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

Model risk of risk models

96083510 / WESTMOR CORP


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 454.00 454.00 454.00 454.00 454.00 454.00 454.00 454.00
min 1.47 1.76 1.15 1.18 1.30 1.55 1.13 1.15
max 9.56 11.25 43.15 68.55 9.76 10.02 33.11 51.51
mean 2.96 3.51 2.93 3.09 2.74 3.11 2.87 2.98
st.dev. 1.23 1.49 2.80 4.19 1.16 1.31 2.29 3.24
Q5% 1.64 1.95 1.43 1.46 1.45 1.73 1.41 1.43
Q50% 2.57 3.03 2.31 2.39 2.41 2.69 2.29 2.32
Q95% 5.27 6.43 6.06 6.18 4.89 5.59 6.06 6.09