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

Model risk of risk models

22682210 / CROCKER NATIONAL CORP


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 1.67 1.77 1.71 1.71 1.58 1.68 1.71 1.71
max 3.20 3.40 7.10 11.42 3.02 3.20 5.42 8.53
mean 2.25 2.38 3.24 3.48 2.14 2.25 3.13 3.31
st.dev. 0.47 0.49 1.16 1.70 0.44 0.47 1.03 1.31
Q5% 1.72 1.82 1.75 1.75 1.64 1.73 1.75 1.75
Q50% 2.12 2.23 3.11 3.11 2.03 2.12 3.05 3.11
Q95% 3.05 3.24 5.07 6.28 2.88 3.05 4.88 5.07


1980-01-14 to 1980-07-14
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 126.00 126.00 126.00 126.00 126.00 126.00 126.00 126.00
min 1.36 1.51 1.07 1.13 1.26 1.40 1.10 1.07
max 2.40 2.70 6.25 6.92 2.21 2.47 5.82 6.42
mean 1.68 1.89 2.24 2.27 1.55 1.73 2.29 2.24
st.dev. 0.26 0.29 0.86 0.90 0.23 0.27 0.84 0.87
Q5% 1.38 1.55 1.19 1.21 1.28 1.42 1.21 1.16
Q50% 1.62 1.81 2.09 2.10 1.51 1.66 2.15 2.09
Q95% 2.12 2.39 3.85 3.88 1.96 2.19 3.86 3.85


1981-07-14 to 1982-11-14
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 339.00 339.00 339.00 339.00 339.00 339.00 339.00 339.00
min 1.44 1.71 1.21 1.28 1.28 1.51 1.07 1.17
max 6.17 6.76 6.10 9.20 6.60 6.17 6.19 7.09
mean 1.97 2.37 2.32 2.43 1.80 2.08 2.19 2.29
st.dev. 0.55 0.66 0.80 0.95 0.56 0.58 0.77 0.84
Q5% 1.53 1.77 1.33 1.37 1.38 1.59 1.26 1.34
Q50% 1.83 2.16 2.17 2.27 1.67 1.92 2.05 2.13
Q95% 2.90 3.49 3.65 3.71 2.58 3.08 3.58 3.67


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 2521.00 2521.00 2512.00 2512.00 2521.00 2521.00 2512.00 2512.00
min 1.20 1.34 1.07 1.08 1.12 1.24 1.07 1.05
max 6.17 7.82 9.13 12.09 6.60 6.62 8.71 10.02
mean 1.80 2.06 2.38 2.45 1.68 1.87 2.33 2.37
st.dev. 0.52 0.66 0.92 1.04 0.51 0.56 0.90 0.96
Q5% 1.32 1.46 1.30 1.30 1.24 1.36 1.29 1.28
Q50% 1.67 1.93 2.23 2.28 1.53 1.74 2.18 2.22
Q95% 2.75 3.20 4.08 4.20 2.62 2.84 3.99 4.13