--- 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	169.00	169.00	169.00	169.00	169.00	169.00	169.00	169.00
min	1.37	1.64	1.20	1.93	1.22	1.44	1.12	1.43
max	3.73	4.46	4.81	5.48	3.33	3.93	4.81	4.81
mean	2.05	2.44	2.24	3.01	1.84	2.16	2.17	2.44
st.dev.	0.43	0.52	0.78	1.11	0.38	0.45	0.75	0.85
Q5%	1.47	1.72	1.28	1.96	1.32	1.54	1.25	1.44
Q50%	2.02	2.41	2.06	2.63	1.79	2.13	1.97	2.22
Q95%	2.74	3.29	3.54	5.16	2.43	2.89	3.61	3.95

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	1.93	2.18	1.73	1.75	1.83	2.00	1.70	1.72
max	4.65	5.34	6.57	6.57	4.99	4.84	6.67	6.57
mean	2.88	3.28	3.35	3.18	2.93	2.98	3.80	3.19
st.dev.	0.72	0.83	1.17	1.18	0.79	0.75	1.20	1.16
Q5%	1.99	2.26	2.15	1.96	1.97	2.06	2.48	2.01
Q50%	2.95	3.35	2.87	2.68	2.95	3.05	3.42	2.69
Q95%	4.09	4.70	5.78	5.78	4.39	4.25	6.34	5.71

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	3222.00	3222.00	3213.00	3213.00	3222.00	3222.00	3213.00	3213.00
min	1.18	1.29	1.10	1.10	1.11	1.21	1.04	1.07
max	13.77	13.91	19.95	29.61	13.73	13.67	16.57	23.64
mean	2.04	2.40	2.54	2.95	1.88	2.14	2.42	2.63
st.dev.	0.61	0.75	1.27	1.87	0.56	0.65	1.10	1.41
Q5%	1.37	1.53	1.35	1.37	1.29	1.41	1.34	1.37
Q50%	1.94	2.30	2.22	2.39	1.78	2.03	2.16	2.26
Q95%	2.96	3.54	4.86	6.12	2.75	3.12	4.32	5.09