--- title: Firms layout: default ---

Model risk of risk models

10756510 / BREWER C & CO LTD


1977-05-14 to 1977-10-14
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 106.00 106.00 106.00 106.00 106.00 106.00 106.00 106.00
min 1.64 2.21 1.18 1.27 1.46 1.81 1.31 1.18
max 9.25 14.79 3.89 3.89 7.08 11.08 3.89 3.89
mean 3.43 4.81 2.38 2.57 2.83 3.86 2.34 2.34
st.dev. 1.46 2.29 0.53 0.62 1.13 1.72 0.49 0.53
Q5% 1.79 2.42 1.57 1.63 1.53 1.98 1.52 1.54
Q50% 3.35 4.59 2.46 2.70 2.77 3.73 2.38 2.42
Q95% 6.09 8.54 3.02 3.39 4.81 6.98 3.03 2.95


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 455.00 455.00 446.00 446.00 455.00 455.00 446.00 446.00
min 1.64 2.21 1.12 1.23 1.46 1.81 1.13 1.11
max 9.47 15.14 4.82 5.67 7.26 11.33 4.32 5.05
mean 3.51 4.85 2.55 2.89 2.89 3.92 2.41 2.53
st.dev. 1.21 1.91 0.76 0.92 0.93 1.44 0.69 0.76
Q5% 2.12 2.84 1.45 1.53 1.76 2.34 1.41 1.43
Q50% 3.17 4.27 2.46 2.78 2.64 3.51 2.35 2.43
Q95% 5.21 7.37 3.98 4.59 4.24 5.93 3.78 3.94