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Model risk of risk models

92977310 / WACHOVIA REALTY INVESTMENTS


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 1.38 1.75 1.27 1.32 1.19 1.49 1.10 1.23
max 5.25 6.58 6.96 7.64 4.54 5.63 5.99 6.73
mean 2.42 3.00 2.60 2.77 2.11 2.59 2.35 2.54
st.dev. 0.70 0.93 1.09 1.18 0.58 0.77 0.96 1.05
Q5% 1.62 1.93 1.43 1.50 1.46 1.71 1.29 1.40
Q50% 2.27 2.81 2.28 2.42 1.97 2.42 2.07 2.22
Q95% 3.71 4.71 4.98 5.30 3.18 4.00 4.40 4.81