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

Model risk of risk models

  1. Home
  2. Model risk of risk models
  3. Firms
  4. 22286210 / COVENTRY HEALTH CARE INC

22286210 / COVENTRY HEALTH CARE INC

1998-08-14 to 1998-11-14
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 65.00 65.00 65.00 65.00 65.00 65.00 65.00 65.00
min 1.63 2.02 1.58 2.07 1.71 1.74 1.58 1.65
max 3.23 4.01 15.52 24.94 3.35 3.45 12.25 18.64
mean 2.18 2.65 3.19 3.64 2.31 2.31 3.07 3.28
st.dev. 0.36 0.47 2.03 3.13 0.38 0.39 1.65 2.38
Q5% 1.71 2.07 1.74 2.15 1.85 1.78 1.74 1.74
Q50% 2.17 2.52 2.53 2.61 2.22 2.25 2.53 2.55
Q95% 2.84 3.51 6.36 6.49 3.00 3.02 6.09 6.36

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 1.87 2.40 1.45 1.74 1.59 2.03 1.07 1.41
max 3.03 3.95 3.87 4.64 2.56 3.30 2.95 3.76
mean 2.31 2.98 2.57 3.06 1.98 2.51 1.95 2.50
st.dev. 0.31 0.41 0.70 0.87 0.25 0.34 0.45 0.67
Q5% 1.93 2.48 1.48 1.76 1.66 2.09 1.23 1.44
Q50% 2.23 2.88 2.53 3.03 1.90 2.42 1.92 2.46
Q95% 2.90 3.78 3.70 4.44 2.46 3.16 2.70 3.59

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 1.30 1.86 1.18 1.79 1.21 1.43 1.16 1.39
max 13.28 15.90 25.95 41.94 15.57 14.01 20.86 31.25
mean 2.26 2.88 3.39 3.92 2.38 2.39 3.15 3.47
st.dev. 1.28 1.40 2.08 2.70 1.55 1.32 1.92 2.25
Q5% 1.37 1.94 1.73 1.91 1.26 1.52 1.50 1.72
Q50% 1.83 2.52 2.79 3.40 1.88 1.93 2.58 3.00
Q95% 4.24 4.98 6.68 7.56 4.74 4.42 6.50 7.00

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 4145.00 4145.00 4136.00 4136.00 4145.00 4145.00 4136.00 4136.00
min 1.30 1.80 1.11 1.16 1.21 1.43 1.03 1.11
max 13.28 15.90 25.95 41.94 15.57 14.01 20.86 31.25
mean 2.18 2.95 3.12 3.75 1.96 2.38 2.58 3.14
st.dev. 0.62 0.89 1.63 2.04 0.66 0.68 1.24 1.62
Q5% 1.56 2.03 1.50 1.77 1.41 1.70 1.34 1.55
Q50% 2.09 2.70 2.66 3.20 1.86 2.27 2.26 2.72
Q95% 2.96 4.57 6.59 7.95 2.76 3.36 5.09 6.55