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Model risk of risk models

31890610 / FIRST OF AMERICA BANK CORP


1990-07-14 to 1991-03-14
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 169.00 169.00 169.00 169.00 169.00 169.00 169.00 169.00
min 1.56 1.91 1.21 1.64 1.33 1.65 1.17 1.36
max 5.45 6.58 6.45 6.67 4.81 5.77 6.45 6.45
mean 2.38 2.91 2.73 3.13 2.05 2.48 2.62 2.83
st.dev. 0.76 0.91 1.13 1.40 0.70 0.82 1.07 1.20
Q5% 1.69 2.03 1.39 1.71 1.38 1.73 1.33 1.47
Q50% 2.17 2.69 2.44 2.73 1.84 2.21 2.42 2.55
Q95% 4.06 4.92 4.73 6.16 3.58 4.30 4.41 5.13


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 2539.00 2539.00 2530.00 2530.00 2539.00 2539.00 2530.00 2530.00
min 1.33 1.47 1.09 1.06 1.22 1.37 1.07 1.08
max 7.70 8.13 18.94 29.73 7.49 7.81 14.62 22.47
mean 2.08 2.52 2.75 3.18 1.82 2.17 2.55 2.86
st.dev. 0.54 0.66 1.47 2.15 0.48 0.55 1.24 1.68
Q5% 1.50 1.72 1.34 1.43 1.36 1.56 1.29 1.36
Q50% 1.97 2.41 2.44 2.70 1.70 2.07 2.30 2.50
Q95% 3.08 3.69 4.87 6.12 2.66 3.12 4.36 5.21