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

Model risk of risk models

  1. Home
  2. Model risk of risk models
  3. Firms
  4. H0023R10 / ACE LTD NEW

H0023R10 / ACE LTD NEW

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 1.41 1.62 1.64 1.55 1.30 1.46 1.66 1.59
max 5.59 6.50 12.20 14.93 5.40 5.82 11.13 13.07
mean 2.62 2.94 3.33 3.43 2.60 2.70 3.49 3.35
st.dev. 0.95 1.15 2.17 2.76 0.91 1.00 1.98 2.34
Q5% 1.46 1.67 1.73 1.64 1.43 1.51 1.75 1.69
Q50% 2.38 2.57 2.72 2.63 2.34 2.41 3.10 2.69
Q95% 4.42 5.11 8.53 10.32 4.47 4.61 8.12 9.06

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 1.19 1.31 1.25 1.25 1.17 1.22 1.25 1.25
max 4.72 4.77 7.93 7.37 4.69 4.65 8.36 7.79
mean 1.90 1.98 2.34 2.28 1.87 1.91 2.35 2.29
st.dev. 0.65 0.64 1.15 1.06 0.66 0.63 1.18 1.09
Q5% 1.33 1.40 1.35 1.35 1.24 1.33 1.35 1.35
Q50% 1.74 1.86 1.98 1.98 1.70 1.75 1.98 1.98
Q95% 3.48 3.55 4.92 4.76 3.43 3.44 4.84 4.77

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 1.23 1.34 1.13 1.45 1.15 1.26 1.08 1.17
max 6.12 6.65 7.93 7.94 6.99 6.25 9.26 7.93
mean 2.12 2.33 2.29 2.57 2.15 2.17 2.39 2.35
st.dev. 1.01 1.07 0.91 0.88 1.18 1.03 1.08 0.89
Q5% 1.27 1.39 1.28 1.61 1.20 1.30 1.27 1.35
Q50% 1.75 1.98 2.10 2.35 1.70 1.79 2.09 2.14
Q95% 4.51 4.90 3.86 4.17 4.96 4.60 4.36 3.94

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 3979.00 3979.00 3970.00 3970.00 3979.00 3979.00 3970.00 3970.00
min 1.16 1.16 1.06 1.05 1.15 1.13 1.05 1.04
max 6.12 7.85 12.20 14.93 6.99 6.25 11.13 13.07
mean 2.11 2.59 2.46 2.83 1.96 2.24 2.28 2.51
st.dev. 0.71 1.04 0.91 1.18 0.65 0.81 0.81 0.94
Q5% 1.35 1.50 1.34 1.43 1.29 1.39 1.30 1.36
Q50% 1.88 2.23 2.29 2.62 1.77 1.97 2.15 2.35
Q95% 3.53 4.74 4.11 5.10 3.14 3.87 3.57 4.22