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Model risk of risk models

46148810 / INVESTORS DIVERSIFIED SVCS INC


1977-05-14 to 1977-10-14
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 106.00 106.00 106.00 106.00 106.00 106.00 106.00 106.00
min 1.62 1.97 1.24 1.59 1.43 1.72 1.30 1.34
max 3.08 3.79 3.86 4.98 2.69 3.28 3.63 4.03
mean 2.13 2.63 2.43 3.52 1.90 2.27 2.46 2.75
st.dev. 0.31 0.37 0.55 0.89 0.26 0.33 0.53 0.64
Q5% 1.66 2.05 1.56 1.70 1.47 1.76 1.66 1.56
Q50% 2.14 2.66 2.41 3.59 1.94 2.29 2.41 2.77
Q95% 2.62 3.22 3.23 4.84 2.29 2.79 3.24 3.73


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 1352.00 1352.00 1352.00 1352.00 1352.00 1352.00 1352.00 1352.00
min 1.57 1.91 1.08 1.10 1.39 1.67 1.07 1.08
max 13.76 21.54 26.65 42.53 10.63 16.30 21.91 31.89
mean 2.48 3.11 2.81 3.72 2.20 2.66 2.67 3.04
st.dev. 1.43 1.88 1.64 2.73 1.34 1.57 1.43 1.93
Q5% 1.66 2.03 1.37 1.59 1.46 1.76 1.38 1.43
Q50% 2.08 2.58 2.46 3.11 1.83 2.22 2.39 2.67
Q95% 5.75 7.33 5.79 8.47 5.33 6.20 5.43 6.44