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Model risk of risk models

65942410 / NORTH FORK BANCORPORATION NY 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 1.56 1.72 1.51 1.41 1.59 1.59 1.64 1.48
max 4.42 4.96 5.62 5.71 4.57 4.56 5.70 5.64
mean 2.50 2.73 2.77 2.77 2.61 2.55 2.87 2.76
st.dev. 0.70 0.82 1.00 1.02 0.69 0.74 0.99 1.00
Q5% 1.71 1.84 1.73 1.72 1.73 1.72 1.85 1.73
Q50% 2.35 2.58 2.43 2.43 2.54 2.42 2.48 2.43
Q95% 3.91 4.37 4.99 5.06 4.00 4.03 5.04 5.01


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 1.34 1.50 1.14 1.13 1.23 1.38 1.20 1.13
max 2.78 3.14 3.56 4.32 2.68 2.91 3.13 3.77
mean 1.79 2.04 1.88 1.98 1.69 1.87 1.88 1.88
st.dev. 0.37 0.42 0.35 0.40 0.36 0.39 0.34 0.36
Q5% 1.38 1.53 1.35 1.41 1.27 1.42 1.36 1.36
Q50% 1.69 1.93 1.88 2.00 1.58 1.77 1.87 1.88
Q95% 2.55 2.91 2.40 2.48 2.46 2.66 2.38 2.39


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 2516.00 2516.00 2507.00 2507.00 2516.00 2516.00 2507.00 2507.00
min 1.23 1.35 1.04 1.06 1.17 1.25 1.04 1.04
max 4.42 4.96 13.39 21.13 4.57 4.56 10.30 15.93
mean 1.73 1.94 2.06 2.15 1.66 1.78 2.03 2.06
st.dev. 0.39 0.44 0.75 1.01 0.39 0.40 0.67 0.82
Q5% 1.33 1.47 1.28 1.31 1.26 1.36 1.28 1.28
Q50% 1.61 1.81 1.95 2.01 1.55 1.64 1.93 1.94
Q95% 2.49 2.81 3.07 3.15 2.40 2.58 3.04 3.06