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Model risk of risk models

03215910 / AMREP CORP


1998-08-14 to 1998-11-14
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 65.00 65.00 65.00 65.00 65.00 65.00 65.00 65.00
min 1.54 1.87 1.30 1.30 1.36 1.63 1.37 1.30
max 3.29 4.00 4.99 5.87 3.02 3.48 4.99 5.08
mean 1.90 2.32 2.45 2.46 1.72 2.02 2.51 2.45
st.dev. 0.39 0.47 0.97 1.02 0.37 0.41 0.94 0.98
Q5% 1.56 1.90 1.47 1.47 1.40 1.66 1.54 1.47
Q50% 1.72 2.10 2.24 2.22 1.57 1.83 2.27 2.22
Q95% 2.70 3.31 4.49 4.48 2.47 2.87 4.46 4.49


2001-03-14 to 2001-11-14
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 168.00 168.00 168.00 168.00 168.00 168.00 168.00 168.00
min 2.29 3.26 1.12 1.14 1.85 2.59 1.12 1.12
max 8.39 12.63 2.89 2.84 6.80 9.49 2.94 2.87
mean 3.84 5.57 2.13 2.14 3.08 4.39 2.15 2.13
st.dev. 1.24 1.91 0.41 0.40 0.98 1.46 0.44 0.41
Q5% 2.38 3.39 1.43 1.45 1.93 2.69 1.42 1.42
Q50% 3.63 5.32 2.09 2.10 2.91 4.19 2.12 2.09
Q95% 6.34 9.76 2.77 2.75 4.93 7.42 2.86 2.77


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 1.72 2.08 1.12 1.16 1.52 1.82 1.10 1.15
max 18.40 29.67 16.29 24.16 14.15 22.13 13.11 18.73
mean 4.75 7.07 2.44 2.57 3.84 5.49 2.42 2.46
st.dev. 2.11 3.51 1.20 1.52 1.61 2.57 1.11 1.30
Q5% 2.72 3.84 1.34 1.41 2.22 3.09 1.33 1.34
Q50% 4.31 6.27 2.16 2.26 3.50 4.92 2.13 2.16
Q95% 7.69 11.82 4.22 4.55 6.31 8.93 4.22 4.30


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 3962.00 3962.00 3953.00 3953.00 3962.00 3962.00 3953.00 3953.00
min 1.31 1.51 1.04 1.05 1.19 1.36 1.06 1.04
max 34.74 53.29 16.29 24.16 28.67 39.47 13.11 18.73
mean 4.00 5.89 2.73 2.94 3.29 4.61 2.62 2.73
st.dev. 2.63 4.48 1.30 1.61 2.07 3.23 1.16 1.33
Q5% 1.64 1.95 1.30 1.33 1.47 1.72 1.28 1.30
Q50% 3.21 4.33 2.40 2.48 2.78 3.56 2.36 2.40
Q95% 8.63 13.87 5.28 6.06 6.89 10.29 4.82 5.29