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

Model risk of risk models

  1. Home
  2. Model risk of risk models
  3. Firms
  4. 84590510 / SOVEREIGN BANCORP INC

84590510 / SOVEREIGN BANCORP INC

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 1.40 1.40 1.30 1.50 1.40 1.40
max 6.60 7.75 10.84 13.19 6.21 6.91 10.80 11.50
mean 2.55 2.85 2.91 2.96 2.45 2.63 3.09 2.91
st.dev. 1.07 1.30 1.50 1.82 0.99 1.13 1.50 1.59
Q5% 1.49 1.72 1.70 1.70 1.36 1.56 1.75 1.69
Q50% 2.19 2.46 2.55 2.54 2.19 2.24 2.74 2.54
Q95% 4.48 5.25 5.66 5.72 4.14 4.69 6.03 5.67

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 1.50 1.77 1.06 1.09 1.35 1.57 1.06 1.09
max 2.40 2.84 4.26 4.93 2.33 2.52 3.86 4.44
mean 1.85 2.21 1.81 1.88 1.66 1.95 1.80 1.82
st.dev. 0.19 0.24 0.48 0.50 0.19 0.21 0.46 0.48
Q5% 1.53 1.80 1.21 1.25 1.38 1.60 1.21 1.22
Q50% 1.84 2.21 1.71 1.78 1.65 1.95 1.71 1.73
Q95% 2.15 2.60 2.71 2.69 1.96 2.27 2.73 2.69

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 283.00 283.00 283.00 283.00 283.00 283.00 283.00 283.00
min 1.66 2.01 1.30 1.30 1.51 1.76 1.30 1.30
max 19.81 21.92 10.16 10.76 24.09 19.11 9.74 10.30
mean 3.75 4.43 3.04 3.16 3.76 3.89 3.02 3.07
st.dev. 2.42 2.69 1.30 1.43 3.00 2.34 1.26 1.33
Q5% 1.89 2.31 1.71 1.71 1.84 1.94 1.70 1.71
Q50% 3.09 3.65 2.72 2.76 2.87 3.24 2.72 2.73
Q95% 7.53 8.83 5.74 6.22 7.20 7.66 5.63 5.93

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 2922.00 2922.00 2913.00 2913.00 2922.00 2922.00 2913.00 2913.00
min 1.25 1.44 1.04 1.05 1.15 1.30 1.04 1.03
max 19.81 21.92 15.28 21.06 24.09 19.11 12.86 17.04
mean 2.16 2.51 2.16 2.28 2.04 2.25 2.14 2.17
st.dev. 1.04 1.19 0.83 0.96 1.20 1.04 0.81 0.86
Q5% 1.46 1.67 1.29 1.32 1.34 1.52 1.29 1.29
Q50% 1.89 2.23 2.03 2.12 1.76 1.97 2.01 2.03
Q95% 3.51 4.22 3.39 3.55 3.39 3.70 3.40 3.40