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

Model risk of risk models

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	271.00	271.00	262.00	262.00	271.00	271.00	262.00	262.00
min	1.25	1.55	1.30	-0.21	1.18	1.33	1.25	-0.47
max	13.95	13.96	31.78	50.92	19.06	12.50	24.29	38.10
mean	3.75	4.29	4.09	4.43	4.45	3.82	4.73	4.10
st.dev.	2.71	2.89	2.90	4.02	4.01	2.57	3.52	3.20
Q5%	1.70	2.05	1.64	1.64	1.59	1.79	1.64	1.64
Q50%	2.62	3.01	3.31	3.54	2.69	2.71	3.53	3.30
Q95%	10.43	11.11	8.70	9.53	13.58	9.91	11.76	8.86

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	1165.00	1165.00	1156.00	1156.00	1165.00	1165.00	1156.00	1156.00
min	1.25	1.55	1.27	-0.21	1.18	1.33	1.23	-0.47
max	13.95	13.96	31.78	50.92	19.06	12.50	24.29	38.10
mean	3.15	3.90	4.23	5.48	3.11	3.35	3.80	4.54
st.dev.	1.68	1.93	2.27	3.16	2.27	1.68	2.28	2.51
Q5%	1.66	2.04	1.74	2.09	1.49	1.77	1.59	1.84
Q50%	2.64	3.27	3.72	4.76	2.50	2.81	3.20	4.01
Q95%	5.99	7.55	8.23	10.67	6.40	6.50	7.92	8.88