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

Model risk of risk models

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	306.00	306.00	297.00	297.00	306.00	306.00	297.00	297.00
min	1.54	1.82	1.19	1.21	1.38	1.59	1.09	1.15
max	3.82	4.71	4.24	4.24	3.71	4.06	4.24	4.24
mean	2.10	2.65	2.07	2.12	1.88	2.26	1.98	2.04
st.dev.	0.35	0.46	0.71	0.73	0.35	0.38	0.68	0.69
Q5%	1.70	2.07	1.30	1.33	1.54	1.80	1.20	1.26
Q50%	2.01	2.56	1.87	1.90	1.79	2.17	1.82	1.84
Q95%	2.86	3.61	3.53	3.57	2.64	3.08	3.35	3.40

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	2.21	2.63	1.25	1.26	1.97	2.33	1.33	1.27
max	5.76	7.03	8.63	8.66	5.17	6.12	8.60	8.63
mean	4.20	5.09	3.47	3.52	3.73	4.44	3.46	3.47
st.dev.	0.70	0.87	1.43	1.41	0.64	0.75	1.43	1.43
Q5%	2.96	3.57	1.69	2.05	2.62	3.13	1.69	1.69
Q50%	4.13	5.00	3.28	3.32	3.67	4.37	3.26	3.28
Q95%	5.45	6.66	5.77	5.77	4.88	5.79	5.84	5.77

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	2091.00	2091.00	2082.00	2082.00	2091.00	2091.00	2082.00	2082.00
min	1.23	1.37	1.04	1.02	1.15	1.27	1.05	1.03
max	15.17	26.31	14.53	22.06	12.01	18.97	11.39	16.96
mean	2.50	3.10	2.22	2.29	2.24	2.68	2.19	2.23
st.dev.	1.16	1.57	0.97	1.09	1.05	1.28	0.93	1.00
Q5%	1.57	1.86	1.26	1.27	1.41	1.65	1.23	1.25
Q50%	2.08	2.56	2.00	2.05	1.87	2.22	1.97	2.01
Q95%	4.91	6.42	3.86	4.02	4.36	5.32	3.75	3.87