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Model risk of risk models

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  4. 03092010 / AMERICUS TR FOR GENL ELECTRIC CO

03092010 / AMERICUS TR FOR GENL ELECTRIC CO

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 275.00 275.00 266.00 266.00 275.00 275.00 266.00 266.00
min 1.52 1.84 1.28 1.33 1.38 1.60 1.28 1.28
max 4.04 4.89 6.48 12.52 3.71 4.32 4.87 8.10
mean 2.26 2.95 3.01 4.16 2.02 2.48 2.59 3.31
st.dev. 0.58 0.82 1.16 2.43 0.53 0.66 0.77 1.50
Q5% 1.62 1.95 1.53 1.62 1.43 1.72 1.47 1.53
Q50% 2.13 2.75 2.79 3.30 1.90 2.33 2.61 2.97
Q95% 3.32 4.29 5.41 8.58 3.04 3.66 4.14 6.30