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Model risk of risk models

60619110 / MISSOURI PACIFIC CORP


1980-01-14 to 1980-07-14
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 42.00 42.00 33.00 33.00 42.00 42.00 33.00 33.00
min 1.40 1.62 1.17 1.12 1.38 1.46 1.18 1.15
max 1.98 2.31 5.02 7.95 1.95 2.07 3.85 5.98
mean 1.60 1.87 1.98 2.07 1.51 1.67 1.94 2.01
st.dev. 0.12 0.15 0.71 1.18 0.10 0.13 0.55 0.86
Q5% 1.41 1.64 1.30 1.24 1.39 1.47 1.31 1.27
Q50% 1.59 1.86 1.81 1.79 1.48 1.66 1.79 1.79
Q95% 1.76 2.06 2.82 3.22 1.66 1.84 2.71 2.94


1981-07-14 to 1982-11-14
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 340.00 340.00 340.00 340.00 340.00 340.00 340.00 340.00
min 1.31 1.52 1.05 1.05 1.19 1.36 1.03 1.03
max 3.37 3.96 14.93 24.47 3.02 3.53 11.20 17.89
mean 1.75 2.05 2.43 2.72 1.58 1.83 2.32 2.52
st.dev. 0.28 0.33 1.52 2.44 0.25 0.29 1.21 1.80
Q5% 1.44 1.69 1.21 1.26 1.30 1.51 1.19 1.22
Q50% 1.68 1.97 2.07 2.13 1.51 1.76 2.03 2.08
Q95% 2.33 2.71 5.23 6.24 2.10 2.43 4.69 5.31


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 660.00 660.00 651.00 651.00 660.00 660.00 651.00 651.00
min 1.30 1.52 1.05 1.05 1.17 1.36 1.03 1.03
max 3.37 3.96 14.93 24.47 3.02 3.53 11.20 17.89
mean 1.72 2.00 2.31 2.51 1.57 1.79 2.24 2.36
st.dev. 0.28 0.32 1.32 2.08 0.25 0.29 1.05 1.55
Q5% 1.42 1.65 1.24 1.26 1.29 1.47 1.23 1.24
Q50% 1.66 1.93 1.99 2.04 1.51 1.73 1.99 1.99
Q95% 2.27 2.65 4.53 4.53 2.06 2.38 4.21 4.53