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

Model risk of risk models

83366330 / SOCIETY 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 1.66 1.98 1.65 1.78 1.53 1.75 1.82 1.65
max 8.00 9.14 7.37 7.09 7.83 8.05 8.31 7.02
mean 2.97 3.50 3.29 3.38 2.94 3.10 3.52 3.30
st.dev. 1.27 1.54 1.34 1.40 1.26 1.32 1.37 1.33
Q5% 1.88 2.15 1.68 1.80 1.89 1.91 1.89 1.68
Q50% 2.55 2.91 2.90 2.90 2.66 2.69 3.23 2.90
Q95% 5.47 6.78 5.71 5.92 5.41 5.83 5.88 5.88


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 1.51 1.81 1.28 1.53 1.37 1.59 1.19 1.30
max 3.07 3.73 6.50 10.35 2.85 3.25 4.99 7.77
mean 1.92 2.39 2.48 2.93 1.74 2.04 2.22 2.53
st.dev. 0.36 0.41 0.92 1.33 0.35 0.38 0.72 1.01
Q5% 1.58 1.94 1.45 1.62 1.40 1.68 1.35 1.45
Q50% 1.76 2.24 2.19 2.47 1.57 1.88 2.05 2.19
Q95% 2.66 3.21 4.11 4.98 2.46 2.81 3.52 4.17


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 1948.00 1948.00 1939.00 1939.00 1948.00 1948.00 1939.00 1939.00
min 1.37 1.65 1.07 1.08 1.22 1.45 1.09 1.09
max 8.00 9.14 13.37 17.91 7.83 8.05 11.15 14.83
mean 1.94 2.46 2.40 2.81 1.75 2.08 2.29 2.50
st.dev. 0.41 0.53 0.92 1.35 0.41 0.44 0.82 1.03
Q5% 1.59 1.94 1.34 1.42 1.42 1.68 1.31 1.35
Q50% 1.85 2.36 2.22 2.45 1.65 1.97 2.16 2.29
Q95% 2.53 3.31 3.88 5.11 2.33 2.75 3.56 4.14