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Model risk of risk models

90275010 / U I P 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 173.00 173.00 173.00 173.00 173.00 173.00 173.00 173.00
min 1.22 1.26 1.08 1.19 1.16 1.23 1.15 1.06
max 2.50 2.54 3.12 3.52 2.58 2.50 3.18 3.16
mean 1.39 1.44 1.64 1.74 1.41 1.40 1.63 1.64
st.dev. 0.17 0.16 0.32 0.38 0.19 0.16 0.31 0.32
Q5% 1.23 1.30 1.23 1.33 1.19 1.25 1.23 1.22
Q50% 1.36 1.38 1.59 1.65 1.38 1.35 1.57 1.58
Q95% 1.67 1.76 2.22 2.51 1.73 1.66 2.24 2.24