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Model risk of risk models

81114810 / SCUDDER DUO VEST INC


1981-07-14 to 1982-11-14
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 182.00 182.00 182.00 182.00 182.00 182.00 182.00 182.00
min 1.45 1.68 1.12 1.17 1.31 1.51 1.11 1.15
max 2.33 2.68 14.71 23.74 2.13 2.43 11.21 17.70
mean 1.73 2.00 2.42 2.71 1.57 1.80 2.32 2.51
st.dev. 0.19 0.22 1.32 2.18 0.18 0.20 1.00 1.60
Q5% 1.47 1.70 1.33 1.34 1.34 1.53 1.32 1.33
Q50% 1.71 1.97 2.29 2.41 1.54 1.78 2.26 2.31
Q95% 2.12 2.45 3.14 3.32 1.92 2.21 3.02 3.20


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 423.00 423.00 414.00 414.00 423.00 423.00 414.00 414.00
min 1.30 1.43 1.12 1.17 1.21 1.33 1.11 1.15
max 2.33 2.68 14.71 23.74 2.13 2.43 11.21 17.70
mean 1.65 1.89 2.32 2.58 1.51 1.71 2.23 2.40
st.dev. 0.22 0.27 1.20 1.95 0.20 0.23 0.92 1.44
Q5% 1.35 1.50 1.30 1.37 1.25 1.38 1.28 1.32
Q50% 1.63 1.87 2.22 2.34 1.49 1.70 2.17 2.25
Q95% 2.04 2.34 3.20 3.31 1.86 2.13 3.02 3.24