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Model risk of risk models

03090010 / AMERITRUST CORP


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 1.78 2.31 1.36 1.36 1.61 1.91 1.36 1.36
max 9.88 13.36 7.43 7.43 8.71 10.93 7.43 7.43
mean 2.93 4.01 3.22 3.38 2.53 3.26 3.19 3.26
st.dev. 1.35 1.96 1.45 1.51 1.15 1.54 1.44 1.47
Q5% 1.89 2.48 1.43 1.42 1.65 2.06 1.43 1.43
Q50% 2.67 3.69 3.05 3.06 2.30 2.99 3.05 3.05
Q95% 5.34 7.51 5.89 6.05 4.61 6.01 5.78 5.92


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 1.86 2.38 1.19 1.30 1.59 2.01 1.19 1.23
max 11.41 14.80 7.20 7.33 9.83 12.41 7.10 7.23
mean 3.66 4.71 2.74 2.77 3.19 3.97 2.73 2.74
st.dev. 1.56 2.05 1.22 1.22 1.31 1.70 1.23 1.22
Q5% 2.20 2.69 1.40 1.42 2.02 2.27 1.39 1.39
Q50% 3.11 4.01 2.37 2.39 2.74 3.39 2.33 2.38
Q95% 6.52 8.51 5.01 4.97 5.56 7.11 5.04 4.98


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 1783.00 1783.00 1774.00 1774.00 1783.00 1783.00 1774.00 1774.00
min 1.40 1.78 1.12 1.12 1.26 1.49 1.12 1.10
max 12.30 17.58 15.94 25.68 10.60 13.62 12.16 19.17
mean 2.79 3.78 2.69 2.84 2.37 3.09 2.64 2.72
st.dev. 1.15 1.75 1.16 1.35 0.93 1.34 1.11 1.21
Q5% 1.81 2.31 1.33 1.35 1.57 1.95 1.32 1.33
Q50% 2.46 3.26 2.45 2.55 2.11 2.69 2.41 2.47
Q95% 4.87 6.97 4.54 4.96 4.01 5.56 4.38 4.64