--- 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	199.00	199.00	190.00	190.00	199.00	199.00	190.00	190.00
min	1.21	1.32	1.34	1.36	1.15	1.24	1.27	1.36
max	2.99	3.31	4.60	4.53	2.78	3.07	4.80	4.57
mean	1.49	1.63	2.30	2.48	1.40	1.52	2.26	2.35
st.dev.	0.23	0.25	0.60	0.58	0.21	0.23	0.64	0.59
Q5%	1.26	1.38	1.48	1.60	1.19	1.29	1.45	1.51
Q50%	1.41	1.57	2.21	2.42	1.32	1.45	2.12	2.25
Q95%	1.87	2.06	3.56	3.55	1.75	1.92	3.65	3.56

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	785.00	785.00	776.00	776.00	785.00	785.00	776.00	776.00
min	1.11	1.21	1.19	1.13	1.07	1.13	1.20	1.18
max	2.99	3.31	4.60	4.53	2.78	3.07	4.80	4.57
mean	1.61	1.79	2.00	2.05	1.50	1.66	1.98	2.01
st.dev.	0.27	0.31	0.54	0.57	0.26	0.28	0.55	0.55
Q5%	1.29	1.43	1.34	1.39	1.22	1.33	1.30	1.34
Q50%	1.57	1.75	1.92	1.94	1.46	1.61	1.90	1.93
Q95%	2.07	2.35	3.07	3.18	1.94	2.14	3.08	3.08