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

Model risk of risk models

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	112.00	112.00	103.00	103.00	112.00	112.00	103.00	103.00
min	1.58	1.89	1.24	1.24	1.43	1.67	1.24	1.24
max	9.04	11.48	13.62	13.62	9.04	9.75	13.62	13.62
mean	2.83	3.51	3.18	3.23	2.65	3.02	3.15	3.19
st.dev.	1.71	2.23	1.95	1.95	1.73	1.87	1.95	1.95
Q5%	1.62	1.95	1.41	1.47	1.44	1.71	1.40	1.42
Q50%	1.93	2.31	2.58	2.69	1.73	2.03	2.53	2.59
Q95%	6.49	8.35	6.83	6.84	6.41	7.03	6.78	6.83

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	1088.00	1088.00	1079.00	1079.00	1088.00	1088.00	1079.00	1079.00
min	1.54	1.89	1.24	1.24	1.35	1.66	1.17	1.24
max	10.36	16.45	18.86	37.31	9.04	11.44	13.62	21.49
mean	3.54	5.26	6.31	9.50	2.65	3.89	3.66	6.50
st.dev.	1.78	2.87	3.38	5.64	1.15	1.98	1.74	3.59
Q5%	1.69	2.23	2.08	2.73	1.46	1.83	1.46	2.14
Q50%	2.95	4.28	5.90	8.84	2.30	3.22	3.37	6.03
Q95%	7.12	10.90	12.33	18.36	4.95	7.80	6.86	12.62