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

Model risk of risk models

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	12.00	12.00	3.00	3.00	12.00	12.00	3.00	3.00
min	1.42	1.80	1.38	1.43	1.52	1.48	1.43	1.38
max	1.73	2.18	1.84	1.97	2.01	1.80	1.84	1.84
mean	1.53	1.97	1.54	1.61	1.73	1.58	1.58	1.54
st.dev.	0.10	0.12	0.26	0.31	0.15	0.10	0.23	0.26
Q5%	1.43	1.80	1.38	1.43	1.54	1.48	1.43	1.38
Q50%	1.54	1.95	1.41	1.43	1.73	1.56	1.46	1.41
Q95%	1.68	2.15	1.80	1.91	1.95	1.75	1.80	1.80

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	331.00	331.00	322.00	322.00	331.00	331.00	322.00	322.00
min	1.33	1.57	1.13	1.35	1.25	1.37	1.08	1.17
max	2.07	2.61	3.24	3.99	2.32	2.14	3.24	3.34
mean	1.47	1.93	1.92	2.24	1.53	1.56	1.81	1.96
st.dev.	0.11	0.23	0.52	0.66	0.19	0.13	0.47	0.53
Q5%	1.35	1.63	1.26	1.47	1.29	1.40	1.18	1.29
Q50%	1.45	1.88	1.82	2.03	1.51	1.54	1.74	1.85
Q95%	1.65	2.37	2.91	3.50	1.86	1.80	2.68	2.98