--- 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	1.40	1.62	1.13	-0.13	1.26	1.46	1.22	-0.28
max	11.19	10.10	13.86	89.63	11.60	9.13	18.50	41.45
mean	3.03	3.43	2.93	3.73	3.05	3.09	3.33	3.03
st.dev.	1.82	1.88	1.91	5.15	2.11	1.69	2.63	2.75
Q5%	1.44	1.67	1.32	1.39	1.31	1.50	1.39	1.28
Q50%	2.29	2.62	2.22	2.45	2.09	2.38	2.26	2.22
Q95%	6.23	6.94	6.26	7.87	7.60	6.28	8.65	6.33

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	2203.00	2203.00	2194.00	2194.00	2203.00	2203.00	2194.00	2194.00
min	1.29	1.42	1.13	-0.13	1.21	1.32	1.22	-0.28
max	11.19	10.10	21.03	89.63	11.60	9.13	18.50	41.45
mean	2.44	3.00	3.16	3.76	2.19	2.57	2.94	3.24
st.dev.	1.16	1.43	1.70	2.86	1.14	1.18	1.66	1.96
Q5%	1.38	1.54	1.41	1.58	1.28	1.42	1.43	1.40
Q50%	2.00	2.41	2.58	2.92	1.83	2.09	2.36	2.59
Q95%	4.54	5.76	6.38	7.74	3.99	4.86	5.93	6.59