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

Model risk of risk models

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	14.00	14.00	5.00	5.00	14.00	14.00	5.00	5.00
min	2.15	3.03	2.58	3.73	1.58	2.28	2.22	2.96
max	2.56	3.61	2.91	4.20	1.88	2.72	2.51	3.33
mean	2.34	3.31	2.80	4.04	1.72	2.49	2.41	3.20
st.dev.	0.10	0.15	0.15	0.21	0.08	0.11	0.13	0.17
Q5%	2.19	3.08	2.61	3.76	1.60	2.32	2.24	2.99
Q50%	2.34	3.32	2.88	4.16	1.71	2.49	2.48	3.30
Q95%	2.49	3.51	2.91	4.20	1.82	2.64	2.51	3.33

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	218.00	218.00	209.00	209.00	218.00	218.00	209.00	209.00
min	2.15	3.03	2.33	3.33	1.58	2.28	2.00	2.67
max	8.66	17.60	8.93	14.43	5.99	11.07	8.93	10.09
mean	5.03	8.33	4.70	6.51	3.86	5.84	4.15	5.27
st.dev.	1.70	3.77	1.39	2.15	1.31	2.25	1.35	1.62
Q5%	2.42	3.42	2.91	3.80	1.76	2.57	2.50	3.29
Q50%	4.92	7.35	4.47	6.28	4.04	5.60	3.87	4.90
Q95%	8.15	16.55	7.50	11.07	5.63	10.41	6.75	8.80