2.60 2.98 1.80 1.91 2.42 2.66
st.dev. 0.85 0.89 1.13 1.15 0.83 0.86 1.18 1.13
Q5% 1.29 1.37 1.41 1.63 1.17 1.27 1.24 1.43
Q50% 1.54 1.69 2.38 2.70 1.47 1.56 2.09 2.46
Q95% 3.92 4.16 4.90 5.21 3.75 3.98 4.79 4.94


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 2527.00 2527.00 2518.00 2518.00 2527.00 2527.00 2518.00 2518.00
min 1.12 1.22 1.09 1.20 1.09 1.15 1.07 1.12
max 5.31 5.59 11.46 12.49 5.12 5.38 11.32 11.89
mean 2.08 2.52 2.94 3.35 1.87 2.19 2.80 3.06
st.dev. 0.70 0.90 1.20 1.40 0.60 0.75 1.14 1.26
Q5% 1.28 1.40 1.45 1.58 1.20 1.30 1.39 1.47
Q50% 1.88 2.30 2.71 3.10 1.71 1.99 2.59 2.82
Q95% 3.51 4.36 5.07 5.80 2.99 3.68 4.79 5.27