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Model risk of risk models

49446R10 / KIMCO REALTY CORP


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 1.85 2.24 1.50 1.50 1.86 1.96 1.51 1.50
max 3.93 4.79 7.66 12.00 3.82 4.17 5.96 9.03
mean 2.63 3.19 2.37 2.47 2.56 2.79 2.33 2.40
st.dev. 0.48 0.59 1.00 1.47 0.46 0.51 0.85 1.14
Q5% 2.01 2.43 1.56 1.57 1.94 2.13 1.55 1.56
Q50% 2.57 3.11 2.09 2.09 2.46 2.72 2.09 2.09
Q95% 3.53 4.30 4.18 4.26 3.42 3.75 4.00 4.23


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 1.44 1.69 1.06 1.10 1.29 1.51 1.06 1.05
max 2.93 3.53 4.10 4.20 2.93 3.10 4.10 4.10
mean 1.92 2.29 2.05 2.10 1.74 2.02 2.03 2.05
st.dev. 0.24 0.29 0.59 0.63 0.23 0.25 0.57 0.60
Q5% 1.48 1.74 1.24 1.23 1.34 1.54 1.25 1.23
Q50% 1.92 2.30 1.96 2.02 1.72 2.02 1.91 1.97
Q95% 2.29 2.73 3.06 3.11 2.06 2.41 3.03 3.05


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 1.35 1.37 1.03 1.10 1.29 1.35 1.05 1.06
max 6.19 6.71 10.20 12.18 6.52 6.32 9.44 10.74
mean 2.65 2.84 2.68 2.70 2.57 2.70 2.68 2.68
st.dev. 0.97 1.06 1.19 1.23 1.00 0.99 1.18 1.20
Q5% 1.54 1.64 1.32 1.33 1.49 1.57 1.32 1.32
Q50% 2.41 2.57 2.46 2.47 2.29 2.45 2.46 2.46
Q95% 4.95 5.29 4.58 4.59 4.98 5.04 4.61 4.58


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 4316.00 4316.00 4307.00 4307.00 4316.00 4316.00 4307.00 4307.00
min 1.22 1.34 1.03 1.05 1.15 1.25 1.04 1.03
max 8.09 9.07 22.27 34.14 7.65 8.26 17.87 25.92
mean 2.11 2.38 2.46 2.72 1.99 2.17 2.32 2.50
st.dev. 1.00 1.06 1.15 1.49 0.97 1.01 1.00 1.23
Q5% 1.33 1.49 1.28 1.34 1.23 1.35 1.22 1.30
Q50% 1.76 2.04 2.22 2.36 1.63 1.82 2.12 2.23
Q95% 4.29 4.61 4.78 5.47 4.17 4.37 4.28 4.88