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Model risk of risk models

04042010 / ARISTAR INC


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 394.00 394.00 394.00 394.00 394.00 394.00 394.00 394.00
min 1.52 1.81 1.06 1.10 1.35 1.60 1.04 1.06
max 8.43 10.07 6.35 6.35 8.08 8.79 7.34 6.35
mean 2.38 2.84 2.18 2.25 2.19 2.49 2.16 2.14
st.dev. 0.93 1.15 0.97 0.98 0.89 0.99 1.07 0.97
Q5% 1.57 1.89 1.25 1.26 1.40 1.66 1.17 1.25
Q50% 2.09 2.42 1.89 1.94 1.92 2.14 1.87 1.85
Q95% 4.35 5.36 4.14 4.25 3.98 4.63 4.39 4.14