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

Model risk of risk models

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	1.35	1.53	1.19	1.22	1.24	1.40	1.08	1.19
max	1.96	2.21	5.35	8.10	1.81	2.03	4.20	6.23
mean	1.57	1.77	2.16	2.21	1.45	1.63	2.15	2.17
st.dev.	0.12	0.14	0.69	0.82	0.11	0.13	0.67	0.73
Q5%	1.38	1.56	1.33	1.33	1.27	1.43	1.32	1.33
Q50%	1.55	1.74	2.00	2.07	1.43	1.60	2.00	2.03
Q95%	1.77	2.00	3.45	3.44	1.64	1.82	3.47	3.45

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	1.37	1.60	1.05	1.05	1.21	1.43	1.06	1.05
max	3.58	4.34	15.03	24.04	3.15	3.79	11.32	17.91
mean	2.10	2.53	2.11	2.17	1.88	2.22	2.07	2.12
st.dev.	0.40	0.50	0.99	1.43	0.34	0.43	0.83	1.12
Q5%	1.52	1.77	1.25	1.23	1.38	1.58	1.25	1.23
Q50%	2.04	2.46	1.90	1.96	1.82	2.16	1.88	1.90
Q95%	2.81	3.40	3.34	3.44	2.46	2.97	3.31	3.35

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	2187.00	2187.00	2178.00	2178.00	2187.00	2187.00	2178.00	2178.00
min	1.31	1.48	1.05	1.05	1.14	1.37	1.03	1.05
max	3.95	4.93	21.25	31.94	3.86	4.23	17.34	24.91
mean	1.84	2.15	2.19	2.28	1.67	1.92	2.14	2.20
st.dev.	0.42	0.54	1.07	1.53	0.37	0.46	0.92	1.21
Q5%	1.41	1.60	1.27	1.28	1.30	1.46	1.26	1.27
Q50%	1.68	1.93	2.01	2.03	1.55	1.75	1.98	2.00
Q95%	2.70	3.23	3.54	3.54	2.41	2.84	3.51	3.54