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Model risk of risk models

17312410 / CITIZENS & SOUTHERN CORP GA


1987-10-19 to 1988-01-19
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 64.00 64.00 64.00 64.00 64.00 64.00 64.00 64.00
min 1.63 1.93 1.49 1.70 1.43 1.70 1.27 1.49
max 6.75 8.11 10.06 15.86 6.09 7.13 8.45 11.96
mean 2.54 2.95 3.25 3.71 2.37 2.64 3.04 3.37
st.dev. 1.05 1.31 2.00 2.87 0.93 1.13 1.73 2.26
Q5% 1.64 1.97 1.50 1.70 1.52 1.73 1.39 1.50
Q50% 2.26 2.44 2.32 2.36 2.14 2.31 2.28 2.32
Q95% 4.74 5.71 7.39 10.02 4.32 5.01 5.91 7.94


1990-07-14 to 1991-03-14
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 35.00 35.00 35.00 35.00 35.00 35.00 35.00 35.00
min 1.17 1.51 1.30 1.55 1.32 1.22 1.30 1.34
max 3.54 4.31 3.94 4.60 3.68 3.71 4.00 3.92
mean 2.18 2.62 1.98 2.28 2.27 2.26 1.95 2.03
st.dev. 0.61 0.76 0.63 0.73 0.62 0.65 0.63 0.63
Q5% 1.31 1.56 1.34 1.55 1.41 1.35 1.34 1.37
Q50% 2.15 2.56 1.68 2.11 2.22 2.21 1.71 1.76
Q95% 3.26 4.08 2.99 3.42 3.36 3.43 3.02 3.01


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 1052.00 1052.00 1043.00 1043.00 1052.00 1052.00 1043.00 1043.00
min 1.08 1.50 1.19 1.32 1.21 1.19 1.11 1.21
max 11.79 14.49 12.82 20.73 12.26 12.48 10.70 15.44
mean 2.05 2.58 3.17 3.66 1.89 2.18 2.84 3.25
st.dev. 0.74 0.95 1.46 1.90 0.76 0.79 1.27 1.57
Q5% 1.44 1.78 1.46 1.65 1.35 1.54 1.36 1.49
Q50% 1.92 2.36 2.97 3.41 1.74 2.04 2.60 3.03
Q95% 2.93 3.86 5.71 6.25 2.80 3.19 5.05 5.92