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Model risk of risk models

84476810 / SOUTHWEST BANCSHARES INC


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 340.00 340.00 340.00 340.00 340.00 340.00 340.00 340.00
min 1.63 2.00 1.08 1.08 1.43 1.74 1.07 1.07
max 3.09 3.87 7.40 9.30 2.69 3.29 7.60 7.72
mean 2.08 2.57 2.48 2.59 1.81 2.22 2.43 2.51
st.dev. 0.33 0.42 1.22 1.44 0.28 0.35 1.14 1.27
Q5% 1.70 2.08 1.23 1.24 1.49 1.81 1.22 1.23
Q50% 1.99 2.45 2.14 2.16 1.74 2.12 2.11 2.14
Q95% 2.76 3.42 5.07 5.21 2.40 2.95 4.92 5.10


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 1072.00 1072.00 1063.00 1063.00 1072.00 1072.00 1063.00 1063.00
min 1.52 1.83 1.04 1.06 1.35 1.61 1.04 1.03
max 3.88 4.80 7.40 9.30 3.37 4.14 7.60 7.72
mean 2.03 2.51 2.22 2.31 1.78 2.17 2.18 2.23
st.dev. 0.40 0.51 0.97 1.10 0.34 0.43 0.92 1.00
Q5% 1.65 2.00 1.20 1.21 1.45 1.75 1.20 1.20
Q50% 1.90 2.35 1.94 1.99 1.67 2.03 1.91 1.95
Q95% 2.88 3.60 3.98 4.17 2.50 3.08 3.88 4.03