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

Model risk of risk models

  1. Home
  2. Model risk of risk models
  3. Firms
  4. 45272210 / IMPERIAL CORP AMER

45272210 / IMPERIAL CORP AMER

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 1.80 1.82 1.88 1.61 1.68 1.82 1.82
max 4.00 4.13 3.29 3.48 3.77 3.87 3.27 3.34
mean 2.51 2.58 2.47 2.60 2.39 2.43 2.46 2.50
st.dev. 0.54 0.56 0.39 0.42 0.51 0.52 0.39 0.40
Q5% 1.88 1.94 1.91 2.02 1.74 1.82 1.90 1.94
Q50% 2.36 2.42 2.43 2.54 2.27 2.28 2.42 2.45
Q95% 3.71 3.82 3.18 3.37 3.45 3.58 3.16 3.24

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 127.00 127.00 127.00 127.00 127.00 127.00 127.00 127.00
min 1.36 1.61 1.26 1.41 1.22 1.43 1.06 1.24
max 3.11 3.68 4.39 5.42 2.78 3.27 3.83 4.68
mean 1.73 2.06 2.13 2.37 1.56 1.82 1.92 2.13
st.dev. 0.28 0.34 0.76 0.94 0.26 0.30 0.67 0.79
Q5% 1.44 1.70 1.32 1.42 1.29 1.51 1.13 1.29
Q50% 1.64 1.95 1.88 2.02 1.48 1.72 1.75 1.89
Q95% 2.30 2.72 3.56 3.98 2.06 2.41 3.36 3.50

1981-07-14 to 1982-11-14
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 340.00 340.00 340.00 340.00 340.00 340.00 340.00 340.00
min 1.55 1.70 1.09 1.10 1.39 1.64 1.07 1.07
max 4.43 5.58 9.81 11.90 4.28 4.75 8.42 10.37
mean 1.96 2.40 2.28 2.30 1.80 2.08 2.24 2.27
st.dev. 0.45 0.56 1.09 1.16 0.45 0.47 1.05 1.10
Q5% 1.62 1.97 1.19 1.19 1.45 1.71 1.17 1.19
Q50% 1.78 2.19 2.03 2.06 1.64 1.89 1.96 2.00
Q95% 2.88 3.55 4.50 4.35 2.69 3.07 4.39 4.44

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 1.63 1.97 1.14 1.25 1.52 1.72 1.13 1.17
max 4.45 5.44 4.58 4.59 4.47 4.73 4.58 4.58
mean 1.92 2.34 2.29 2.31 1.93 2.04 2.29 2.29
st.dev. 0.45 0.55 0.80 0.80 0.46 0.48 0.80 0.80
Q5% 1.65 2.01 1.48 1.48 1.56 1.75 1.48 1.48
Q50% 1.75 2.13 2.18 2.18 1.79 1.85 2.15 2.18
Q95% 2.61 3.18 4.16 4.16 2.64 2.77 4.16 4.16

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 4138.00 4138.00 4138.00 4138.00 4138.00 4138.00 4138.00 4138.00
min 1.23 1.40 1.04 1.05 1.12 1.28 1.03 1.04
max 11.99 14.92 11.16 17.76 12.43 12.83 9.18 13.33
mean 2.01 2.36 2.15 2.22 1.87 2.10 2.11 2.15
st.dev. 0.76 0.94 0.82 0.92 0.81 0.81 0.79 0.84
Q5% 1.47 1.68 1.22 1.25 1.35 1.53 1.20 1.22
Q50% 1.84 2.19 2.01 2.05 1.69 1.94 1.96 2.01
Q95% 2.87 3.34 3.53 3.66 2.71 2.97 3.45 3.51