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Model risk of risk models

G491BT10 / INVESCO LTD


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 1.39 1.63 1.43 1.49 1.28 1.46 1.22 1.36
max 3.61 4.25 5.67 6.53 3.32 3.78 5.31 5.90
mean 1.94 2.28 2.49 2.66 1.75 2.03 2.25 2.44
st.dev. 0.51 0.60 0.76 0.81 0.47 0.54 0.78 0.78
Q5% 1.48 1.73 1.61 1.71 1.34 1.55 1.44 1.56
Q50% 1.71 2.01 2.32 2.52 1.53 1.78 2.02 2.23
Q95% 2.98 3.51 3.89 3.93 2.71 3.12 3.89 3.89


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 1.42 1.64 1.14 1.14 1.32 1.48 1.11 1.14
max 5.77 7.00 7.28 7.07 5.91 6.11 7.52 7.07
mean 2.54 3.04 2.35 2.45 2.34 2.68 2.35 2.36
st.dev. 1.08 1.32 0.91 0.94 1.03 1.15 0.94 0.90
Q5% 1.53 1.78 1.30 1.38 1.43 1.59 1.29 1.33
Q50% 2.16 2.56 2.18 2.26 1.96 2.26 2.16 2.18
Q95% 4.97 6.05 3.93 4.24 4.77 5.27 3.98 3.95


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 3367.00 3367.00 3358.00 3358.00 3367.00 3367.00 3358.00 3358.00
min 1.12 1.18 1.08 1.08 1.07 1.13 1.04 1.08
max 5.77 7.00 18.49 29.33 5.91 6.11 14.20 22.05
mean 2.05 2.36 2.28 2.67 1.91 2.13 2.10 2.36
st.dev. 0.71 0.86 0.88 1.27 0.67 0.75 0.75 0.98
Q5% 1.33 1.49 1.34 1.45 1.24 1.38 1.25 1.35
Q50% 1.84 2.09 2.15 2.43 1.71 1.91 1.99 2.20
Q95% 3.45 4.01 3.57 4.56 3.29 3.62 3.20 3.81