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Model risk of risk models

G0692U10 / AXIS CAPITAL HOLDINGS LTD


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 1.23 1.32 1.08 1.08 1.19 1.25 1.08 1.08
max 6.81 7.43 7.22 8.86 7.83 6.96 8.07 7.22
mean 2.05 2.24 2.49 2.60 2.07 2.09 2.48 2.51
st.dev. 0.93 0.99 1.06 1.19 1.08 0.94 1.08 1.09
Q5% 1.29 1.42 1.30 1.31 1.22 1.32 1.28 1.31
Q50% 1.78 1.95 2.24 2.36 1.69 1.83 2.24 2.26
Q95% 4.02 4.42 4.50 4.88 4.24 4.12 4.42 4.51


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 1392.00 1392.00 1383.00 1383.00 1392.00 1392.00 1383.00 1383.00
min 1.23 1.32 1.08 1.08 1.19 1.25 1.08 1.08
max 6.81 7.43 7.22 10.22 7.83 6.96 8.07 7.69
mean 2.24 2.92 2.92 3.51 1.96 2.43 2.57 3.04
st.dev. 0.73 1.06 1.04 1.42 0.69 0.81 0.87 1.12
Q5% 1.35 1.51 1.43 1.46 1.26 1.39 1.36 1.44
Q50% 2.14 2.89 2.87 3.39 1.84 2.35 2.55 2.98
Q95% 3.53 4.81 4.67 5.83 3.11 3.88 3.95 4.90