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Model risk of risk models

22029110 / CORROON & BLACK CORP


1977-05-14 to 1977-10-14
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 106.00 106.00 106.00 106.00 106.00 106.00 106.00 106.00
min 2.20 2.88 1.19 1.28 1.86 2.40 1.11 1.16
max 2.96 3.90 4.51 4.77 2.49 3.24 3.95 4.37
mean 2.45 3.26 2.56 2.73 2.06 2.69 2.26 2.49
st.dev. 0.17 0.25 0.80 0.87 0.14 0.19 0.66 0.77
Q5% 2.25 2.94 1.31 1.35 1.89 2.45 1.23 1.27
Q50% 2.42 3.19 2.59 2.77 2.04 2.65 2.24 2.52
Q95% 2.78 3.74 3.80 4.04 2.31 3.08 3.31 3.68


1980-01-14 to 1980-07-14
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 127.00 127.00 127.00 127.00 127.00 127.00 127.00 127.00
min 1.37 1.60 1.15 1.37 1.23 1.43 1.16 1.19
max 2.18 2.57 4.18 5.07 1.95 2.29 3.84 4.34
mean 1.65 1.94 2.09 2.35 1.49 1.73 2.01 2.14
st.dev. 0.15 0.19 0.74 0.91 0.13 0.16 0.67 0.77
Q5% 1.47 1.71 1.26 1.38 1.33 1.54 1.26 1.29
Q50% 1.64 1.94 1.85 1.94 1.48 1.73 1.79 1.87
Q95% 1.93 2.29 3.49 3.87 1.72 2.03 3.33 3.49


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 1909.00 1909.00 1909.00 1909.00 1909.00 1909.00 1909.00 1909.00
min 1.37 1.55 1.07 1.13 1.23 1.42 1.07 1.08
max 5.16 7.87 39.97 57.21 4.04 6.04 32.63 43.03
mean 2.36 3.11 2.44 2.70 2.01 2.58 2.32 2.48
st.dev. 0.62 1.01 1.47 2.18 0.46 0.75 1.19 1.65
Q5% 1.49 1.71 1.29 1.36 1.35 1.55 1.28 1.29
Q50% 2.35 3.14 2.20 2.32 1.98 2.59 2.13 2.20
Q95% 3.44 4.80 3.81 4.05 2.83 3.85 3.64 3.77