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Model risk of risk models

78411710 / S E I INVESTMENTS COMPANY


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 1.45 1.61 1.03 1.18 1.36 1.49 1.07 1.07
max 5.94 6.81 6.31 6.35 5.95 6.17 6.28 6.32
mean 2.44 2.77 2.39 2.45 2.27 2.53 2.40 2.40
st.dev. 0.97 1.12 0.84 0.85 0.97 1.01 0.82 0.84
Q5% 1.65 1.83 1.31 1.38 1.53 1.69 1.29 1.32
Q50% 2.05 2.33 2.27 2.30 1.88 2.13 2.26 2.28
Q95% 4.69 5.35 3.94 3.95 4.66 4.86 3.95 3.94


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 2397.00 2397.00 2388.00 2388.00 2397.00 2397.00 2388.00 2388.00
min 1.24 1.45 1.03 1.18 1.17 1.29 1.07 1.07
max 5.94 6.81 6.31 6.35 5.95 6.17 6.28 6.32
mean 2.17 2.55 2.52 2.75 2.02 2.27 2.38 2.54
st.dev. 0.64 0.79 0.82 0.93 0.60 0.68 0.75 0.82
Q5% 1.40 1.59 1.38 1.48 1.34 1.46 1.33 1.39
Q50% 2.02 2.39 2.44 2.68 1.88 2.12 2.32 2.47
Q95% 3.33 4.02 4.07 4.47 3.02 3.48 3.76 4.10