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Model risk of risk models

41014210 / HANCOCK JOHN INVS TR


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 1.27 1.44 1.24 1.21 1.17 1.32 1.19 1.22
max 2.22 2.56 3.86 4.68 2.14 2.30 3.40 4.09
mean 1.66 1.90 2.04 2.29 1.55 1.73 1.91 2.10
st.dev. 0.20 0.23 0.50 0.67 0.22 0.21 0.43 0.55
Q5% 1.39 1.58 1.37 1.44 1.28 1.44 1.30 1.43
Q50% 1.66 1.91 1.97 2.11 1.52 1.73 1.84 2.00
Q95% 2.03 2.32 2.90 3.48 2.02 2.11 2.56 3.05


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 1.37 1.56 1.33 1.40 1.26 1.42 1.15 1.35
max 13.10 15.30 9.25 11.35 12.24 13.69 9.12 9.29
mean 2.46 2.90 2.68 2.93 2.35 2.57 2.60 2.73
st.dev. 1.35 1.55 1.20 1.46 1.40 1.40 1.14 1.27
Q5% 1.48 1.71 1.41 1.50 1.34 1.55 1.35 1.42
Q50% 2.02 2.39 2.42 2.59 1.85 2.11 2.37 2.48
Q95% 4.91 5.77 4.71 5.18 4.98 5.14 4.66 4.86


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 3071.00 3071.00 3062.00 3062.00 3071.00 3071.00 3062.00 3062.00
min 1.27 1.39 1.06 1.05 1.17 1.30 1.06 1.05
max 13.10 15.30 14.74 23.88 12.24 13.69 11.21 17.77
mean 1.96 2.53 2.41 2.75 1.72 2.11 2.27 2.50
st.dev. 0.75 1.20 1.06 1.45 0.65 0.87 0.95 1.17
Q5% 1.35 1.50 1.31 1.35 1.26 1.39 1.24 1.34
Q50% 1.71 2.08 2.11 2.34 1.54 1.81 2.01 2.17
Q95% 3.30 5.10 4.31 5.01 2.69 3.77 4.06 4.43