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

Model risk of risk models

  1. Home
  2. Model risk of risk models
  3. Firms
  4. G9618E10 / WHITE MOUNTAINS INS GROUP INC

G9618E10 / WHITE MOUNTAINS INS GROUP INC

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 1.29 1.54 1.14 1.36 1.20 1.35 1.17 1.17
max 11.05 10.32 9.93 10.15 13.28 10.32 9.93 9.93
mean 2.16 2.50 2.82 3.03 2.21 2.20 2.82 2.84
st.dev. 1.18 1.11 1.89 1.86 1.39 1.10 1.87 1.88
Q5% 1.38 1.60 1.29 1.42 1.33 1.43 1.29 1.32
Q50% 1.83 2.29 2.06 2.30 1.86 1.90 2.07 2.06
Q95% 4.27 4.42 7.29 7.31 4.26 4.21 7.12 7.24

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 1.86 2.40 1.42 1.71 1.65 2.02 1.56 1.41
max 2.80 3.71 7.66 12.18 2.88 3.07 6.68 9.15
mean 2.26 2.97 3.10 3.38 2.04 2.47 3.23 3.14
st.dev. 0.23 0.32 1.48 1.82 0.26 0.26 1.47 1.59
Q5% 1.98 2.58 1.57 1.80 1.76 2.16 1.67 1.59
Q50% 2.20 2.87 2.44 2.73 1.97 2.40 2.61 2.44
Q95% 2.71 3.57 5.69 6.24 2.57 2.97 6.29 5.78

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 1.64 2.14 1.40 1.22 1.44 1.78 1.65 1.37
max 9.96 12.32 9.76 15.17 9.10 10.34 9.13 11.52
mean 2.81 3.76 2.54 2.60 2.40 3.08 2.67 2.55
st.dev. 1.11 1.57 1.29 1.92 0.97 1.23 1.10 1.48
Q5% 1.98 2.62 1.48 1.26 1.69 2.18 1.72 1.40
Q50% 2.48 3.29 2.11 2.06 2.09 2.70 2.28 2.07
Q95% 4.80 6.80 4.17 4.17 3.88 5.33 4.17 4.17

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 1.42 1.67 1.06 1.05 1.33 1.49 1.06 1.05
max 7.92 9.58 8.33 9.96 7.56 8.38 9.11 8.78
mean 2.57 3.07 2.44 2.62 2.39 2.70 2.44 2.47
st.dev. 1.12 1.35 1.19 1.37 1.17 1.19 1.25 1.23
Q5% 1.65 2.00 1.25 1.25 1.47 1.75 1.25 1.25
Q50% 2.18 2.62 2.10 2.29 1.96 2.30 2.09 2.11
Q95% 5.29 6.31 4.57 5.38 5.21 5.57 4.76 4.76

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 5855.00 5855.00 5846.00 5846.00 5855.00 5855.00 5846.00 5846.00
min 1.26 1.44 1.05 1.05 1.14 1.30 1.06 1.05
max 19.13 23.84 22.15 26.10 16.49 20.66 22.70 22.84
mean 2.53 3.13 2.86 3.22 2.20 2.65 2.78 2.95
st.dev. 0.94 1.18 1.52 2.00 0.79 0.94 1.39 1.65
Q5% 1.65 2.01 1.37 1.40 1.48 1.74 1.36 1.36
Q50% 2.27 2.85 2.41 2.58 1.99 2.42 2.40 2.43
Q95% 4.44 5.51 5.82 7.29 3.59 4.46 5.25 6.29