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

Model risk of risk models

01447610 / ALEXANDER & ALEXANDER SVCS INC


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 1.39 1.62 1.33 1.42 1.30 1.44 1.19 1.31
max 4.19 4.85 7.44 7.44 4.10 4.37 7.44 7.44
mean 1.82 2.05 3.30 3.52 1.79 1.88 3.24 3.35
st.dev. 0.45 0.53 1.48 1.45 0.44 0.47 1.49 1.47
Q5% 1.43 1.64 1.74 1.96 1.35 1.49 1.74 1.74
Q50% 1.73 1.90 2.91 3.17 1.67 1.80 2.80 2.98
Q95% 2.51 2.89 5.98 5.98 2.39 2.61 5.98 5.98


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 1.47 1.72 1.31 1.90 1.32 1.54 1.15 1.50
max 2.50 2.97 7.47 10.13 2.24 2.63 6.24 8.28
mean 1.68 1.98 2.48 3.43 1.50 1.76 2.22 2.76
st.dev. 0.16 0.20 0.99 1.51 0.14 0.17 0.84 1.16
Q5% 1.49 1.76 1.44 1.94 1.34 1.57 1.30 1.53
Q50% 1.64 1.94 2.23 3.02 1.47 1.73 2.00 2.45
Q95% 2.01 2.39 4.30 6.12 1.79 2.12 3.82 4.91


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 3476.00 3476.00 3467.00 3467.00 3476.00 3476.00 3467.00 3467.00
min 1.27 1.45 1.04 1.13 1.17 1.33 1.05 1.05
max 15.29 22.50 20.05 32.44 13.33 17.58 15.25 24.16
mean 1.87 2.28 2.37 2.83 1.69 1.98 2.21 2.50
st.dev. 0.67 1.04 1.07 1.63 0.56 0.79 0.87 1.24
Q5% 1.40 1.61 1.27 1.34 1.30 1.46 1.24 1.28
Q50% 1.70 2.01 2.10 2.35 1.55 1.78 2.02 2.17
Q95% 2.73 3.66 4.38 6.15 2.41 3.01 3.77 4.92