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Model risk of risk models

44974410 / I N A 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 2.11 2.30 1.78 1.74 1.97 2.18 1.75 1.73
max 3.34 3.59 5.83 5.50 3.33 3.44 5.89 5.61
mean 2.57 2.81 3.00 2.94 2.54 2.65 2.95 2.91
st.dev. 0.34 0.36 0.91 0.87 0.34 0.35 0.90 0.87
Q5% 2.15 2.38 1.93 1.91 2.08 2.23 1.89 1.89
Q50% 2.47 2.68 2.94 2.87 2.47 2.55 2.90 2.85
Q95% 3.14 3.44 4.91 4.80 3.09 3.26 4.82 4.76


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 1.41 1.54 1.18 1.34 1.36 1.42 1.09 1.21
max 2.81 3.21 5.95 5.77 2.84 2.92 6.10 5.91
mean 1.79 2.02 2.54 2.59 1.73 1.84 2.62 2.54
st.dev. 0.29 0.34 1.01 1.00 0.32 0.31 0.99 1.01
Q5% 1.49 1.65 1.34 1.37 1.41 1.51 1.46 1.33
Q50% 1.69 1.92 2.34 2.35 1.62 1.75 2.44 2.34
Q95% 2.35 2.70 4.32 4.32 2.35 2.44 4.32 4.32


1981-07-14 to 1982-11-14
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 182.00 182.00 182.00 182.00 182.00 182.00 182.00 182.00
min 1.24 1.35 1.08 1.10 1.16 1.26 1.14 1.08
max 2.14 2.35 9.55 15.30 2.02 2.20 7.30 11.45
mean 1.48 1.63 2.02 2.14 1.40 1.52 2.03 2.03
st.dev. 0.17 0.18 0.79 1.16 0.16 0.17 0.66 0.90
Q5% 1.29 1.42 1.23 1.24 1.20 1.32 1.26 1.23
Q50% 1.46 1.59 1.88 1.97 1.37 1.48 1.89 1.86
Q95% 1.78 1.94 2.82 3.01 1.67 1.81 2.83 2.82


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 2084.00 2084.00 2084.00 2084.00 2084.00 2084.00 2084.00 2084.00
min 1.20 1.30 1.05 1.07 1.13 1.23 1.05 1.02
max 3.49 4.18 9.55 15.30 3.33 3.68 7.30 11.45
mean 1.74 1.99 2.20 2.27 1.62 1.81 2.17 2.18
st.dev. 0.35 0.41 0.80 0.89 0.35 0.37 0.74 0.80
Q5% 1.35 1.50 1.25 1.29 1.26 1.39 1.27 1.24
Q50% 1.64 1.88 2.06 2.10 1.52 1.70 2.04 2.04
Q95% 2.40 2.78 3.62 3.73 2.31 2.51 3.40 3.55