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

Model risk of risk models

  1. Home
  2. Model risk of risk models
  3. Firms
  4. 22682210 / CROCKER NATIONAL CORP

22682210 / CROCKER NATIONAL CORP

1977-05-14 to 1977-10-14
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 106.00 106.00 106.00 106.00 106.00 106.00 106.00 106.00
min 1.67 1.77 1.71 1.71 1.58 1.68 1.71 1.71
max 3.20 3.40 7.10 11.42 3.02 3.20 5.42 8.53
mean 2.25 2.38 3.24 3.48 2.14 2.25 3.13 3.31
st.dev. 0.47 0.49 1.16 1.70 0.44 0.47 1.03 1.31
Q5% 1.72 1.82 1.75 1.75 1.64 1.73 1.75 1.75
Q50% 2.12 2.23 3.11 3.11 2.03 2.12 3.05 3.11
Q95% 3.05 3.24 5.07 6.28 2.88 3.05 4.88 5.07

1980-01-14 to 1980-07-14
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 126.00 126.00 126.00 126.00 126.00 126.00 126.00 126.00
min 1.36 1.51 1.07 1.13 1.26 1.40 1.10 1.07
max 2.40 2.70 6.25 6.92 2.21 2.47 5.82 6.42
mean 1.68 1.89 2.24 2.27 1.55 1.73 2.29 2.24
st.dev. 0.26 0.29 0.86 0.90 0.23 0.27 0.84 0.87
Q5% 1.38 1.55 1.19 1.21 1.28 1.42 1.21 1.16
Q50% 1.62 1.81 2.09 2.10 1.51 1.66 2.15 2.09
Q95% 2.12 2.39 3.85 3.88 1.96 2.19 3.86 3.85

1981-07-14 to 1982-11-14
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 339.00 339.00 339.00 339.00 339.00 339.00 339.00 339.00
min 1.44 1.71 1.21 1.28 1.28 1.51 1.07 1.17
max 6.17 6.76 6.10 9.20 6.60 6.17 6.19 7.09
mean 1.97 2.37 2.32 2.43 1.80 2.08 2.19 2.29
st.dev. 0.55 0.66 0.80 0.95 0.56 0.58 0.77 0.84
Q5% 1.53 1.77 1.33 1.37 1.38 1.59 1.26 1.34
Q50% 1.83 2.16 2.17 2.27 1.67 1.92 2.05 2.13
Q95% 2.90 3.49 3.65 3.71 2.58 3.08 3.58 3.67

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 2521.00 2521.00 2512.00 2512.00 2521.00 2521.00 2512.00 2512.00
min 1.20 1.34 1.07 1.08 1.12 1.24 1.07 1.05
max 6.17 7.82 9.13 12.09 6.60 6.62 8.71 10.02
mean 1.80 2.06 2.38 2.45 1.68 1.87 2.33 2.37
st.dev. 0.52 0.66 0.92 1.04 0.51 0.56 0.90 0.96
Q5% 1.32 1.46 1.30 1.30 1.24 1.36 1.29 1.28
Q50% 1.67 1.93 2.23 2.28 1.53 1.74 2.18 2.22
Q95% 2.75 3.20 4.08 4.20 2.62 2.84 3.99 4.13