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

Model risk of risk models

  1. Home
  2. Model risk of risk models
  3. Firms
  4. 85915810 / STERLING BANCORP

85915810 / STERLING BANCORP

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 1.62 1.94 1.50 1.51 1.57 1.71 1.37 1.52
max 5.26 6.33 8.33 8.69 5.40 5.56 9.60 7.89
mean 2.86 3.46 3.63 4.90 2.77 3.03 3.84 3.85
st.dev. 1.04 1.25 1.59 1.64 1.02 1.10 1.85 1.42
Q5% 1.72 1.98 1.58 2.96 1.66 1.75 1.47 1.93
Q50% 2.53 3.08 3.47 4.91 2.45 2.68 3.61 3.74
Q95% 5.07 6.10 6.17 7.94 4.91 5.36 7.08 6.00

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 1.65 2.05 1.23 1.82 1.48 1.77 1.14 1.41
max 3.67 4.52 5.65 5.81 3.72 3.88 5.65 5.65
mean 2.13 2.66 2.73 3.74 1.92 2.28 2.40 3.02
st.dev. 0.39 0.49 0.88 1.25 0.35 0.42 0.80 0.97
Q5% 1.71 2.11 1.41 1.85 1.52 1.81 1.30 1.49
Q50% 2.05 2.57 2.74 4.00 1.84 2.20 2.34 3.15
Q95% 2.81 3.54 3.94 5.59 2.54 3.01 3.86 4.35

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 1.53 1.61 1.54 1.54 1.52 1.60 1.75 1.54
max 4.42 5.05 5.15 5.43 4.67 4.47 5.34 5.21
mean 2.17 2.43 2.56 2.58 2.27 2.19 2.71 2.56
st.dev. 0.64 0.75 0.80 0.83 0.67 0.65 0.84 0.81
Q5% 1.57 1.80 1.68 1.65 1.62 1.61 1.79 1.69
Q50% 1.93 2.20 2.32 2.33 2.09 2.00 2.43 2.32
Q95% 3.51 3.93 4.02 4.10 3.62 3.52 4.17 4.06

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 1.56 1.85 1.08 1.08 1.40 1.64 1.12 1.08
max 2.58 3.06 3.26 3.26 2.44 2.70 3.26 3.26
mean 1.82 2.15 1.88 1.87 1.64 1.90 1.91 1.87
st.dev. 0.22 0.27 0.50 0.51 0.20 0.24 0.49 0.50
Q5% 1.58 1.88 1.19 1.17 1.41 1.67 1.19 1.18
Q50% 1.76 2.07 1.80 1.80 1.59 1.83 1.86 1.79
Q95% 2.25 2.69 2.72 2.72 2.00 2.37 2.72 2.72

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 1.40 1.63 1.20 1.24 1.29 1.47 1.16 1.20
max 5.28 6.20 6.39 6.75 5.29 5.53 6.14 6.48
mean 2.41 2.80 2.45 2.52 2.25 2.51 2.42 2.47
st.dev. 0.73 0.88 0.82 0.89 0.71 0.77 0.78 0.84
Q5% 1.55 1.78 1.49 1.52 1.45 1.61 1.48 1.49
Q50% 2.24 2.60 2.25 2.29 2.06 2.33 2.25 2.25
Q95% 3.72 4.37 4.07 4.38 3.54 3.90 3.94 4.13

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 7230.00 7230.00 7221.00 7221.00 7230.00 7230.00 7221.00 7221.00
min 1.21 1.32 1.07 1.06 1.13 1.24 1.07 1.07
max 5.32 6.33 12.67 20.32 5.74 5.56 9.68 15.20
mean 1.87 2.17 2.25 2.50 1.73 1.94 2.21 2.31
st.dev. 0.43 0.53 0.82 1.26 0.41 0.46 0.76 0.92
Q5% 1.42 1.55 1.30 1.30 1.33 1.43 1.31 1.30
Q50% 1.77 2.07 2.12 2.22 1.62 1.84 2.10 2.14
Q95% 2.66 3.13 3.64 4.92 2.46 2.77 3.56 3.95