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Model risk of risk models

92290855 / VANGUARD INDEX 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 184.00 184.00 175.00 175.00 184.00 184.00 175.00 175.00
min 1.28 1.46 1.13 1.13 1.25 1.34 1.13 1.13
max 5.51 6.00 9.65 14.68 5.18 5.63 7.69 11.27
mean 3.09 3.28 3.22 3.46 2.97 3.14 3.18 3.26
st.dev. 1.00 1.07 1.50 1.66 0.95 1.02 1.46 1.55
Q5% 1.60 1.68 1.64 1.95 1.58 1.62 1.57 1.69
Q50% 2.84 3.03 2.92 3.07 2.73 2.88 2.89 2.93
Q95% 4.87 5.16 6.66 6.83 4.67 4.94 6.67 6.72


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 1078.00 1078.00 1069.00 1069.00 1078.00 1078.00 1069.00 1069.00
min 1.26 1.39 1.13 1.13 1.21 1.31 1.13 1.13
max 8.21 9.41 9.65 14.68 7.84 8.62 7.69 11.27
mean 3.24 3.66 3.46 4.34 3.07 3.37 2.98 3.66
st.dev. 1.43 1.66 1.27 1.67 1.33 1.49 1.09 1.37
Q5% 1.46 1.65 1.72 2.04 1.40 1.53 1.53 1.80
Q50% 3.02 3.41 3.39 4.13 2.89 3.16 2.90 3.53
Q95% 5.74 6.88 5.60 7.07 5.30 6.14 4.87 5.98