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Model risk of risk models

22743010 / CROSS & TRECKER CORP


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 803.00 803.00 794.00 794.00 803.00 803.00 794.00 794.00
min 2.76 4.11 1.17 1.17 2.18 3.19 1.18 1.16
max 18.62 30.29 4.33 4.57 14.13 22.50 4.34 4.32
mean 5.80 9.47 2.11 2.13 4.40 7.02 2.08 2.11
st.dev. 1.75 2.99 0.59 0.61 1.31 2.17 0.60 0.60
Q5% 3.64 5.59 1.31 1.31 2.83 4.27 1.26 1.30
Q50% 5.53 9.05 1.99 2.00 4.18 6.71 1.96 1.99
Q95% 8.88 14.58 3.09 3.15 6.72 10.78 3.07 3.10