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

Model risk of risk models

44368310 / HUDSON CITY BANCORP 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 376.00 376.00 376.00 376.00 376.00 376.00 376.00 376.00
min 1.57 1.84 1.18 1.16 1.48 1.64 1.18 1.16
max 5.85 6.73 7.33 7.67 5.78 5.94 7.26 7.35
mean 2.98 3.49 2.52 2.56 2.84 3.11 2.52 2.52
st.dev. 0.91 1.08 0.97 1.02 0.97 0.95 0.95 0.98
Q5% 1.81 2.12 1.38 1.42 1.68 1.89 1.37 1.37
Q50% 2.77 3.23 2.28 2.28 2.57 2.89 2.28 2.27
Q95% 4.76 5.64 4.41 4.61 4.85 4.94 4.45 4.42


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 2287.00 2287.00 2278.00 2278.00 2287.00 2287.00 2278.00 2278.00
min 1.39 1.58 1.11 1.11 1.27 1.44 1.10 1.10
max 5.85 6.73 9.78 15.48 5.78 5.94 7.52 11.65
mean 2.16 2.59 2.46 2.51 1.94 2.26 2.38 2.43
st.dev. 0.65 0.77 0.85 1.00 0.64 0.67 0.78 0.87
Q5% 1.54 1.80 1.39 1.40 1.39 1.60 1.38 1.38
Q50% 1.98 2.40 2.33 2.35 1.75 2.09 2.24 2.29
Q95% 3.42 4.08 3.87 4.00 3.18 3.55 3.69 3.81