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Model risk of risk models

06414910 / BANK OF NOVA SCOTIA


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 1.20 1.30 1.19 1.16 1.15 1.21 1.15 1.14
max 6.81 7.34 7.43 7.43 6.55 6.94 7.43 7.43
mean 2.28 2.44 2.51 2.54 2.20 2.32 2.50 2.51
st.dev. 0.92 1.01 1.00 1.02 0.87 0.94 1.00 1.01
Q5% 1.31 1.37 1.35 1.35 1.29 1.32 1.35 1.35
Q50% 2.06 2.18 2.30 2.31 1.95 2.08 2.29 2.29
Q95% 4.26 4.54 4.32 4.36 4.07 4.33 4.34 4.32


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 1660.00 1660.00 1651.00 1651.00 1660.00 1660.00 1651.00 1651.00
min 1.15 1.20 1.06 1.09 1.08 1.15 1.08 1.06
max 6.81 7.34 8.77 11.87 6.55 6.94 7.48 9.68
mean 2.08 2.45 2.64 3.05 1.96 2.19 2.45 2.74
st.dev. 0.79 1.00 1.00 1.33 0.72 0.85 0.85 1.07
Q5% 1.22 1.30 1.38 1.40 1.16 1.24 1.35 1.40
Q50% 1.91 2.21 2.43 2.74 1.82 2.00 2.29 2.51
Q95% 3.52 4.22 4.32 5.46 3.22 3.71 3.81 4.56