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Model risk of risk models

81173710 / SEAFIRST CORP


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 245.00 245.00 236.00 236.00 245.00 245.00 236.00 236.00
min 1.32 1.48 1.16 1.16 1.22 1.36 1.16 1.16
max 4.63 5.25 8.60 13.36 4.63 4.79 8.60 9.95
mean 1.83 2.06 2.40 2.53 1.74 1.89 2.43 2.42
st.dev. 0.58 0.66 1.17 1.35 0.57 0.60 1.20 1.21
Q5% 1.36 1.53 1.31 1.31 1.27 1.40 1.31 1.31
Q50% 1.60 1.81 2.17 2.20 1.51 1.66 2.16 2.18
Q95% 3.01 3.41 4.53 5.08 2.84 3.11 4.61 4.51


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 404.00 404.00 395.00 395.00 404.00 404.00 395.00 395.00
min 1.32 1.48 1.16 1.16 1.22 1.36 1.16 1.16
max 5.12 6.05 8.60 13.36 4.82 5.37 8.60 9.95
mean 1.86 2.15 2.36 2.75 1.76 1.93 2.31 2.46
st.dev. 0.61 0.71 1.01 1.28 0.60 0.64 1.02 1.07
Q5% 1.38 1.55 1.31 1.37 1.28 1.42 1.32 1.36
Q50% 1.66 1.92 2.17 2.44 1.57 1.72 2.05 2.24
Q95% 3.09 3.48 3.87 5.08 2.97 3.19 3.86 4.07