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Model risk of risk models

30390110 / FAIRFAX FINL HOLDINGS LTD


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 1.92 2.53 1.12 1.12 1.64 2.10 1.11 1.11
max 10.27 14.28 9.84 11.20 9.96 11.38 9.43 10.11
mean 3.26 4.65 2.43 2.50 2.79 3.70 2.43 2.44
st.dev. 1.37 2.15 1.24 1.32 1.24 1.62 1.23 1.25
Q5% 2.06 2.76 1.25 1.25 1.75 2.27 1.26 1.24
Q50% 2.74 3.79 2.14 2.15 2.40 3.06 2.15 2.14
Q95% 5.67 8.93 4.60 4.62 4.98 6.77 4.63 4.60


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 756.00 756.00 747.00 747.00 756.00 756.00 747.00 747.00
min 1.69 2.12 1.08 1.09 1.47 1.82 1.10 1.08
max 10.27 14.28 9.84 11.20 9.96 11.38 9.43 10.11
mean 2.89 4.04 2.37 2.45 2.46 3.24 2.37 2.38
st.dev. 1.09 1.73 1.02 1.09 0.98 1.30 1.02 1.04
Q5% 1.94 2.51 1.27 1.29 1.65 2.11 1.27 1.27
Q50% 2.55 3.56 2.17 2.22 2.14 2.86 2.17 2.17
Q95% 5.03 7.52 3.63 3.80 4.23 5.78 3.73 3.68