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Model risk of risk models

67092810 / NUVEEN MUNICIPAL VALUE FUND


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 1.46 1.70 1.08 1.08 1.32 1.51 1.08 1.08
max 7.32 8.58 7.82 7.90 7.76 7.66 7.76 7.84
mean 2.44 2.89 2.56 2.71 2.31 2.56 2.42 2.55
st.dev. 1.15 1.32 1.11 1.23 1.24 1.20 1.06 1.11
Q5% 1.51 1.82 1.25 1.25 1.36 1.58 1.25 1.25
Q50% 1.95 2.30 2.34 2.44 1.77 2.04 2.23 2.33
Q95% 4.69 5.46 4.80 5.36 4.81 4.90 4.41 4.79


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 2634.00 2634.00 2625.00 2625.00 2634.00 2634.00 2625.00 2625.00
min 1.29 1.42 1.07 1.08 1.20 1.32 1.05 1.08
max 7.32 8.58 9.62 14.06 7.76 7.66 7.76 11.02
mean 2.24 2.77 2.81 3.22 2.01 2.38 2.42 2.81
st.dev. 0.88 1.19 1.30 1.76 0.78 0.96 0.91 1.30
Q5% 1.39 1.61 1.31 1.36 1.29 1.44 1.29 1.32
Q50% 1.91 2.29 2.50 2.68 1.72 2.00 2.26 2.51
Q95% 3.97 5.16 5.44 6.85 3.46 4.28 4.12 5.46