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Model risk of risk models

59066010 / MESA ROYALTY 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 1.71 2.11 1.22 1.45 1.46 1.82 1.16 1.28
max 12.61 16.48 10.90 11.47 10.65 13.75 10.51 11.04
mean 3.48 4.40 3.03 3.29 2.99 3.74 2.86 3.04
st.dev. 1.78 2.28 1.55 1.73 1.53 1.93 1.52 1.58
Q5% 1.90 2.41 1.42 1.55 1.63 2.06 1.28 1.44
Q50% 2.88 3.61 2.59 2.79 2.49 3.10 2.44 2.59
Q95% 7.63 9.57 5.88 6.61 6.50 8.18 5.73 5.94


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 2315.00 2315.00 2306.00 2306.00 2315.00 2315.00 2306.00 2306.00
min 1.70 2.09 1.09 1.12 1.45 1.82 1.06 1.10
max 12.61 16.48 13.93 21.90 10.65 13.75 11.66 16.54
mean 2.79 3.53 3.17 3.91 2.42 3.00 2.61 3.22
st.dev. 1.03 1.35 1.51 2.22 0.89 1.13 1.12 1.58
Q5% 1.89 2.39 1.42 1.56 1.63 2.03 1.32 1.44
Q50% 2.49 3.13 2.88 3.33 2.17 2.66 2.44 2.90
Q95% 4.67 5.88 5.97 8.25 4.04 5.03 4.34 6.07