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Model risk of risk models

D1819089 / DEUTSCHE BANK A G


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 1.20 1.33 1.10 1.06 1.11 1.23 1.09 1.07
max 6.18 7.02 9.59 12.05 6.18 6.40 10.33 9.59
mean 2.75 3.11 2.92 3.09 2.61 2.84 2.89 2.92
st.dev. 1.34 1.54 1.54 1.75 1.34 1.39 1.57 1.56
Q5% 1.39 1.55 1.29 1.28 1.30 1.43 1.29 1.28
Q50% 2.17 2.42 2.47 2.52 2.01 2.24 2.45 2.44
Q95% 5.39 6.11 6.31 6.54 5.43 5.58 6.28 6.35


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 1830.00 1830.00 1821.00 1821.00 1830.00 1830.00 1821.00 1821.00
min 1.20 1.31 1.07 1.06 1.11 1.22 1.05 1.06
max 6.18 7.02 9.59 12.05 6.18 6.40 10.33 9.59
mean 2.13 2.39 2.97 3.48 2.00 2.19 2.58 3.01
st.dev. 0.80 0.92 1.36 1.72 0.79 0.84 1.15 1.40
Q5% 1.35 1.48 1.48 1.52 1.26 1.37 1.35 1.48
Q50% 1.91 2.13 2.57 3.02 1.79 1.96 2.30 2.62
Q95% 3.71 4.23 5.85 6.99 3.39 3.85 4.83 5.98