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Model risk of risk models

45965010 / INTERNATIONAL HOLDINGS 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 397.00 397.00 397.00 397.00 397.00 397.00 397.00 397.00
min 1.26 1.42 1.24 1.24 1.18 1.29 1.24 1.24
max 3.91 4.47 8.04 10.17 3.56 4.06 7.04 8.54
mean 1.81 2.10 2.40 2.52 1.64 1.88 2.35 2.43
st.dev. 0.41 0.50 0.85 0.99 0.36 0.43 0.80 0.89
Q5% 1.35 1.53 1.47 1.52 1.24 1.40 1.45 1.48
Q50% 1.70 1.94 2.22 2.37 1.56 1.75 2.21 2.29
Q95% 2.56 2.98 4.09 4.11 2.31 2.67 4.02 4.09