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

Model risk of risk models

2001-03-14 to 2001-11-14
	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	168.00	168.00	168.00	168.00	168.00	168.00	168.00	168.00
min	1.58	1.94	1.18	1.32	1.38	1.68	1.10	1.21
max	2.65	3.26	4.30	4.82	2.32	2.83	4.03	4.43
mean	1.85	2.25	2.41	2.69	1.63	1.96	2.27	2.48
st.dev.	0.20	0.25	0.83	0.94	0.18	0.21	0.77	0.85
Q5%	1.63	1.98	1.36	1.47	1.43	1.72	1.30	1.37
Q50%	1.80	2.17	2.17	2.39	1.58	1.89	2.06	2.21
Q95%	2.25	2.75	3.93	4.41	1.98	2.39	3.68	4.05

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	376.00	376.00	376.00	376.00	376.00	376.00	376.00	376.00
min	1.45	1.66	1.07	1.10	1.32	1.51	1.08	1.07
max	6.87	8.32	6.50	6.50	6.73	7.28	6.50	6.50
mean	2.36	2.89	2.26	2.48	2.16	2.51	2.22	2.31
st.dev.	0.88	1.08	0.90	0.97	0.88	0.94	0.90	0.90
Q5%	1.58	1.84	1.32	1.40	1.45	1.65	1.27	1.34
Q50%	2.15	2.65	2.01	2.15	1.91	2.30	1.98	2.03
Q95%	4.61	5.57	4.18	4.68	4.36	4.88	3.97	4.28

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	3325.00	3325.00	3316.00	3316.00	3325.00	3325.00	3316.00	3316.00
min	1.30	1.58	1.07	1.10	1.21	1.35	1.04	1.07
max	6.87	8.67	10.32	16.27	6.73	7.28	8.54	12.27
mean	2.36	3.08	2.53	2.96	2.08	2.56	2.31	2.60
st.dev.	0.70	0.98	0.97	1.31	0.66	0.78	0.87	1.01
Q5%	1.55	1.96	1.34	1.39	1.37	1.66	1.27	1.35
Q50%	2.22	2.90	2.36	2.65	1.93	2.40	2.11	2.42
Q95%	3.70	4.97	4.23	5.48	3.40	4.06	3.84	4.44