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Model risk of risk models

66813710 / NORTHWESTERN MUT LF MG A RLTY IN


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 32.00 32.00 23.00 23.00 32.00 32.00 23.00 23.00
min 1.22 1.32 1.11 1.11 1.16 1.25 1.13 1.11
max 2.14 2.27 4.25 6.10 2.03 2.15 3.42 4.83
mean 1.39 1.48 1.87 1.97 1.32 1.40 1.85 1.89
st.dev. 0.24 0.25 0.74 1.06 0.22 0.24 0.62 0.83
Q5% 1.23 1.33 1.13 1.14 1.17 1.25 1.15 1.14
Q50% 1.29 1.38 1.63 1.63 1.23 1.31 1.64 1.63
Q95% 2.01 2.14 3.19 3.38 1.91 2.03 3.10 3.19


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 339.00 339.00 339.00 339.00 339.00 339.00 339.00 339.00
min 1.22 1.29 1.09 1.09 1.15 1.22 1.07 1.09
max 4.88 5.28 6.58 6.58 4.57 4.94 6.58 6.58
mean 1.45 1.54 2.02 2.03 1.38 1.46 2.02 2.02
st.dev. 0.35 0.36 1.07 1.08 0.34 0.35 1.05 1.07
Q5% 1.23 1.31 1.21 1.22 1.16 1.24 1.21 1.21
Q50% 1.37 1.47 1.69 1.69 1.29 1.39 1.69 1.69
Q95% 2.10 2.15 4.56 4.56 2.10 2.10 4.56 4.56


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 623.00 623.00 614.00 614.00 623.00 623.00 614.00 614.00
min 1.20 1.28 1.07 1.08 1.15 1.22 1.05 1.07
max 4.88 5.28 6.58 6.58 4.57 4.94 6.58 6.58
mean 1.45 1.55 1.97 1.98 1.39 1.47 1.97 1.97
st.dev. 0.29 0.31 0.89 0.91 0.28 0.29 0.87 0.89
Q5% 1.23 1.32 1.21 1.21 1.17 1.25 1.21 1.21
Q50% 1.38 1.47 1.73 1.74 1.32 1.40 1.74 1.73
Q95% 1.93 2.08 3.96 4.00 1.86 1.98 3.86 3.93