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Model risk of risk models

24240V10 / DEAN WITTER DISCOVER & 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 79.00 79.00 70.00 70.00 79.00 79.00 70.00 70.00
min 1.21 1.26 1.14 1.16 1.12 1.21 1.09 1.13
max 2.19 2.29 4.05 5.81 2.09 2.19 3.69 4.60
mean 1.42 1.50 1.97 2.00 1.37 1.43 1.92 1.97
st.dev. 0.16 0.17 0.60 0.72 0.16 0.16 0.57 0.63
Q5% 1.25 1.29 1.26 1.28 1.22 1.25 1.19 1.24
Q50% 1.38 1.49 1.82 1.83 1.33 1.40 1.81 1.81
Q95% 1.76 1.87 2.96 2.97 1.68 1.78 2.96 2.96