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Model risk of risk models

74432010 / PRUDENTIAL FINANCIAL INC


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 1.24 1.57 1.07 1.08 1.22 1.30 1.07 1.08
max 8.92 10.24 36.24 56.76 9.56 9.27 27.99 42.95
mean 3.30 3.77 3.35 3.67 3.09 3.42 3.34 3.39
st.dev. 1.52 1.75 2.45 3.41 1.49 1.59 2.21 2.72
Q5% 1.56 1.78 1.49 1.52 1.48 1.61 1.46 1.51
Q50% 2.95 3.36 2.78 3.12 2.72 3.06 2.76 2.78
Q95% 6.22 7.14 7.22 7.40 6.17 6.47 7.26 7.22


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 1780.00 1780.00 1771.00 1771.00 1780.00 1780.00 1771.00 1771.00
min 1.24 1.49 1.04 1.04 1.22 1.30 1.05 1.04
max 8.92 10.24 36.24 56.76 9.56 9.27 27.99 42.95
mean 3.01 3.46 3.58 4.23 2.64 3.05 3.18 3.69
st.dev. 1.35 1.58 2.07 2.77 1.18 1.37 1.69 2.22
Q5% 1.47 1.66 1.41 1.45 1.36 1.49 1.40 1.41
Q50% 2.60 2.95 3.04 3.55 2.30 2.63 2.70 3.12
Q95% 5.33 6.17 7.39 9.09 4.67 5.39 6.24 7.66