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Model risk of risk models

91890510 / LLC CORP


1980-01-14 to 1980-07-14
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 126.00 126.00 126.00 126.00 126.00 126.00 126.00 126.00
min 1.38 1.49 1.18 1.08 1.25 1.41 1.24 1.11
max 3.06 3.06 3.28 3.28 2.73 2.93 3.28 3.28
mean 1.77 1.91 1.85 1.80 1.58 1.76 1.89 1.82
st.dev. 0.32 0.34 0.45 0.46 0.28 0.31 0.46 0.46
Q5% 1.45 1.60 1.18 1.12 1.31 1.45 1.24 1.12
Q50% 1.69 1.77 1.87 1.81 1.51 1.64 1.91 1.84
Q95% 2.43 2.50 2.75 2.66 2.18 2.32 2.76 2.67


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 224.00 224.00 215.00 215.00 224.00 224.00 215.00 215.00
min 1.38 1.49 1.18 1.08 1.25 1.41 1.24 1.11
max 3.06 3.06 4.27 3.65 2.73 2.93 4.83 4.10
mean 1.89 2.10 2.29 2.23 1.69 1.91 2.35 2.26
st.dev. 0.31 0.39 0.68 0.68 0.27 0.33 0.71 0.69
Q5% 1.48 1.62 1.21 1.17 1.34 1.47 1.25 1.18
Q50% 1.87 2.07 2.20 2.11 1.66 1.93 2.24 2.18
Q95% 2.43 2.89 3.29 3.25 2.16 2.55 3.33 3.28