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Model risk of risk models

04621X10 / ASSURANT INC


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 347.00 347.00 338.00 338.00 347.00 347.00 338.00 338.00
min 1.31 1.46 1.06 1.18 1.30 1.35 1.10 1.09
max 8.62 10.51 8.97 9.31 8.52 9.15 8.72 9.05
mean 3.22 3.96 2.75 3.00 2.94 3.43 2.67 2.76
st.dev. 1.59 1.97 1.48 1.54 1.49 1.70 1.44 1.49
Q5% 1.63 1.95 1.33 1.39 1.51 1.72 1.36 1.33
Q50% 2.74 3.40 2.30 2.57 2.39 2.92 2.24 2.30
Q95% 6.81 8.36 6.05 6.40 6.26 7.23 5.88 6.10


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 1241.00 1241.00 1232.00 1232.00 1241.00 1241.00 1232.00 1232.00
min 1.31 1.46 1.06 1.18 1.28 1.35 1.10 1.09
max 8.62 10.51 9.82 12.30 8.52 9.15 8.72 9.65
mean 2.97 3.63 4.10 5.12 2.59 3.12 3.01 4.07
st.dev. 1.09 1.35 1.79 2.36 0.99 1.15 1.19 1.76
Q5% 1.67 2.00 1.59 1.69 1.49 1.73 1.47 1.57
Q50% 2.87 3.48 3.85 4.82 2.45 2.98 2.79 3.80
Q95% 4.66 5.70 7.28 9.27 4.06 4.88 5.11 7.21