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

Model risk of risk models

  1. Home
  2. Model risk of risk models
  3. Firms
  4. 77927310 / ROUSE COMPANY

77927310 / ROUSE COMPANY

1987-10-19 to 1988-01-19
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 64.00 64.00 64.00 64.00 64.00 64.00 64.00 64.00
min 1.41 1.63 1.41 1.41 1.32 1.47 1.41 1.41
max 6.02 7.07 8.15 8.46 5.44 6.30 10.00 7.25
mean 2.73 3.14 3.73 4.81 2.52 2.83 4.13 3.80
st.dev. 1.14 1.41 1.52 1.70 1.00 1.22 1.79 1.38
Q5% 1.59 1.68 1.78 2.93 1.44 1.63 1.96 1.81
Q50% 2.31 2.56 3.56 4.65 2.30 2.34 3.94 3.76
Q95% 5.03 5.94 6.19 7.95 4.52 5.28 7.36 5.88

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 1.32 1.52 1.39 1.91 1.25 1.35 1.28 1.64
max 4.16 4.63 20.58 32.31 3.86 4.28 15.88 24.42
mean 2.35 2.63 2.83 3.58 2.18 2.42 2.73 3.04
st.dev. 0.69 0.77 1.95 3.09 0.64 0.71 1.52 2.30
Q5% 1.39 1.58 1.45 1.94 1.29 1.43 1.49 1.80
Q50% 2.28 2.54 2.51 2.88 2.11 2.35 2.45 2.58
Q95% 3.51 3.92 4.20 5.98 3.24 3.61 4.05 4.59

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 1.57 1.82 1.17 1.18 1.38 1.60 1.21 1.18
max 2.38 2.84 6.70 6.89 2.04 2.47 6.72 6.69
mean 1.93 2.27 2.72 2.80 1.68 1.99 2.69 2.74
st.dev. 0.21 0.26 1.02 1.16 0.16 0.22 0.98 1.05
Q5% 1.65 1.92 1.47 1.47 1.45 1.69 1.47 1.47
Q50% 1.93 2.27 2.39 2.42 1.67 1.99 2.39 2.39
Q95% 2.29 2.74 4.62 5.00 1.96 2.36 4.47 4.80

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 1.61 1.98 1.28 1.35 1.51 1.71 1.19 1.28
max 2.84 3.48 4.97 4.97 2.59 3.01 4.97 4.97
mean 2.22 2.70 2.30 2.56 2.00 2.36 2.10 2.30
st.dev. 0.30 0.35 0.58 0.64 0.26 0.32 0.56 0.59
Q5% 1.81 2.25 1.57 1.66 1.67 1.93 1.42 1.57
Q50% 2.15 2.64 2.16 2.42 2.01 2.29 2.01 2.15
Q95% 2.67 3.22 3.33 3.40 2.38 2.83 3.16 3.33

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 4646.00 4646.00 4637.00 4637.00 4646.00 4646.00 4637.00 4637.00
min 1.21 1.32 1.09 1.09 1.11 1.23 1.07 1.08
max 20.99 17.01 20.58 32.31 23.98 18.52 17.23 24.42
mean 1.99 2.36 2.49 3.14 1.80 2.08 2.32 2.63
st.dev. 0.71 0.77 1.24 2.02 0.71 0.70 1.17 1.40
Q5% 1.42 1.63 1.37 1.44 1.31 1.47 1.31 1.37
Q50% 1.86 2.23 2.22 2.54 1.67 1.96 2.09 2.28
Q95% 2.83 3.41 4.16 7.43 2.56 2.97 3.93 4.89