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Model risk of risk models

70788710 / PENN WEST ENERGY TRUST


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 140.00 140.00 131.00 131.00 140.00 140.00 131.00 131.00
min 1.55 1.92 1.50 1.78 1.36 1.65 1.38 1.58
max 3.30 4.08 5.79 6.84 2.88 3.50 5.13 6.03
mean 2.48 3.02 3.57 4.27 2.20 2.62 3.24 3.76
st.dev. 0.45 0.55 1.12 1.32 0.39 0.47 1.04 1.18
Q5% 1.66 2.05 1.79 2.07 1.45 1.76 1.72 1.84
Q50% 2.51 2.99 3.70 4.54 2.27 2.64 3.30 3.91
Q95% 3.16 3.91 5.19 6.18 2.76 3.35 4.79 5.48