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

Model risk of risk models

1998-08-14 to 1998-11-14
	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	65.00	65.00	65.00	65.00	65.00	65.00	65.00	65.00
min	1.59	1.92	1.65	1.65	1.62	1.68	1.84	1.65
max	3.89	4.72	8.08	12.19	3.66	4.12	7.32	9.29
mean	2.51	3.02	2.95	3.09	2.30	2.65	3.09	2.99
st.dev.	0.51	0.63	1.16	1.70	0.45	0.55	1.09	1.31
Q5%	1.88	2.24	1.81	1.81	1.77	1.98	1.99	1.81
Q50%	2.41	2.91	2.60	2.60	2.22	2.55	2.75	2.59
Q95%	3.49	4.22	4.69	5.89	3.12	3.69	4.87	4.83

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	1.49	1.86	1.08	1.28	1.38	1.59	1.12	1.12
max	2.59	3.24	8.25	12.61	2.28	2.77	6.63	9.53
mean	1.98	2.46	1.98	2.38	1.76	2.11	1.92	2.10
st.dev.	0.24	0.32	0.87	1.32	0.21	0.26	0.69	1.02
Q5%	1.63	1.98	1.22	1.32	1.43	1.72	1.25	1.24
Q50%	1.98	2.45	1.84	2.12	1.75	2.11	1.77	1.92
Q95%	2.37	3.02	2.72	3.37	2.10	2.53	2.61	2.93

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	3740.00	3740.00	3731.00	3731.00	3740.00	3740.00	3731.00	3731.00
min	1.11	1.32	1.06	1.05	1.06	1.16	1.07	1.05
max	5.80	7.20	14.28	22.05	5.49	6.20	11.87	16.71
mean	1.74	2.05	2.07	2.28	1.59	1.82	2.02	2.11
st.dev.	0.37	0.49	0.90	1.31	0.34	0.40	0.77	1.02
Q5%	1.25	1.42	1.22	1.28	1.17	1.28	1.22	1.23
Q50%	1.69	1.99	1.92	2.04	1.54	1.77	1.90	1.93
Q95%	2.35	2.90	3.25	3.61	2.13	2.50	3.16	3.33