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Model risk of risk models

06805510 / BARNETT BANKS INC


1987-10-19 to 1988-01-19
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 64.00 64.00 64.00 64.00 64.00 64.00 64.00 64.00
min 1.50 1.69 1.34 1.44 1.40 1.55 1.32 1.28
max 3.44 3.90 7.07 7.89 3.15 3.56 7.96 7.28
mean 2.18 2.47 2.52 2.62 2.00 2.26 2.63 2.51
st.dev. 0.41 0.48 1.14 1.23 0.37 0.43 1.27 1.16
Q5% 1.62 1.83 1.35 1.45 1.50 1.68 1.40 1.36
Q50% 2.08 2.36 2.25 2.25 1.90 2.15 2.26 2.24
Q95% 2.97 3.36 4.14 4.16 2.73 3.07 4.16 4.14


1990-07-14 to 1991-03-14
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 169.00 169.00 169.00 169.00 169.00 169.00 169.00 169.00
min 1.41 1.61 1.58 1.58 1.29 1.46 1.58 1.58
max 5.19 5.97 8.33 9.00 4.90 5.40 7.88 8.49
mean 2.54 2.93 3.22 3.30 2.46 2.65 3.18 3.24
st.dev. 0.86 1.00 1.28 1.33 0.86 0.90 1.26 1.29
Q5% 1.48 1.69 1.87 1.90 1.35 1.54 1.76 1.89
Q50% 2.48 2.84 2.83 2.87 2.42 2.57 2.79 2.84
Q95% 3.98 4.58 5.58 6.04 3.91 4.14 5.58 5.59


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 3568.00 3568.00 3559.00 3559.00 3568.00 3568.00 3559.00 3559.00
min 1.13 1.22 1.04 1.11 1.10 1.16 1.05 1.06
max 11.17 10.41 19.67 30.38 11.73 10.94 19.35 23.15
mean 1.82 2.15 2.44 2.76 1.72 1.91 2.32 2.47
st.dev. 0.45 0.56 1.14 1.53 0.46 0.48 1.05 1.24
Q5% 1.37 1.50 1.29 1.37 1.29 1.40 1.30 1.28
Q50% 1.72 2.02 2.23 2.45 1.61 1.79 2.13 2.24
Q95% 2.57 3.14 4.17 4.83 2.49 2.69 3.98 4.20