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Model risk of risk models

92193782 / VANGUARD BOND INDEX FUNDS


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 443.00 443.00 434.00 434.00 443.00 443.00 434.00 434.00
min 2.42 4.94 1.38 2.89 1.97 3.54 1.56 1.88
max 7.91 25.33 7.21 16.47 6.16 14.39 6.87 10.47
mean 4.55 11.31 3.13 6.31 3.61 6.98 3.06 4.23
st.dev. 1.16 4.97 1.03 2.62 0.85 2.61 0.96 1.54
Q5% 3.00 6.24 1.67 3.17 2.43 4.19 1.68 2.25
Q50% 4.38 9.50 3.05 5.87 3.54 6.08 2.96 3.86
Q95% 6.78 21.80 4.91 11.11 5.23 12.38 4.74 7.08