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

Model risk of risk models

  1. Home
  2. Model risk of risk models
  3. Firms
  4. 80851310 / SCHWAB CHARLES CORP NEW

80851310 / SCHWAB CHARLES CORP NEW

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 1.44 1.66 1.34 1.24 1.45 1.50 1.42 1.31
max 2.60 3.01 4.17 4.17 2.50 2.71 4.17 4.17
mean 1.99 2.29 2.56 2.43 1.91 2.07 2.64 2.51
st.dev. 0.29 0.34 0.72 0.71 0.26 0.30 0.73 0.71
Q5% 1.50 1.73 1.54 1.42 1.48 1.56 1.62 1.50
Q50% 2.02 2.34 2.50 2.36 1.92 2.10 2.59 2.46
Q95% 2.44 2.82 4.00 3.93 2.36 2.54 4.02 3.98

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 1.43 1.58 1.29 1.31 1.32 1.48 1.27 1.29
max 2.66 2.89 4.79 4.85 2.54 2.70 4.56 4.73
mean 1.70 1.88 1.95 1.96 1.62 1.73 1.92 1.94
st.dev. 0.24 0.25 0.48 0.48 0.24 0.24 0.47 0.47
Q5% 1.46 1.63 1.37 1.38 1.34 1.51 1.36 1.37
Q50% 1.64 1.83 1.91 1.93 1.57 1.67 1.86 1.90
Q95% 2.23 2.43 2.68 2.69 2.13 2.27 2.61 2.65

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 1.36 1.43 1.08 1.13 1.27 1.37 1.09 1.08
max 4.15 4.60 6.28 6.16 4.15 4.26 6.70 6.15
mean 2.15 2.35 2.19 2.26 2.09 2.19 2.20 2.19
st.dev. 0.66 0.75 0.74 0.76 0.66 0.69 0.77 0.74
Q5% 1.44 1.52 1.29 1.35 1.36 1.45 1.28 1.30
Q50% 1.99 2.16 2.07 2.13 1.92 2.01 2.07 2.07
Q95% 3.56 3.95 3.60 3.75 3.53 3.66 3.62 3.62

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 5372.00 5372.00 5363.00 5363.00 5372.00 5372.00 5363.00 5363.00
min 1.18 1.26 1.03 1.04 1.10 1.19 1.02 1.02
max 4.42 5.30 12.76 20.56 4.15 4.51 9.68 15.17
mean 1.81 2.07 2.00 2.11 1.70 1.88 1.96 2.01
st.dev. 0.38 0.47 0.64 0.79 0.36 0.40 0.61 0.67
Q5% 1.35 1.45 1.26 1.27 1.28 1.37 1.25 1.26
Q50% 1.77 2.02 1.92 1.99 1.63 1.84 1.88 1.93
Q95% 2.48 2.87 2.95 3.40 2.31 2.57 2.93 3.00