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Model risk of risk models

12556910 / C I T FINANCIAL CORP


1977-05-14 to 1977-10-14
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 106.00 106.00 106.00 106.00 106.00 106.00 106.00 106.00
min 1.74 1.98 1.87 1.96 1.61 1.81 1.71 1.83
max 3.05 3.31 10.77 17.34 3.02 3.15 8.22 12.94
mean 2.44 2.67 4.04 4.34 2.41 2.53 3.67 4.00
st.dev. 0.36 0.36 1.30 1.79 0.37 0.37 1.10 1.42
Q5% 1.79 2.07 2.11 2.21 1.74 1.87 1.92 2.07
Q50% 2.42 2.62 3.82 4.03 2.40 2.50 3.49 3.74
Q95% 2.97 3.22 5.62 5.99 2.94 3.07 5.09 5.59


1980-01-14 to 1980-07-14
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 14.00 14.00 14.00 14.00 14.00 14.00 14.00 14.00
min 1.93 2.46 1.66 1.66 1.72 2.08 1.66 1.66
max 2.51 3.23 4.29 4.29 2.14 2.72 4.29 4.29
mean 2.12 2.72 2.68 2.68 1.87 2.30 2.69 2.68
st.dev. 0.18 0.25 0.82 0.82 0.13 0.20 0.82 0.82
Q5% 1.93 2.46 1.85 1.85 1.73 2.09 1.85 1.85
Q50% 2.07 2.64 2.45 2.45 1.84 2.24 2.45 2.45
Q95% 2.39 3.10 4.05 4.05 2.10 2.60 4.05 4.05


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 1537.00 1537.00 1537.00 1537.00 1537.00 1537.00 1537.00 1537.00
min 1.14 1.26 1.04 1.08 1.06 1.16 1.05 1.05
max 11.01 12.35 10.77 17.34 10.98 10.51 9.99 12.94
mean 1.92 2.16 2.73 2.89 1.82 1.97 2.61 2.73
st.dev. 0.92 1.00 1.30 1.53 0.92 0.89 1.22 1.35
Q5% 1.32 1.47 1.32 1.38 1.25 1.36 1.29 1.33
Q50% 1.71 1.98 2.46 2.58 1.59 1.78 2.36 2.46
Q95% 2.95 3.22 5.02 5.32 2.86 3.01 4.68 4.97