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

Model risk of risk models

  1. Home
  2. Model risk of risk models
  3. Firms
  4. 85206110 / UNITED TELECOMMUNICATIONS INC

85206110 / UNITED TELECOMMUNICATIONS INC

1977-05-14 to 1977-10-14
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 106.00 106.00 106.00 106.00 106.00 106.00 106.00 106.00
min 1.37 1.57 1.21 1.22 1.19 1.38 1.21 1.21
max 2.77 3.23 5.01 5.62 2.34 2.77 5.17 4.99
mean 1.85 2.10 2.38 2.40 1.60 1.85 2.38 2.38
st.dev. 0.35 0.41 0.73 0.79 0.29 0.34 0.74 0.75
Q5% 1.41 1.60 1.37 1.37 1.23 1.42 1.36 1.36
Q50% 1.82 2.05 2.42 2.44 1.58 1.82 2.44 2.42
Q95% 2.52 2.95 3.95 3.99 2.13 2.52 3.89 3.95

1980-01-14 to 1980-07-14
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 127.00 127.00 127.00 127.00 127.00 127.00 127.00 127.00
min 1.26 1.36 1.20 1.20 1.20 1.28 1.20 1.20
max 2.50 2.73 4.85 4.85 2.48 2.56 4.85 4.85
mean 1.68 1.83 2.40 2.41 1.70 1.72 2.39 2.40
st.dev. 0.31 0.34 0.83 0.83 0.30 0.31 0.83 0.83
Q5% 1.34 1.46 1.35 1.35 1.34 1.37 1.34 1.35
Q50% 1.59 1.72 2.24 2.24 1.62 1.62 2.23 2.24
Q95% 2.28 2.49 3.97 3.97 2.25 2.33 3.99 3.97

1981-07-14 to 1982-11-14
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 340.00 340.00 340.00 340.00 340.00 340.00 340.00 340.00
min 1.22 1.36 1.07 1.09 1.16 1.25 1.05 1.08
max 3.16 3.59 5.55 5.52 3.08 3.27 5.57 5.54
mean 1.68 1.93 2.16 2.23 1.58 1.75 2.17 2.18
st.dev. 0.34 0.40 0.81 0.80 0.35 0.36 0.83 0.80
Q5% 1.32 1.50 1.21 1.28 1.26 1.37 1.19 1.22
Q50% 1.56 1.83 1.98 2.04 1.44 1.64 1.99 1.98
Q95% 2.41 2.73 3.86 3.83 2.30 2.49 3.96 3.81

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 1.40 1.61 1.29 1.76 1.28 1.45 1.43 1.34
max 3.78 4.28 5.89 5.89 3.71 3.91 5.89 5.89
mean 2.15 2.33 2.84 3.26 2.16 2.19 2.87 2.92
st.dev. 0.69 0.80 1.05 0.98 0.68 0.72 1.14 1.01
Q5% 1.42 1.64 1.42 1.78 1.34 1.47 1.49 1.45
Q50% 1.93 1.93 2.69 3.27 2.02 1.93 2.73 2.80
Q95% 3.45 3.91 4.70 5.01 3.38 3.57 5.09 4.64

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 1.34 1.72 1.73 1.96 1.27 1.41 1.06 1.71
max 5.33 6.15 13.10 20.70 6.01 5.55 10.08 15.59
mean 1.82 2.21 3.48 4.53 1.87 1.90 2.82 3.56
st.dev. 0.64 0.68 1.62 2.33 0.76 0.65 1.58 1.80
Q5% 1.39 1.73 1.81 2.31 1.31 1.45 1.26 1.86
Q50% 1.62 2.01 3.09 3.66 1.62 1.70 2.41 3.10
Q95% 2.95 3.39 6.18 8.00 3.16 3.06 6.17 6.28

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 4589.00 4589.00 4589.00 4589.00 4589.00 4589.00 4589.00 4589.00
min 1.16 1.21 1.03 1.05 1.10 1.17 1.05 1.04
max 5.33 6.15 13.10 20.70 6.01 5.55 12.34 15.59
mean 1.62 1.84 2.19 2.42 1.53 1.67 2.11 2.21
st.dev. 0.30 0.37 0.85 1.17 0.31 0.32 0.74 0.88
Q5% 1.27 1.38 1.25 1.32 1.20 1.29 1.26 1.27
Q50% 1.55 1.78 2.02 2.18 1.46 1.60 1.99 2.04
Q95% 2.17 2.47 3.85 4.40 2.04 2.23 3.30 3.84