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

Model risk of risk models

1977-05-14 to 1977-10-14
	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	106.00	106.00	106.00	106.00	106.00	106.00	106.00	106.00
min	1.87	2.07	1.94	2.17	1.69	1.88	1.52	1.84
max	3.12	3.45	8.14	9.10	2.82	3.14	6.38	7.74
mean	2.62	2.90	5.36	5.99	2.37	2.64	4.21	5.10
st.dev.	0.31	0.34	1.92	2.15	0.28	0.31	1.48	1.82
Q5%	2.06	2.28	2.21	2.43	1.86	2.08	2.04	2.13
Q50%	2.66	2.94	5.71	6.38	2.40	2.68	4.47	5.43
Q95%	3.05	3.38	7.81	8.73	2.75	3.07	6.11	7.42

1980-01-14 to 1980-07-14
	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	126.00	126.00	126.00	126.00	126.00	126.00	126.00	126.00
min	1.24	1.59	1.48	1.64	1.43	1.26	1.33	1.51
max	9.59	10.81	7.45	7.86	12.15	9.91	7.16	7.54
mean	2.64	2.95	2.90	3.02	3.14	2.70	2.82	2.92
st.dev.	1.46	1.63	1.28	1.24	1.90	1.51	1.32	1.27
Q5%	1.42	1.60	1.59	1.65	1.52	1.45	1.34	1.59
Q50%	2.12	2.41	2.50	2.65	2.35	2.17	2.48	2.51
Q95%	5.72	6.64	5.47	5.47	7.08	5.97	5.47	5.47

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	1363.00	1363.00	1354.00	1354.00	1363.00	1363.00	1354.00	1354.00
min	1.18	1.34	1.05	1.08	1.11	1.21	1.05	1.06
max	9.59	10.81	9.05	10.12	12.15	9.91	7.16	8.60
mean	2.12	2.40	3.68	4.03	2.01	2.15	3.16	3.58
st.dev.	0.75	0.80	1.89	2.18	0.88	0.76	1.40	1.78
Q5%	1.26	1.47	1.39	1.41	1.17	1.30	1.34	1.40
Q50%	1.99	2.29	3.21	3.34	1.87	2.04	2.94	3.13
Q95%	3.27	3.56	7.25	8.16	3.17	3.28	5.82	6.97