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

Model risk of risk models

  1. Home
  2. Model risk of risk models
  3. Firms
  4. 52605710 / LENNAR CORP

52605710 / LENNAR CORP

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 1.20 1.37 1.06 1.20 1.10 1.25 1.16 1.07
max 4.10 4.90 4.20 4.20 3.65 4.32 4.20 4.20
mean 1.75 2.07 2.01 2.26 1.57 1.84 2.01 2.03
st.dev. 0.29 0.35 0.55 0.60 0.25 0.31 0.56 0.55
Q5% 1.44 1.69 1.31 1.41 1.30 1.51 1.30 1.34
Q50% 1.70 2.02 1.90 2.13 1.53 1.79 1.90 1.91
Q95% 2.19 2.58 2.88 3.24 1.96 2.30 2.93 2.89

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 1.32 1.49 1.14 1.74 1.22 1.37 1.15 1.32
max 3.31 3.71 6.82 6.82 3.18 3.42 6.82 6.82
mean 1.82 2.03 3.07 3.48 1.76 1.87 3.14 3.14
st.dev. 0.43 0.51 1.33 1.18 0.41 0.46 1.37 1.24
Q5% 1.33 1.51 1.22 1.74 1.24 1.37 1.36 1.32
Q50% 1.78 1.96 2.95 3.69 1.76 1.79 3.10 3.12
Q95% 2.65 2.99 5.44 5.39 2.54 2.74 5.51 5.39

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 1.54 1.92 1.35 1.98 1.35 1.65 1.34 1.52
max 3.54 4.32 4.86 7.68 3.73 3.76 4.34 5.81
mean 1.90 2.46 2.44 3.38 1.87 2.06 2.21 2.72
st.dev. 0.37 0.43 0.91 1.60 0.45 0.38 0.72 1.15
Q5% 1.58 1.99 1.45 1.99 1.41 1.69 1.43 1.56
Q50% 1.78 2.36 2.16 2.78 1.73 1.95 2.00 2.27
Q95% 2.73 3.31 4.34 6.79 2.86 2.89 3.67 5.14

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 2.15 2.72 1.41 1.47 1.90 2.31 1.31 1.33
max 9.53 12.31 6.37 6.37 9.48 10.35 6.37 6.37
mean 3.70 4.78 3.34 3.39 3.72 4.02 3.30 3.34
st.dev. 1.47 1.91 1.19 1.22 1.47 1.60 1.18 1.21
Q5% 2.29 2.90 1.55 1.58 2.10 2.47 1.55 1.55
Q50% 3.33 4.32 3.14 3.14 3.34 3.63 3.14 3.14
Q95% 6.70 8.58 5.46 5.66 6.62 7.25 5.35 5.50

2001-03-14 to 2001-11-14
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 97.00 97.00 97.00 97.00 97.00 97.00 97.00 97.00
min 1.52 1.77 1.20 1.49 1.40 1.59 1.09 1.27
max 2.18 2.68 3.11 3.88 2.24 2.32 2.72 3.29
mean 1.74 2.08 2.05 2.47 1.71 1.83 1.87 2.15
st.dev. 0.18 0.25 0.62 0.80 0.24 0.20 0.51 0.66
Q5% 1.53 1.80 1.24 1.50 1.43 1.61 1.16 1.27
Q50% 1.70 2.01 2.05 2.32 1.63 1.79 1.86 2.15
Q95% 2.08 2.52 3.00 3.74 2.13 2.19 2.64 3.18

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 5162.00 5162.00 5153.00 5153.00 5162.00 5162.00 5153.00 5153.00
min 1.20 1.37 1.06 1.04 1.10 1.25 1.07 1.07
max 9.53 12.31 10.31 16.17 9.48 10.35 9.28 12.23
mean 2.07 2.58 2.34 2.86 1.88 2.21 2.21 2.48
st.dev. 0.57 0.78 0.89 1.48 0.54 0.63 0.77 1.06
Q5% 1.47 1.68 1.30 1.37 1.34 1.52 1.27 1.32
Q50% 1.96 2.43 2.18 2.41 1.77 2.09 2.10 2.24
Q95% 3.09 3.96 4.12 5.76 2.85 3.32 3.67 4.57