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

Model risk of risk models

  1. Home
  2. Model risk of risk models
  3. Firms
  4. 37056310 / GENERAL RE CORP

37056310 / GENERAL RE CORP

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 1.21 1.30 1.12 1.17 1.16 1.22 1.06 1.14
max 3.23 3.52 4.20 4.20 3.11 3.31 4.20 4.20
mean 1.93 2.01 2.05 2.08 1.92 1.95 2.06 2.05
st.dev. 0.53 0.58 0.82 0.81 0.52 0.54 0.83 0.82
Q5% 1.26 1.40 1.17 1.22 1.23 1.29 1.15 1.19
Q50% 1.73 1.78 1.81 1.82 1.74 1.74 1.83 1.81
Q95% 2.87 3.16 3.58 3.59 2.77 2.95 3.63 3.58

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 1.20 1.51 1.06 1.18 1.11 1.27 1.05 1.10
max 2.00 2.41 3.74 3.86 1.91 2.04 3.74 3.74
mean 1.41 1.74 1.96 2.10 1.31 1.49 1.92 2.00
st.dev. 0.13 0.21 0.58 0.65 0.11 0.15 0.56 0.60
Q5% 1.25 1.52 1.21 1.27 1.19 1.30 1.20 1.21
Q50% 1.39 1.70 1.89 2.01 1.30 1.47 1.81 1.92
Q95% 1.64 2.18 2.99 3.30 1.50 1.79 2.96 3.08

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 1.58 1.54 1.60 1.60 1.67 1.52 1.79 1.60
max 3.29 2.98 33.28 53.56 3.35 3.15 29.67 39.99
mean 2.09 1.92 3.49 3.79 2.13 1.98 3.62 3.57
st.dev. 0.29 0.24 3.94 6.38 0.29 0.27 3.48 4.73
Q5% 1.74 1.60 1.77 1.74 1.77 1.65 1.93 1.76
Q50% 2.03 1.89 2.53 2.53 2.09 1.94 2.84 2.53
Q95% 2.50 2.28 5.38 5.38 2.61 2.33 5.38 5.34

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 3575.00 3575.00 3566.00 3566.00 3575.00 3575.00 3566.00 3566.00
min 1.17 1.24 1.03 1.03 1.11 1.19 1.04 1.03
max 6.90 6.57 33.28 53.56 6.75 6.70 29.67 39.99
mean 1.52 1.72 2.13 2.31 1.43 1.57 2.07 2.17
st.dev. 0.30 0.36 1.08 1.60 0.30 0.30 0.93 1.24
Q5% 1.27 1.38 1.25 1.28 1.20 1.30 1.25 1.25
Q50% 1.46 1.64 1.97 2.06 1.37 1.50 1.94 1.98
Q95% 1.99 2.41 3.23 3.75 1.86 2.09 3.15 3.34