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Model risk of risk models

G9666610 / WILLIS GROUP HOLDINGS PUB LTD CO


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 1.41 1.66 1.05 1.09 1.26 1.48 1.07 1.06
max 7.51 9.01 11.46 18.19 8.32 7.93 8.88 13.55
mean 2.56 3.07 2.50 2.87 2.44 2.70 2.46 2.58
st.dev. 1.13 1.35 1.39 2.05 1.24 1.19 1.22 1.57
Q5% 1.57 1.86 1.25 1.30 1.41 1.65 1.23 1.24
Q50% 2.18 2.61 2.12 2.42 2.00 2.30 2.11 2.17
Q95% 5.11 6.08 4.89 5.90 5.34 5.37 4.86 5.40


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 1905.00 1905.00 1896.00 1896.00 1905.00 1905.00 1896.00 1896.00
min 1.36 1.59 1.05 1.05 1.19 1.43 1.07 1.03
max 7.51 9.01 16.12 25.53 8.32 7.93 12.38 19.21
mean 2.37 3.17 2.59 2.95 2.05 2.58 2.31 2.60
st.dev. 0.77 1.23 1.14 1.64 0.70 0.88 0.91 1.25
Q5% 1.57 1.91 1.37 1.42 1.41 1.65 1.27 1.38
Q50% 2.10 2.64 2.36 2.60 1.86 2.25 2.12 2.35
Q95% 3.75 5.61 4.51 5.17 2.98 4.24 3.80 4.49