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Model risk of risk models

55273C10 / M F S INTERMEDIATE INCOME TRUST


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 1.37 1.56 1.08 1.09 1.31 1.42 1.06 1.07
max 10.46 11.62 8.02 8.06 11.58 10.29 7.99 8.03
mean 2.50 3.10 2.28 2.40 2.57 2.63 2.23 2.29
st.dev. 1.40 1.64 0.93 1.01 1.59 1.39 0.92 0.95
Q5% 1.50 1.70 1.33 1.34 1.43 1.55 1.28 1.30
Q50% 2.08 2.51 1.99 2.11 2.00 2.19 1.98 2.00
Q95% 5.94 6.86 3.99 4.22 6.18 6.09 3.96 4.03


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 2415.00 2415.00 2406.00 2406.00 2415.00 2415.00 2406.00 2406.00
min 1.22 1.24 1.03 1.09 1.20 1.24 1.06 1.07
max 10.46 11.62 8.02 8.06 11.58 10.29 7.99 8.03
mean 2.16 2.90 2.38 2.69 1.99 2.36 2.18 2.42
st.dev. 0.75 1.27 0.77 0.90 0.83 0.86 0.70 0.79
Q5% 1.42 1.60 1.35 1.48 1.33 1.48 1.27 1.38
Q50% 2.04 2.52 2.26 2.59 1.81 2.17 2.06 2.31
Q95% 3.15 5.64 3.75 4.21 3.12 3.86 3.44 3.78