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

Model risk of risk models

62949110 / N Y S E EURONEXT


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 716.00 716.00 707.00 707.00 716.00 716.00 707.00 707.00
min 1.44 1.63 1.35 1.40 1.30 1.47 1.21 1.29
max 5.15 6.23 5.54 5.81 4.80 5.45 5.42 5.59
mean 2.67 3.06 2.97 3.13 2.29 2.69 2.64 2.87
st.dev. 0.77 0.88 0.83 0.89 0.66 0.77 0.72 0.80
Q5% 1.56 1.82 1.70 1.76 1.40 1.63 1.57 1.68
Q50% 2.62 3.02 2.96 3.12 2.24 2.64 2.60 2.87
Q95% 3.92 4.49 4.42 4.66 3.37 3.95 3.81 4.23