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Model risk of risk models

61411510 / MONTGOMERY STREET INCOME SECS IN


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 1.29 1.55 1.22 1.21 1.23 1.34 1.16 1.21
max 2.58 3.19 4.40 5.37 2.25 2.76 3.70 4.63
mean 1.64 1.92 1.62 1.63 1.51 1.71 1.58 1.61
st.dev. 0.17 0.21 0.39 0.46 0.14 0.18 0.35 0.41
Q5% 1.46 1.70 1.23 1.22 1.35 1.53 1.19 1.22
Q50% 1.59 1.87 1.58 1.58 1.49 1.67 1.55 1.58
Q95% 1.96 2.29 2.08 2.08 1.77 2.05 1.99 2.07


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 1.15 1.22 1.16 1.17 1.14 1.16 1.13 1.16
max 7.83 8.19 9.97 11.04 7.76 7.57 9.97 9.97
mean 1.91 2.21 2.64 3.11 1.94 1.98 2.46 2.69
st.dev. 1.04 1.14 1.38 1.76 1.13 1.05 1.34 1.41
Q5% 1.25 1.33 1.32 1.39 1.20 1.26 1.27 1.34
Q50% 1.53 1.99 2.14 2.55 1.49 1.62 2.03 2.20
Q95% 4.47 4.98 5.36 6.88 4.27 4.60 5.36 5.52


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 3064.00 3064.00 3055.00 3055.00 3064.00 3064.00 3055.00 3055.00
min 1.15 1.22 1.12 1.07 1.14 1.16 1.11 1.11
max 7.83 12.17 24.33 38.41 7.76 8.63 20.50 28.95
mean 2.14 3.00 2.99 3.75 1.90 2.41 2.49 3.09
st.dev. 0.84 1.71 1.67 2.68 0.70 1.12 1.12 1.84
Q5% 1.39 1.55 1.37 1.41 1.31 1.44 1.32 1.36
Q50% 1.84 2.29 2.48 2.83 1.67 1.97 2.21 2.53
Q95% 3.73 6.48 6.25 9.07 3.14 4.67 4.56 6.66