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Model risk of risk models

03958310 / ARCHSTONE SMITH TRUST


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 1.59 1.92 1.65 1.65 1.62 1.68 1.84 1.65
max 3.89 4.72 8.08 12.19 3.66 4.12 7.32 9.29
mean 2.51 3.02 2.95 3.09 2.30 2.65 3.09 2.99
st.dev. 0.51 0.63 1.16 1.70 0.45 0.55 1.09 1.31
Q5% 1.88 2.24 1.81 1.81 1.77 1.98 1.99 1.81
Q50% 2.41 2.91 2.60 2.60 2.22 2.55 2.75 2.59
Q95% 3.49 4.22 4.69 5.89 3.12 3.69 4.87 4.83


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 1.49 1.86 1.08 1.28 1.38 1.59 1.12 1.12
max 2.59 3.24 8.25 12.61 2.28 2.77 6.63 9.53
mean 1.98 2.46 1.98 2.38 1.76 2.11 1.92 2.10
st.dev. 0.24 0.32 0.87 1.32 0.21 0.26 0.69 1.02
Q5% 1.63 1.98 1.22 1.32 1.43 1.72 1.25 1.24
Q50% 1.98 2.45 1.84 2.12 1.75 2.11 1.77 1.92
Q95% 2.37 3.02 2.72 3.37 2.10 2.53 2.61 2.93


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 3740.00 3740.00 3731.00 3731.00 3740.00 3740.00 3731.00 3731.00
min 1.11 1.32 1.06 1.05 1.06 1.16 1.07 1.05
max 5.80 7.20 14.28 22.05 5.49 6.20 11.87 16.71
mean 1.74 2.05 2.07 2.28 1.59 1.82 2.02 2.11
st.dev. 0.37 0.49 0.90 1.31 0.34 0.40 0.77 1.02
Q5% 1.25 1.42 1.22 1.28 1.17 1.28 1.22 1.23
Q50% 1.69 1.99 1.92 2.04 1.54 1.77 1.90 1.93
Q95% 2.35 2.90 3.25 3.61 2.13 2.50 3.16 3.33