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Model risk of risk models

05534B76 / B C E INC


1998-08-14 to 1998-11-14
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 65.00 65.00 65.00 65.00 65.00 65.00 65.00 65.00
min 2.15 2.51 1.50 1.47 1.99 2.25 1.51 1.48
max 4.56 5.31 13.01 19.93 4.12 4.76 10.15 15.25
mean 3.21 3.73 2.73 2.84 2.91 3.35 2.69 2.76
st.dev. 0.63 0.73 1.50 2.29 0.55 0.65 1.20 1.75
Q5% 2.19 2.55 1.57 1.55 2.05 2.29 1.61 1.56
Q50% 3.19 3.71 2.49 2.49 2.87 3.33 2.49 2.49
Q95% 4.40 5.07 3.97 4.03 3.98 4.58 3.97 3.98


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 1883.00 1883.00 1874.00 1874.00 1883.00 1883.00 1874.00 1874.00
min 1.33 1.47 1.07 1.08 1.24 1.36 1.06 1.08
max 4.56 5.31 28.02 45.86 4.12 4.76 21.12 33.44
mean 1.75 2.01 2.21 2.31 1.61 1.82 2.17 2.23
st.dev. 0.39 0.46 1.21 1.76 0.36 0.41 1.00 1.37
Q5% 1.43 1.62 1.27 1.29 1.31 1.48 1.26 1.27
Q50% 1.63 1.88 2.02 2.05 1.49 1.70 2.01 2.03
Q95% 2.38 2.75 3.53 3.60 2.24 2.48 3.45 3.56