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Model risk of risk models

14743R10 / CASE 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 1.56 1.70 1.82 1.82 1.56 1.58 1.82 1.82
max 3.16 3.53 4.68 4.68 3.08 3.25 4.68 4.68
mean 2.27 2.53 2.65 2.65 2.19 2.34 2.65 2.65
st.dev. 0.43 0.48 0.71 0.71 0.40 0.44 0.71 0.71
Q5% 1.64 1.80 1.95 1.95 1.62 1.66 1.95 1.95
Q50% 2.34 2.62 2.33 2.33 2.19 2.41 2.33 2.33
Q95% 2.92 3.25 4.43 4.43 2.84 3.00 4.43 4.43


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 361.00 361.00 352.00 352.00 361.00 361.00 352.00 352.00
min 1.21 1.41 1.28 1.29 1.17 1.25 1.28 1.28
max 4.39 5.72 7.01 7.01 3.85 4.82 7.01 7.01
mean 2.07 2.46 2.84 2.87 1.95 2.18 2.88 2.86
st.dev. 0.63 0.84 1.05 1.07 0.54 0.70 1.08 1.07
Q5% 1.30 1.49 1.40 1.42 1.28 1.36 1.39 1.40
Q50% 1.96 2.34 2.68 2.72 1.83 2.07 2.67 2.70
Q95% 3.49 4.54 4.66 4.71 3.08 3.83 4.73 4.70