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Model risk of risk models

82048410 / SHAWMUT NATIONAL CORP


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 41.00 41.00 32.00 32.00 41.00 41.00 32.00 32.00
min 2.14 2.96 1.49 1.91 1.85 2.39 1.49 1.52
max 7.67 10.78 4.19 6.39 6.24 8.63 4.19 4.92
mean 3.76 5.32 2.45 2.90 3.14 4.24 2.43 2.54
st.dev. 1.15 1.71 0.84 1.27 0.90 1.34 0.82 0.98
Q5% 2.37 3.16 1.55 1.91 2.03 2.58 1.55 1.55
Q50% 3.67 5.26 2.19 2.23 3.06 4.17 2.18 2.19
Q95% 5.65 8.00 3.96 5.35 4.75 6.36 3.89 4.30


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 1.61 1.88 1.50 1.77 1.45 1.68 1.38 1.56
max 7.52 8.83 15.96 21.45 6.75 7.88 13.29 17.61
mean 3.29 3.85 3.72 3.93 2.97 3.44 3.62 3.77
st.dev. 1.16 1.36 2.09 2.49 1.04 1.21 1.94 2.20
Q5% 1.79 2.09 1.55 1.80 1.61 1.87 1.43 1.59
Q50% 3.16 3.69 3.17 3.29 2.85 3.31 3.11 3.18
Q95% 5.19 6.11 7.54 7.87 4.66 5.44 7.28 7.53


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 2031.00 2031.00 2022.00 2022.00 2031.00 2031.00 2022.00 2022.00
min 1.24 1.46 1.19 1.26 1.17 1.27 1.03 1.19
max 7.67 10.78 15.96 21.45 6.75 8.63 13.29 17.61
mean 2.23 2.75 2.97 3.56 1.99 2.35 2.68 3.07
st.dev. 0.73 0.95 1.25 1.57 0.63 0.79 1.12 1.30
Q5% 1.51 1.77 1.47 1.65 1.36 1.58 1.35 1.53
Q50% 2.05 2.54 2.74 3.29 1.83 2.16 2.52 2.82
Q95% 3.59 4.44 5.03 6.17 3.18 3.81 4.51 5.13