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

Model risk of risk models

2007-12-14 to 2009-06-14
	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	376.00	376.00	376.00	376.00	376.00	376.00	376.00	376.00
min	1.37	1.56	1.08	1.09	1.31	1.42	1.06	1.07
max	10.46	11.62	8.02	8.06	11.58	10.29	7.99	8.03
mean	2.50	3.10	2.28	2.40	2.57	2.63	2.23	2.29
st.dev.	1.40	1.64	0.93	1.01	1.59	1.39	0.92	0.95
Q5%	1.50	1.70	1.33	1.34	1.43	1.55	1.28	1.30
Q50%	2.08	2.51	1.99	2.11	2.00	2.19	1.98	2.00
Q95%	5.94	6.86	3.99	4.22	6.18	6.09	3.96	4.03

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	2415.00	2415.00	2406.00	2406.00	2415.00	2415.00	2406.00	2406.00
min	1.22	1.24	1.03	1.09	1.20	1.24	1.06	1.07
max	10.46	11.62	8.02	8.06	11.58	10.29	7.99	8.03
mean	2.16	2.90	2.38	2.69	1.99	2.36	2.18	2.42
st.dev.	0.75	1.27	0.77	0.90	0.83	0.86	0.70	0.79
Q5%	1.42	1.60	1.35	1.48	1.33	1.48	1.27	1.38
Q50%	2.04	2.52	2.26	2.59	1.81	2.17	2.06	2.31
Q95%	3.15	5.64	3.75	4.21	3.12	3.86	3.44	3.78