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Model risk of risk models

57629710 / MASSMUTUAL INCOME INVS INC


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 47.00 47.00 38.00 38.00 47.00 47.00 38.00 38.00
min 1.18 1.26 1.13 1.09 1.15 1.20 1.13 1.11
max 1.59 1.68 2.12 2.12 1.71 1.60 2.12 2.12
mean 1.29 1.40 1.56 1.55 1.31 1.32 1.57 1.56
st.dev. 0.10 0.10 0.24 0.25 0.13 0.10 0.24 0.25
Q5% 1.20 1.29 1.17 1.14 1.17 1.21 1.18 1.15
Q50% 1.26 1.38 1.60 1.59 1.27 1.29 1.60 1.60
Q95% 1.54 1.65 1.94 1.94 1.62 1.57 1.94 1.94


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 489.00 489.00 480.00 480.00 489.00 489.00 480.00 480.00
min 1.14 1.23 1.10 1.07 1.15 1.13 1.12 1.09
max 2.33 2.34 2.44 2.64 2.56 2.25 2.32 2.48
mean 1.33 1.44 1.56 1.57 1.34 1.34 1.56 1.56
st.dev. 0.12 0.14 0.22 0.23 0.13 0.12 0.21 0.22
Q5% 1.19 1.27 1.22 1.21 1.21 1.20 1.23 1.22
Q50% 1.31 1.40 1.56 1.57 1.30 1.32 1.56 1.56
Q95% 1.53 1.71 1.96 1.98 1.55 1.55 1.94 1.96