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Model risk of risk models

39350510 / GREEN TREE FINANCIAL CORP


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 169.00 169.00 169.00 169.00 169.00 169.00 169.00 169.00
min 1.66 2.13 1.29 1.37 1.45 1.80 1.08 1.24
max 4.14 5.28 4.64 4.64 3.91 4.47 4.72 4.64
mean 2.29 2.94 2.38 2.63 2.08 2.48 2.10 2.33
st.dev. 0.48 0.63 0.79 0.87 0.47 0.53 0.73 0.77
Q5% 1.75 2.22 1.36 1.48 1.51 1.89 1.18 1.34
Q50% 2.18 2.79 2.23 2.52 2.01 2.36 2.00 2.20
Q95% 3.20 4.11 3.60 4.00 2.97 3.46 3.53 3.54


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 2287.00 2287.00 2278.00 2278.00 2287.00 2287.00 2278.00 2278.00
min 1.16 1.22 1.08 1.08 1.12 1.17 1.08 1.08
max 5.11 6.46 7.77 7.58 5.20 5.40 7.92 7.73
mean 1.98 2.42 2.17 2.32 1.83 2.10 2.13 2.17
st.dev. 0.55 0.80 0.77 0.91 0.50 0.63 0.76 0.78
Q5% 1.30 1.41 1.30 1.29 1.26 1.33 1.27 1.29
Q50% 1.86 2.26 2.01 2.10 1.70 1.98 1.99 2.02
Q95% 3.04 3.91 3.63 4.02 2.79 3.29 3.55 3.53