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Model risk of risk models

88231510 / TEXAS COMMERCE BANCSHARES INC


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 127.00 127.00 127.00 127.00 127.00 127.00 127.00 127.00
min 1.35 1.53 1.19 1.22 1.24 1.40 1.08 1.19
max 1.96 2.21 5.35 8.10 1.81 2.03 4.20 6.23
mean 1.57 1.77 2.16 2.21 1.45 1.63 2.15 2.17
st.dev. 0.12 0.14 0.69 0.82 0.11 0.13 0.67 0.73
Q5% 1.38 1.56 1.33 1.33 1.27 1.43 1.32 1.33
Q50% 1.55 1.74 2.00 2.07 1.43 1.60 2.00 2.03
Q95% 1.77 2.00 3.45 3.44 1.64 1.82 3.47 3.45


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 1.37 1.60 1.05 1.05 1.21 1.43 1.06 1.05
max 3.58 4.34 15.03 24.04 3.15 3.79 11.32 17.91
mean 2.10 2.53 2.11 2.17 1.88 2.22 2.07 2.12
st.dev. 0.40 0.50 0.99 1.43 0.34 0.43 0.83 1.12
Q5% 1.52 1.77 1.25 1.23 1.38 1.58 1.25 1.23
Q50% 2.04 2.46 1.90 1.96 1.82 2.16 1.88 1.90
Q95% 2.81 3.40 3.34 3.44 2.46 2.97 3.31 3.35


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 2187.00 2187.00 2178.00 2178.00 2187.00 2187.00 2178.00 2178.00
min 1.31 1.48 1.05 1.05 1.14 1.37 1.03 1.05
max 3.95 4.93 21.25 31.94 3.86 4.23 17.34 24.91
mean 1.84 2.15 2.19 2.28 1.67 1.92 2.14 2.20
st.dev. 0.42 0.54 1.07 1.53 0.37 0.46 0.92 1.21
Q5% 1.41 1.60 1.27 1.28 1.30 1.46 1.26 1.27
Q50% 1.68 1.93 2.01 2.03 1.55 1.75 1.98 2.00
Q95% 2.70 3.23 3.54 3.54 2.41 2.84 3.51 3.54