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Model risk of risk models

40414L10 / H C P INC


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 1.32 1.50 1.10 1.25 1.21 1.37 1.07 1.15
max 2.13 2.26 3.22 3.63 1.97 2.05 3.10 3.37
mean 1.58 1.76 2.07 2.31 1.47 1.60 2.01 2.15
st.dev. 0.15 0.13 0.57 0.65 0.14 0.12 0.55 0.60
Q5% 1.38 1.56 1.29 1.42 1.28 1.43 1.25 1.35
Q50% 1.58 1.79 2.04 2.27 1.45 1.63 1.98 2.14
Q95% 1.85 1.96 2.95 3.33 1.72 1.77 2.85 3.08


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 1.31 1.41 1.68 1.68 1.37 1.31 1.68 1.68
max 3.30 3.56 6.03 6.86 3.18 3.36 5.52 6.25
mean 1.80 1.93 2.69 2.74 1.76 1.83 2.68 2.70
st.dev. 0.36 0.40 0.97 1.09 0.33 0.37 0.91 1.00
Q5% 1.37 1.46 1.75 1.75 1.39 1.38 1.76 1.75
Q50% 1.73 1.87 2.37 2.40 1.70 1.77 2.40 2.39
Q95% 2.51 2.73 4.72 5.09 2.42 2.57 4.44 4.87


2001-03-14 to 2001-11-14
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 168.00 168.00 168.00 168.00 168.00 168.00 168.00 168.00
min 1.21 1.34 1.10 1.26 1.17 1.24 1.13 1.10
max 2.60 2.96 8.22 12.09 2.38 2.70 7.14 9.45
mean 1.66 1.88 2.48 2.97 1.54 1.71 2.35 2.60
st.dev. 0.27 0.31 0.94 1.36 0.25 0.28 0.79 1.07
Q5% 1.35 1.52 1.34 1.43 1.26 1.40 1.30 1.38
Q50% 1.59 1.79 2.52 2.95 1.48 1.64 2.38 2.64
Q95% 2.26 2.57 3.82 4.65 2.06 2.34 3.54 4.00


2007-12-14 to 2009-06-14
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 376.00 376.00 376.00 376.00 376.00 376.00 376.00 376.00
min 1.17 1.27 1.12 1.10 1.17 1.20 1.09 1.12
max 5.47 5.96 7.57 7.85 5.16 5.59 7.87 7.63
mean 2.49 2.69 2.53 2.57 2.36 2.54 2.55 2.53
st.dev. 1.00 1.11 1.14 1.18 0.94 1.03 1.20 1.14
Q5% 1.36 1.46 1.33 1.35 1.30 1.39 1.28 1.35
Q50% 2.22 2.39 2.25 2.24 2.10 2.26 2.21 2.23
Q95% 4.52 4.91 4.95 5.05 4.26 4.62 5.02 5.01


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 5960.00 5960.00 5951.00 5951.00 5960.00 5960.00 5951.00 5951.00
min 1.11 1.22 1.05 1.05 1.04 1.14 1.04 1.05
max 6.44 7.61 16.59 26.49 5.60 6.53 13.13 19.31
mean 1.91 2.20 2.31 2.56 1.75 1.96 2.19 2.35
st.dev. 0.79 0.92 0.97 1.31 0.68 0.79 0.84 1.05
Q5% 1.32 1.47 1.27 1.34 1.23 1.36 1.24 1.27
Q50% 1.63 1.90 2.11 2.26 1.52 1.69 2.03 2.14
Q95% 3.83 4.44 4.02 4.67 3.39 3.89 3.70 4.11