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

Model risk of risk models

84610410 / SOVRAN FINANCIAL 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 2.04 2.81 1.26 1.47 1.68 2.27 1.19 1.28
max 8.14 11.47 23.91 22.88 6.61 9.17 24.70 23.66
mean 3.68 5.26 4.17 4.24 3.02 4.17 4.18 4.17
st.dev. 1.71 2.55 3.98 3.77 1.34 1.98 4.12 3.93
Q5% 2.20 2.99 1.47 1.64 1.79 2.45 1.47 1.47
Q50% 2.91 4.07 3.27 3.48 2.50 3.28 3.13 3.31
Q95% 7.03 10.20 11.58 11.13 5.69 7.98 11.92 11.47


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 35.00 35.00 35.00 35.00 35.00 35.00 35.00 35.00
min 2.18 2.68 1.48 1.64 1.91 2.32 1.48 1.48
max 3.58 4.47 5.44 5.39 3.10 3.84 5.49 5.43
mean 2.98 3.69 2.21 2.25 2.59 3.18 2.21 2.21
st.dev. 0.34 0.44 0.84 0.82 0.29 0.37 0.85 0.84
Q5% 2.34 2.88 1.53 1.65 2.05 2.49 1.53 1.53
Q50% 3.02 3.72 1.91 1.92 2.61 3.21 1.91 1.91
Q95% 3.45 4.30 3.58 3.61 2.99 3.69 3.58 3.58


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 749.00 749.00 740.00 740.00 749.00 749.00 740.00 740.00
min 1.62 2.05 1.23 1.47 1.39 1.75 1.07 1.26
max 8.14 11.47 23.91 22.88 6.61 9.17 24.70 23.66
mean 2.82 3.88 2.98 3.47 2.33 3.14 2.58 3.02
st.dev. 0.91 1.44 1.68 1.89 0.70 1.08 1.58 1.71
Q5% 1.91 2.46 1.39 1.66 1.62 2.08 1.24 1.40
Q50% 2.57 3.47 2.68 3.07 2.13 2.83 2.30 2.72
Q95% 4.33 6.30 4.93 5.85 3.44 4.91 4.11 4.98