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

Model risk of risk models

  1. Home
  2. Model risk of risk models
  3. Firms
  4. 37465810 / GIBRALTAR FINANCIAL CORP

37465810 / GIBRALTAR FINANCIAL 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 1.28 1.44 1.19 1.19 1.21 1.32 1.21 1.19
max 2.25 2.62 2.97 3.26 2.25 2.31 2.93 2.90
mean 1.81 2.11 1.95 1.95 1.81 1.86 1.94 1.93
st.dev. 0.20 0.23 0.47 0.48 0.20 0.20 0.46 0.46
Q5% 1.50 1.77 1.38 1.38 1.50 1.56 1.40 1.38
Q50% 1.82 2.12 1.81 1.80 1.82 1.87 1.83 1.80
Q95% 2.11 2.47 2.70 2.75 2.11 2.18 2.70 2.68

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 127.00 127.00 127.00 127.00 127.00 127.00 127.00 127.00
min 1.64 1.96 1.09 1.13 1.44 1.73 1.13 1.10
max 4.34 5.40 4.01 4.01 3.93 4.65 4.01 4.01
mean 2.16 2.66 2.12 2.17 1.93 2.30 2.10 2.12
st.dev. 0.57 0.72 0.67 0.69 0.51 0.61 0.66 0.67
Q5% 1.66 2.02 1.26 1.26 1.46 1.76 1.24 1.26
Q50% 1.95 2.42 2.08 2.14 1.80 2.08 2.04 2.09
Q95% 3.44 4.27 3.26 3.26 3.12 3.68 3.26 3.26

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 340.00 340.00 340.00 340.00 340.00 340.00 340.00 340.00
min 1.53 1.74 1.07 1.10 1.36 1.57 1.05 1.09
max 4.23 5.09 7.81 8.60 3.88 4.47 7.10 8.02
mean 1.99 2.36 2.08 2.11 1.80 2.09 2.05 2.07
st.dev. 0.44 0.50 0.93 0.97 0.40 0.44 0.89 0.93
Q5% 1.60 1.90 1.21 1.19 1.42 1.68 1.19 1.19
Q50% 1.82 2.18 1.80 1.83 1.65 1.92 1.78 1.80
Q95% 2.82 3.31 4.01 3.99 2.54 2.91 3.99 4.01

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 1.68 1.94 1.35 1.66 1.53 1.75 1.34 1.44
max 4.27 4.96 6.14 6.14 4.08 4.45 6.14 6.14
mean 2.66 3.08 2.97 3.06 2.52 2.77 2.96 2.99
st.dev. 0.67 0.79 1.19 1.17 0.65 0.70 1.20 1.18
Q5% 1.81 2.05 1.68 1.69 1.71 1.88 1.66 1.68
Q50% 2.55 2.96 2.85 2.96 2.36 2.66 2.81 2.96
Q95% 3.91 4.54 5.17 5.18 3.74 4.08 5.17 5.17

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 3868.00 3868.00 3868.00 3868.00 3868.00 3868.00 3868.00 3868.00
min 1.23 1.32 1.03 1.04 1.19 1.25 1.03 1.03
max 6.29 7.22 10.70 16.73 5.73 6.54 8.26 12.67
mean 1.83 2.11 2.07 2.13 1.70 1.90 2.04 2.08
st.dev. 0.49 0.59 0.68 0.77 0.45 0.51 0.66 0.70
Q5% 1.37 1.51 1.25 1.26 1.30 1.40 1.26 1.24
Q50% 1.71 1.98 1.97 2.01 1.58 1.77 1.95 1.97
Q95% 2.70 3.15 3.20 3.44 2.52 2.81 3.11 3.23