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

Model risk of risk models

  1. Home
  2. Model risk of risk models
  3. Firms
  4. 74144T10 / T ROWE PRICE GROUP INC

74144T10 / T ROWE PRICE GROUP INC

1990-07-14 to 1991-03-14
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 169.00 169.00 169.00 169.00 169.00 169.00 169.00 169.00
min 1.55 1.87 1.41 2.22 1.37 1.64 1.10 1.68
max 3.79 4.62 6.06 8.97 3.33 4.02 5.70 6.59
mean 2.31 2.79 2.82 4.20 2.05 2.45 2.45 3.18
st.dev. 0.58 0.70 1.15 1.96 0.51 0.61 0.99 1.36
Q5% 1.58 1.93 1.59 2.25 1.41 1.68 1.33 1.73
Q50% 2.25 2.69 2.55 3.48 1.99 2.38 2.19 2.72
Q95% 3.44 4.15 5.11 8.00 3.04 3.64 4.48 5.81

1998-08-14 to 1998-11-14
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 65.00 65.00 65.00 65.00 65.00 65.00 65.00 65.00
min 1.60 1.89 1.39 1.28 1.48 1.67 1.43 1.34
max 4.82 5.45 20.46 31.58 4.53 4.95 17.16 23.88
mean 2.41 2.74 2.97 3.11 2.26 2.48 3.01 3.00
st.dev. 0.74 0.83 2.41 3.72 0.70 0.76 2.03 2.80
Q5% 1.65 1.93 1.60 1.49 1.53 1.71 1.66 1.55
Q50% 2.26 2.57 2.58 2.46 2.10 2.31 2.62 2.53
Q95% 4.04 4.58 5.02 5.02 3.79 4.15 5.02 5.02

2001-03-14 to 2001-11-14
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 168.00 168.00 168.00 168.00 168.00 168.00 168.00 168.00
min 1.26 1.39 1.09 1.13 1.17 1.29 1.11 1.09
max 2.85 3.00 3.52 3.52 2.85 2.85 3.57 3.52
mean 1.80 1.93 1.97 2.04 1.76 1.82 1.97 1.96
st.dev. 0.42 0.41 0.43 0.43 0.44 0.40 0.43 0.43
Q5% 1.28 1.41 1.27 1.29 1.23 1.31 1.30 1.27
Q50% 1.68 1.84 2.00 2.10 1.65 1.71 2.00 2.01
Q95% 2.62 2.75 2.81 2.77 2.62 2.62 2.88 2.79

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 1.54 1.76 1.25 1.36 1.42 1.60 1.26 1.29
max 5.04 6.01 6.73 6.82 4.49 5.31 7.13 6.75
mean 2.74 3.07 2.60 2.64 2.55 2.82 2.67 2.59
st.dev. 0.71 0.82 0.94 0.94 0.65 0.74 0.95 0.94
Q5% 2.00 2.21 1.50 1.57 1.86 2.05 1.49 1.49
Q50% 2.53 2.82 2.40 2.44 2.37 2.60 2.44 2.40
Q95% 4.30 4.84 4.40 4.40 4.02 4.45 4.52 4.42

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 5745.00 5745.00 5736.00 5736.00 5745.00 5745.00 5736.00 5736.00
min 1.14 1.20 1.05 1.09 1.11 1.16 1.05 1.06
max 5.04 6.01 20.46 31.58 4.53 5.31 17.16 23.88
mean 1.98 2.31 2.39 2.70 1.81 2.06 2.19 2.40
st.dev. 0.54 0.66 0.97 1.35 0.50 0.57 0.80 1.03
Q5% 1.37 1.51 1.32 1.41 1.28 1.40 1.30 1.32
Q50% 1.83 2.19 2.20 2.39 1.66 1.92 2.06 2.19
Q95% 3.13 3.74 3.99 4.63 2.84 3.29 3.51 3.97