The following figure shows the data on the entire 8-year window, and severity ratio year by year (expected and observed) for the "Historical" model. The absolute size of the losses is not as important as the relative size compared to the ES (or equivalently, compared to the VaR). Both 1997 and 1998 have large losses, comparable in magnitude. However the expected severity in 1998 is much higher (larger ES estimates). Overall, the "Historical" method seems to do well with respect to severity ratios.