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Model risk of risk models

84444710 / SOUTHLAND FINANCIAL CORP


1987-10-19 to 1988-01-19
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 64.00 64.00 64.00 64.00 64.00 64.00 64.00 64.00
min 7.05 11.11 1.60 1.60 5.43 8.38 1.60 1.60
max 42.30 69.87 9.58 9.84 34.55 51.52 9.79 9.64
mean 18.49 30.33 3.43 3.48 14.63 22.44 3.44 3.44
st.dev. 9.41 15.64 1.49 1.55 7.63 11.50 1.52 1.50
Q5% 7.82 12.62 1.88 1.88 5.95 9.42 1.88 1.88
Q50% 17.56 28.38 3.08 3.08 13.83 21.20 3.09 3.08
Q95% 35.79 58.23 5.98 6.10 28.16 43.54 5.91 6.00


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 904.00 904.00 895.00 895.00 904.00 904.00 895.00 895.00
min 1.14 1.58 1.09 1.12 1.32 1.25 1.08 1.10
max 55.73 80.17 15.97 15.97 46.92 58.73 15.97 15.97
mean 8.90 14.13 2.89 2.96 7.35 10.51 3.00 2.88
st.dev. 7.27 11.58 1.85 1.86 6.05 8.47 1.96 1.84
Q5% 2.93 4.52 1.31 1.38 2.41 3.43 1.37 1.32
Q50% 6.56 10.34 2.42 2.46 5.46 7.75 2.45 2.42
Q95% 24.32 40.14 6.51 6.82 19.88 29.12 6.75 6.56