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

Model risk of risk models

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	1.63	1.93	1.49	1.70	1.43	1.70	1.27	1.49
max	6.75	8.11	10.06	15.86	6.09	7.13	8.45	11.96
mean	2.54	2.95	3.25	3.71	2.37	2.64	3.04	3.37
st.dev.	1.05	1.31	2.00	2.87	0.93	1.13	1.73	2.26
Q5%	1.64	1.97	1.50	1.70	1.52	1.73	1.39	1.50
Q50%	2.26	2.44	2.32	2.36	2.14	2.31	2.28	2.32
Q95%	4.74	5.71	7.39	10.02	4.32	5.01	5.91	7.94

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	35.00	35.00	35.00	35.00	35.00	35.00	35.00	35.00
min	1.17	1.51	1.30	1.55	1.32	1.22	1.30	1.34
max	3.54	4.31	3.94	4.60	3.68	3.71	4.00	3.92
mean	2.18	2.62	1.98	2.28	2.27	2.26	1.95	2.03
st.dev.	0.61	0.76	0.63	0.73	0.62	0.65	0.63	0.63
Q5%	1.31	1.56	1.34	1.55	1.41	1.35	1.34	1.37
Q50%	2.15	2.56	1.68	2.11	2.22	2.21	1.71	1.76
Q95%	3.26	4.08	2.99	3.42	3.36	3.43	3.02	3.01

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	1052.00	1052.00	1043.00	1043.00	1052.00	1052.00	1043.00	1043.00
min	1.08	1.50	1.19	1.32	1.21	1.19	1.11	1.21
max	11.79	14.49	12.82	20.73	12.26	12.48	10.70	15.44
mean	2.05	2.58	3.17	3.66	1.89	2.18	2.84	3.25
st.dev.	0.74	0.95	1.46	1.90	0.76	0.79	1.27	1.57
Q5%	1.44	1.78	1.46	1.65	1.35	1.54	1.36	1.49
Q50%	1.92	2.36	2.97	3.41	1.74	2.04	2.60	3.03
Q95%	2.93	3.86	5.71	6.25	2.80	3.19	5.05	5.92