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Model risk of risk models

72579010 / PITTWAY CORP DEL


1987-10-19 to 1988-01-19
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 64.00 64.00 64.00 64.00 64.00 64.00 64.00 64.00
min 6.02 10.11 1.83 2.43 5.03 7.39 1.64 2.16
max 31.20 49.80 56.26 88.66 25.97 36.91 75.30 66.87
mean 11.76 19.75 5.19 7.15 9.83 14.44 6.49 5.43
st.dev. 4.65 7.53 6.99 10.92 3.85 5.56 9.53 8.24
Q5% 6.73 11.29 1.83 3.40 5.63 8.26 1.83 2.17
Q50% 11.43 19.51 3.02 3.86 9.62 14.22 3.55 3.02
Q95% 20.38 33.59 9.56 14.08 17.60 24.79 13.76 9.76


1990-07-14 to 1991-03-14
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 169.00 169.00 169.00 169.00 169.00 169.00 169.00 169.00
min 2.06 2.90 1.73 2.38 1.68 2.32 1.13 1.87
max 35.37 61.56 16.64 21.96 26.56 44.31 13.99 18.23
mean 9.40 15.84 4.20 6.48 7.09 11.57 3.06 4.66
st.dev. 9.21 16.27 2.13 3.59 6.85 11.63 1.64 2.44
Q5% 4.04 6.40 1.77 2.56 3.11 4.82 1.30 2.04
Q50% 5.01 7.96 3.52 5.31 3.83 5.98 2.74 4.04
Q95% 32.27 56.19 7.50 13.12 24.06 40.43 5.67 8.65


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 2592.00 2592.00 2583.00 2583.00 2592.00 2592.00 2583.00 2583.00
min 1.97 2.88 1.20 1.09 1.61 2.32 1.06 1.18
max 35.37 61.56 56.26 88.66 26.56 44.31 75.30 66.87
mean 6.86 11.36 3.43 4.77 5.37 8.37 2.87 3.71
st.dev. 4.29 7.66 2.44 4.51 3.30 5.45 2.13 2.91
Q5% 2.62 3.66 1.45 1.45 2.15 2.94 1.36 1.45
Q50% 5.54 9.00 2.63 3.03 4.27 6.68 2.41 2.72
Q95% 13.80 23.82 7.90 13.72 11.06 17.19 5.52 9.10