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Model risk of risk models

12504L10 / C B R E GROUP INC


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 260.00 260.00 251.00 251.00 260.00 260.00 251.00 251.00
min 1.65 1.98 1.18 1.17 1.47 1.74 1.21 1.18
max 7.82 9.26 7.79 8.01 6.99 8.22 7.79 7.83
mean 3.30 3.95 2.72 2.79 2.98 3.48 2.71 2.73
st.dev. 1.49 1.78 1.17 1.18 1.35 1.57 1.15 1.17
Q5% 1.73 2.10 1.44 1.55 1.53 1.84 1.43 1.47
Q50% 2.72 3.24 2.54 2.58 2.42 2.86 2.51 2.54
Q95% 6.31 7.53 5.32 5.47 5.69 6.65 5.21 5.35


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 1154.00 1154.00 1145.00 1145.00 1154.00 1154.00 1145.00 1145.00
min 1.31 1.46 1.13 1.17 1.20 1.33 1.07 1.18
max 7.82 9.26 7.79 8.01 6.99 8.22 7.79 7.83
mean 2.86 3.32 2.75 3.18 2.54 2.94 2.59 2.87
st.dev. 1.00 1.19 0.94 1.12 0.90 1.05 0.88 0.98
Q5% 1.64 1.89 1.52 1.69 1.44 1.67 1.46 1.55
Q50% 2.79 3.22 2.67 3.05 2.47 2.86 2.49 2.79
Q95% 4.80 5.69 4.27 5.06 4.30 5.01 4.04 4.48