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

Model risk of risk models

  1. Home
  2. Model risk of risk models
  3. Firms
  4. 55261F10 / M & T BANK CORP

55261F10 / M & T BANK CORP

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 3.89 6.29 1.40 1.27 3.01 4.69 1.45 1.29
max 55.32 75.48 39.62 45.62 57.20 56.23 39.07 39.75
mean 10.15 15.78 4.75 5.78 10.10 11.75 5.41 4.85
st.dev. 9.65 13.87 5.87 7.59 10.76 10.33 6.27 6.23
Q5% 4.03 6.53 1.67 2.42 3.47 4.86 1.91 1.67
Q50% 6.77 10.96 3.03 3.34 6.19 8.16 3.48 3.03
Q95% 33.18 49.83 12.28 15.67 35.87 37.11 16.83 13.16

1990-07-14 to 1991-03-14
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 169.00 169.00 169.00 169.00 169.00 169.00 169.00 169.00
min 2.05 2.78 1.70 2.66 1.81 2.27 1.17 1.86
max 3.27 5.01 7.83 14.05 3.43 3.78 5.91 8.63
mean 2.54 3.59 3.25 5.52 2.17 2.85 2.36 3.53
st.dev. 0.25 0.45 1.62 2.91 0.28 0.32 0.94 1.78
Q5% 2.24 3.07 1.75 2.99 1.89 2.49 1.37 1.88
Q50% 2.47 3.51 2.62 4.40 2.10 2.75 2.08 2.85
Q95% 3.07 4.52 6.77 11.67 2.70 3.54 4.27 7.36

1998-08-14 to 1998-11-14
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 65.00 65.00 65.00 65.00 65.00 65.00 65.00 65.00
min 1.60 1.87 1.87 1.77 1.57 1.66 2.01 1.87
max 6.52 7.73 20.00 25.45 6.71 6.85 19.48 21.13
mean 3.15 3.74 3.20 3.28 3.29 3.31 3.40 3.21
st.dev. 0.91 1.12 2.33 2.98 0.96 0.97 2.24 2.46
Q5% 2.09 2.29 1.97 1.90 2.26 2.18 2.14 1.97
Q50% 3.09 3.71 2.55 2.52 3.21 3.26 2.83 2.52
Q95% 4.70 5.61 4.92 5.68 4.89 4.95 4.96 5.08

2001-03-14 to 2001-11-14
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 168.00 168.00 168.00 168.00 168.00 168.00 168.00 168.00
min 1.35 1.74 1.22 1.15 1.15 1.47 1.22 1.19
max 4.11 5.23 3.71 3.71 3.60 4.44 3.71 3.71
mean 2.17 2.74 2.24 2.22 1.91 2.33 2.24 2.23
st.dev. 0.50 0.64 0.59 0.59 0.45 0.54 0.59 0.59
Q5% 1.44 1.82 1.30 1.31 1.31 1.55 1.30 1.30
Q50% 2.09 2.60 2.14 2.11 1.83 2.24 2.12 2.12
Q95% 3.08 3.94 3.17 3.17 2.72 3.33 3.17 3.17

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 1.73 1.29 1.29 1.49 1.61 1.29 1.29
max 6.37 7.54 7.63 8.15 6.32 6.69 7.27 7.76
mean 3.28 3.87 2.86 2.96 3.08 3.44 2.80 2.88
st.dev. 0.79 0.96 1.15 1.23 0.78 0.84 1.11 1.17
Q5% 2.15 2.51 1.66 1.72 2.04 2.25 1.55 1.66
Q50% 3.19 3.76 2.58 2.61 2.97 3.35 2.54 2.58
Q95% 4.80 5.72 5.41 5.51 4.70 5.04 5.34 5.41

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 6671.00 6671.00 6662.00 6662.00 6671.00 6671.00 6662.00 6662.00
min 1.28 1.44 1.05 1.10 1.15 1.32 1.06 1.07
max 55.32 75.48 39.62 45.62 57.20 56.23 39.07 39.75
mean 2.72 3.61 2.72 3.20 2.39 2.98 2.44 2.76
st.dev. 1.70 2.75 1.48 2.28 1.63 1.99 1.21 1.58
Q5% 1.50 1.74 1.40 1.41 1.38 1.56 1.36 1.40
Q50% 2.33 2.89 2.28 2.48 2.05 2.50 2.15 2.31
Q95% 5.12 8.14 5.51 7.70 4.18 6.08 4.35 5.69