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Model risk of risk models

56501R10 / MANULIFE FINANCIAL CORP


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 1.25 1.34 1.21 1.28 1.19 1.26 1.12 1.21
max 7.46 8.48 9.50 9.50 7.21 7.73 9.50 9.50
mean 2.56 2.85 2.95 3.11 2.57 2.62 2.94 2.95
st.dev. 1.19 1.34 1.46 1.59 1.34 1.22 1.49 1.46
Q5% 1.38 1.50 1.41 1.45 1.32 1.41 1.45 1.40
Q50% 2.08 2.26 2.54 2.76 1.96 2.12 2.51 2.53
Q95% 5.17 5.68 5.90 6.42 5.44 5.30 5.99 5.91


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 2336.00 2336.00 2327.00 2327.00 2336.00 2336.00 2327.00 2327.00
min 1.25 1.34 1.09 1.10 1.18 1.26 1.09 1.08
max 7.46 8.48 9.50 10.47 7.21 7.73 9.50 9.50
mean 2.18 2.53 2.80 3.00 1.92 2.21 2.70 2.79
st.dev. 0.76 0.90 1.20 1.26 0.72 0.75 1.21 1.20
Q5% 1.36 1.51 1.46 1.53 1.26 1.39 1.43 1.45
Q50% 1.99 2.33 2.49 2.70 1.76 2.04 2.35 2.49
Q95% 3.66 4.27 5.29 5.49 3.29 3.71 5.22 5.24