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Model risk of risk models

88634810 / TICOR


1977-05-14 to 1977-10-14
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 106.00 106.00 106.00 106.00 106.00 106.00 106.00 106.00
min 2.04 2.56 1.69 1.69 1.79 2.18 1.69 1.69
max 3.04 3.77 4.47 6.91 2.66 3.21 3.48 5.26
mean 2.46 3.05 2.18 2.21 2.16 2.60 2.17 2.19
st.dev. 0.22 0.27 0.33 0.54 0.19 0.23 0.27 0.39
Q5% 2.15 2.66 1.76 1.76 1.88 2.27 1.76 1.76
Q50% 2.46 3.04 2.16 2.16 2.16 2.60 2.16 2.16
Q95% 2.82 3.49 2.49 2.49 2.46 2.97 2.49 2.49


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 1403.00 1403.00 1403.00 1403.00 1403.00 1403.00 1403.00 1403.00
min 1.59 1.67 1.07 1.08 1.35 1.72 1.04 1.06
max 7.97 11.65 12.05 15.54 6.58 9.13 11.19 13.07
mean 2.46 3.12 2.31 2.38 2.16 2.63 2.30 2.31
st.dev. 0.83 1.04 1.16 1.41 0.79 0.87 1.15 1.19
Q5% 1.72 2.11 1.28 1.29 1.52 1.82 1.27 1.27
Q50% 2.26 2.89 2.09 2.10 1.98 2.44 2.08 2.09
Q95% 3.96 4.87 4.20 4.70 3.65 4.19 4.14 4.21