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

Model risk of risk models

65584410 / NORFOLK SOUTHERN CORP


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 1.88 2.22 1.58 2.78 1.82 1.97 1.59 1.79
max 7.86 9.42 8.10 8.45 7.69 8.29 8.61 8.02
mean 3.86 4.62 3.74 4.33 3.78 4.07 4.04 3.75
st.dev. 1.66 2.00 1.73 1.55 1.70 1.75 1.84 1.66
Q5% 2.33 2.78 1.73 2.79 2.19 2.45 1.73 1.92
Q50% 3.15 3.78 3.03 4.03 3.00 3.33 3.25 3.11
Q95% 7.15 8.56 7.12 7.34 7.18 7.54 7.99 7.00


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 1.40 1.71 1.49 2.15 1.31 1.45 1.20 1.59
max 2.02 2.82 3.66 6.74 2.09 2.16 3.37 4.11
mean 1.57 2.14 2.52 3.74 1.46 1.70 1.93 2.73
st.dev. 0.12 0.27 0.70 1.10 0.13 0.17 0.46 0.76
Q5% 1.43 1.76 1.51 2.17 1.34 1.48 1.32 1.61
Q50% 1.54 2.10 2.46 3.78 1.43 1.67 1.93 2.70
Q95% 1.79 2.60 3.54 5.20 1.69 2.02 2.80 3.80


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 2712.00 2712.00 2703.00 2703.00 2712.00 2712.00 2703.00 2703.00
min 1.07 1.12 1.07 1.07 1.07 1.07 1.06 1.07
max 7.86 9.42 11.41 18.48 7.69 8.29 8.68 13.75
mean 1.67 2.04 2.23 3.08 1.55 1.77 1.92 2.40
st.dev. 0.52 0.76 0.84 1.81 0.50 0.59 0.66 1.03
Q5% 1.18 1.22 1.27 1.29 1.16 1.19 1.24 1.26
Q50% 1.58 1.88 2.05 2.31 1.45 1.65 1.81 2.13
Q95% 2.37 3.23 3.66 6.80 2.15 2.59 2.84 4.36