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Model risk of risk models

08467070 / BERKSHIRE HATHAWAY INC DEL


2001-03-14 to 2001-11-14
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 168.00 168.00 168.00 168.00 168.00 168.00 168.00 168.00
min 1.53 1.81 1.09 1.11 1.35 1.59 1.12 1.09
max 4.47 6.15 7.03 11.27 3.86 4.99 5.38 8.43
mean 2.13 2.56 2.34 2.49 1.91 2.22 2.28 2.37
st.dev. 0.49 0.62 0.90 1.52 0.45 0.52 0.68 1.09
Q5% 1.59 1.86 1.33 1.34 1.42 1.62 1.35 1.33
Q50% 2.03 2.46 2.28 2.29 1.80 2.13 2.26 2.26
Q95% 3.05 3.66 3.32 3.38 2.79 3.21 3.25 3.25


2007-12-14 to 2009-06-14
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 376.00 376.00 376.00 376.00 376.00 376.00 376.00 376.00
min 1.64 1.95 1.14 1.25 1.45 1.72 1.05 1.15
max 7.46 8.83 9.81 11.64 7.62 7.83 9.28 10.09
mean 2.97 3.54 2.86 3.00 2.75 3.13 2.83 2.88
st.dev. 1.18 1.38 1.46 1.58 1.19 1.23 1.42 1.48
Q5% 1.73 2.08 1.42 1.46 1.54 1.82 1.32 1.43
Q50% 2.63 3.15 2.44 2.53 2.40 2.77 2.45 2.44
Q95% 5.31 6.30 5.84 6.32 4.98 5.57 5.65 5.98


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 3189.00 3189.00 3180.00 3180.00 3189.00 3189.00 3180.00 3180.00
min 1.37 1.54 1.07 1.07 1.27 1.42 1.05 1.04
max 7.46 8.83 16.55 26.79 7.62 7.83 12.60 19.95
mean 2.27 2.71 2.72 3.07 2.04 2.37 2.53 2.79
st.dev. 0.70 0.82 1.26 1.76 0.65 0.72 1.03 1.38
Q5% 1.62 1.93 1.36 1.39 1.44 1.69 1.33 1.37
Q50% 2.08 2.49 2.44 2.58 1.87 2.18 2.33 2.46
Q95% 3.53 4.15 5.28 6.69 3.11 3.63 4.58 5.58