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Model risk of risk models

61531840 / MONUMENTAL CORP


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 32.00 32.00 23.00 23.00 32.00 32.00 23.00 23.00
min 3.68 4.24 7.30 6.58 2.89 4.19 7.86 7.11
max 46.43 66.01 13.01 14.16 42.92 52.74 12.28 13.22
mean 10.61 14.69 9.93 9.64 9.91 12.01 10.14 9.83
st.dev. 10.66 14.31 1.43 1.70 9.80 12.18 1.33 1.46
Q5% 4.16 4.42 7.95 7.47 3.48 4.31 8.24 7.84
Q50% 6.42 9.96 9.60 9.46 6.11 7.45 9.95 9.59
Q95% 35.83 46.99 12.07 12.51 33.00 40.89 12.02 12.09