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Model risk of risk models

78463V10 / SPDR GOLD TRUST


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 148.00 148.00 139.00 139.00 148.00 148.00 139.00 139.00
min 1.23 1.40 1.14 1.34 1.13 1.28 1.05 1.17
max 2.78 3.06 6.45 8.88 2.60 2.85 5.30 7.19
mean 1.77 1.95 2.14 2.32 1.65 1.81 2.04 2.16
st.dev. 0.41 0.44 0.77 0.92 0.39 0.42 0.72 0.80
Q5% 1.32 1.45 1.28 1.38 1.24 1.36 1.23 1.29
Q50% 1.63 1.84 1.90 2.04 1.52 1.69 1.84 1.90
Q95% 2.65 2.90 3.42 3.55 2.49 2.71 3.42 3.42


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 1042.00 1042.00 1033.00 1033.00 1042.00 1042.00 1033.00 1033.00
min 1.22 1.37 1.13 1.24 1.13 1.25 1.05 1.15
max 2.95 3.59 6.91 10.39 2.72 3.14 5.43 8.03
mean 1.78 2.09 2.19 2.50 1.63 1.86 2.00 2.23
st.dev. 0.36 0.45 0.58 0.73 0.31 0.38 0.53 0.62
Q5% 1.31 1.46 1.30 1.43 1.22 1.34 1.23 1.33
Q50% 1.73 2.04 2.16 2.46 1.59 1.82 1.97 2.20
Q95% 2.45 2.91 2.99 3.48 2.21 2.56 2.89 3.05