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

Model risk of risk models

1980-01-14 to 1980-07-14
	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	32.00	32.00	23.00	23.00	32.00	32.00	23.00	23.00
min	1.22	1.32	1.11	1.11	1.16	1.25	1.13	1.11
max	2.14	2.27	4.25	6.10	2.03	2.15	3.42	4.83
mean	1.39	1.48	1.87	1.97	1.32	1.40	1.85	1.89
st.dev.	0.24	0.25	0.74	1.06	0.22	0.24	0.62	0.83
Q5%	1.23	1.33	1.13	1.14	1.17	1.25	1.15	1.14
Q50%	1.29	1.38	1.63	1.63	1.23	1.31	1.64	1.63
Q95%	2.01	2.14	3.19	3.38	1.91	2.03	3.10	3.19

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	339.00	339.00	339.00	339.00	339.00	339.00	339.00	339.00
min	1.22	1.29	1.09	1.09	1.15	1.22	1.07	1.09
max	4.88	5.28	6.58	6.58	4.57	4.94	6.58	6.58
mean	1.45	1.54	2.02	2.03	1.38	1.46	2.02	2.02
st.dev.	0.35	0.36	1.07	1.08	0.34	0.35	1.05	1.07
Q5%	1.23	1.31	1.21	1.22	1.16	1.24	1.21	1.21
Q50%	1.37	1.47	1.69	1.69	1.29	1.39	1.69	1.69
Q95%	2.10	2.15	4.56	4.56	2.10	2.10	4.56	4.56

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	623.00	623.00	614.00	614.00	623.00	623.00	614.00	614.00
min	1.20	1.28	1.07	1.08	1.15	1.22	1.05	1.07
max	4.88	5.28	6.58	6.58	4.57	4.94	6.58	6.58
mean	1.45	1.55	1.97	1.98	1.39	1.47	1.97	1.97
st.dev.	0.29	0.31	0.89	0.91	0.28	0.29	0.87	0.89
Q5%	1.23	1.32	1.21	1.21	1.17	1.25	1.21	1.21
Q50%	1.38	1.47	1.73	1.74	1.32	1.40	1.74	1.73
Q95%	1.93	2.08	3.96	4.00	1.86	1.98	3.86	3.93