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Model risk of risk models

82086810 / SHEARSON LOEB RHOADES INC


1980-01-14 to 1980-07-14
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 127.00 127.00 127.00 127.00 127.00 127.00 127.00 127.00
min 1.35 1.52 1.09 1.13 1.25 1.40 1.27 1.06
max 3.74 4.27 6.72 8.42 3.85 3.88 6.16 7.39
mean 1.78 2.00 2.13 2.08 1.79 1.83 2.29 2.08
st.dev. 0.47 0.54 0.76 0.85 0.53 0.49 0.78 0.79
Q5% 1.38 1.56 1.20 1.26 1.28 1.43 1.29 1.20
Q50% 1.64 1.79 2.03 1.92 1.67 1.66 2.18 1.99
Q95% 2.78 3.16 3.28 3.26 2.87 2.88 3.71 3.28


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 658.00 658.00 649.00 649.00 658.00 658.00 649.00 649.00
min 1.13 1.30 1.09 1.09 1.21 1.16 1.27 1.06
max 3.74 4.34 6.72 8.42 3.89 3.88 6.16 7.39
mean 1.68 1.94 2.06 2.07 1.60 1.74 2.16 2.04
st.dev. 0.30 0.35 0.72 0.76 0.34 0.31 0.73 0.73
Q5% 1.39 1.60 1.25 1.20 1.29 1.44 1.36 1.21
Q50% 1.60 1.85 1.94 1.88 1.49 1.66 2.03 1.90
Q95% 2.21 2.56 3.25 3.27 2.22 2.30 3.49 3.24