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Model risk of risk models

78008710 / ROYAL BANK CANADA MONTREAL QUE


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 1.26 1.37 1.12 1.41 1.18 1.29 1.07 1.19
max 2.15 2.34 4.15 5.17 2.03 2.20 3.97 4.50
mean 1.48 1.66 2.15 2.76 1.40 1.53 2.02 2.34
st.dev. 0.17 0.19 0.53 0.74 0.16 0.18 0.48 0.60
Q5% 1.29 1.42 1.34 1.51 1.22 1.32 1.32 1.37
Q50% 1.43 1.62 2.08 2.70 1.35 1.49 1.94 2.27
Q95% 1.80 2.04 2.90 3.81 1.72 1.89 2.72 3.19


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 1.29 1.37 1.09 1.12 1.22 1.32 1.17 1.09
max 6.32 6.93 13.07 18.57 6.25 6.47 10.57 14.78
mean 2.30 2.49 2.60 2.68 2.20 2.34 2.60 2.61
st.dev. 0.90 1.00 1.31 1.53 0.87 0.93 1.23 1.36
Q5% 1.40 1.50 1.29 1.29 1.36 1.42 1.35 1.29
Q50% 1.97 2.14 2.27 2.28 1.91 2.01 2.32 2.27
Q95% 4.13 4.50 5.08 5.31 3.95 4.22 5.08 5.19


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 3332.00 3332.00 3323.00 3323.00 3332.00 3332.00 3323.00 3323.00
min 1.20 1.29 1.06 1.11 1.15 1.22 1.07 1.09
max 6.32 6.93 15.32 24.68 6.25 6.47 11.68 18.42
mean 1.79 2.05 2.31 2.69 1.68 1.86 2.14 2.39
st.dev. 0.54 0.66 0.95 1.36 0.50 0.57 0.79 1.05
Q5% 1.30 1.43 1.31 1.41 1.22 1.33 1.28 1.35
Q50% 1.63 1.84 2.13 2.39 1.53 1.69 2.02 2.19
Q95% 2.91 3.45 3.77 4.77 2.71 3.06 3.35 3.94