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

Model risk of risk models

1981-07-14 to 1982-11-14
	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	185.00	185.00	176.00	176.00	185.00	185.00	176.00	176.00
min	2.05	2.97	1.09	1.13	1.65	2.34	1.06	1.09
max	23.62	40.52	4.80	4.79	17.52	29.36	4.83	4.80
mean	11.63	19.92	2.13	2.15	8.64	14.44	2.10	2.12
st.dev.	3.23	5.70	0.77	0.78	2.37	4.08	0.77	0.77
Q5%	6.05	10.16	1.26	1.28	4.53	7.43	1.23	1.26
Q50%	11.83	20.36	1.92	1.93	8.79	14.73	1.91	1.92
Q95%	15.69	27.11	3.58	3.64	11.61	19.57	3.51	3.58

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	1374.00	1374.00	1365.00	1365.00	1374.00	1374.00	1365.00	1365.00
min	1.58	1.91	1.09	1.03	1.38	1.68	1.06	1.05
max	25.49	44.52	5.80	5.98	18.77	32.00	5.67	5.84
mean	5.34	8.42	2.23	2.24	4.18	6.36	2.21	2.22
st.dev.	4.35	7.89	0.76	0.77	3.13	5.57	0.77	0.76
Q5%	1.87	2.36	1.27	1.26	1.64	2.01	1.24	1.25
Q50%	3.05	4.12	2.07	2.08	2.55	3.35	2.05	2.07
Q95%	14.37	24.70	3.57	3.62	10.68	17.89	3.58	3.55