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Model risk of risk models

84473010 / SOUTHTRUST CORP


1998-08-14 to 1998-11-14
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 65.00 65.00 65.00 65.00 65.00 65.00 65.00 65.00
min 1.91 2.02 1.31 1.32 1.83 1.94 1.32 1.30
max 2.83 3.13 4.97 5.79 2.70 2.91 4.63 5.13
mean 2.42 2.67 2.56 2.59 2.27 2.49 2.58 2.55
st.dev. 0.22 0.25 0.74 0.80 0.20 0.23 0.74 0.75
Q5% 2.10 2.30 1.67 1.67 1.97 2.16 1.69 1.65
Q50% 2.47 2.73 2.43 2.42 2.31 2.54 2.55 2.42
Q95% 2.76 3.02 3.97 3.99 2.57 2.83 3.98 3.97


2001-03-14 to 2001-11-14
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 168.00 168.00 168.00 168.00 168.00 168.00 168.00 168.00
min 1.21 1.30 1.08 1.08 1.15 1.24 1.10 1.06
max 2.04 2.22 3.46 4.14 2.02 2.11 3.27 3.65
mean 1.47 1.59 2.01 2.04 1.42 1.51 1.97 1.98
st.dev. 0.19 0.21 0.44 0.48 0.20 0.21 0.43 0.45
Q5% 1.24 1.34 1.41 1.42 1.18 1.27 1.39 1.39
Q50% 1.43 1.56 1.94 1.97 1.38 1.47 1.90 1.91
Q95% 1.95 2.12 2.81 2.80 1.93 2.01 2.75 2.80


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 2808.00 2808.00 2799.00 2799.00 2808.00 2808.00 2799.00 2799.00
min 1.17 1.26 1.07 1.05 1.11 1.19 1.04 1.05
max 3.88 4.37 11.23 16.68 3.67 4.01 8.65 12.94
mean 1.77 2.00 2.27 2.37 1.67 1.84 2.21 2.27
st.dev. 0.38 0.44 0.84 1.14 0.37 0.39 0.73 0.92
Q5% 1.31 1.44 1.32 1.32 1.24 1.35 1.33 1.30
Q50% 1.71 1.94 2.15 2.21 1.60 1.77 2.11 2.14
Q95% 2.44 2.80 3.69 3.90 2.33 2.54 3.51 3.67