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

Model risk of risk models

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	72.00	72.00	63.00	63.00	72.00	72.00	63.00	63.00
min	1.30	1.50	1.34	1.69	1.21	1.35	1.26	1.45
max	2.16	2.36	3.44	4.11	2.03	2.21	3.43	3.52
mean	1.57	1.75	2.03	2.25	1.47	1.62	2.00	2.08
st.dev.	0.21	0.21	0.46	0.56	0.20	0.21	0.47	0.48
Q5%	1.31	1.51	1.48	1.70	1.23	1.37	1.40	1.53
Q50%	1.52	1.70	1.96	2.10	1.43	1.57	1.93	2.01
Q95%	1.96	2.15	2.87	3.45	1.84	2.01	2.82	2.99

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	966.00	966.00	957.00	957.00	966.00	966.00	957.00	957.00
min	1.30	1.46	1.32	1.67	1.21	1.35	1.17	1.43
max	3.61	4.82	6.72	8.81	3.33	3.84	5.67	7.34
mean	2.34	2.79	2.66	3.43	2.10	2.45	2.32	2.88
st.dev.	0.61	0.82	0.80	1.11	0.52	0.65	0.68	0.89
Q5%	1.39	1.56	1.47	1.79	1.28	1.43	1.36	1.57
Q50%	2.40	2.76	2.62	3.39	2.17	2.50	2.28	2.82
Q95%	3.27	4.06	3.88	5.14	2.96	3.42	3.40	4.24