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

Model risk of risk models

G3242A10 / E X E L LTD


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 648.00 648.00 639.00 639.00 648.00 648.00 639.00 639.00
min 1.38 1.62 1.12 1.07 1.26 1.45 1.19 1.10
max 3.95 4.82 16.56 21.56 3.81 4.09 14.33 18.23
mean 1.92 2.30 2.35 2.38 1.71 2.02 2.31 2.35
st.dev. 0.35 0.43 0.96 1.19 0.31 0.36 0.87 1.03
Q5% 1.50 1.76 1.39 1.37 1.35 1.57 1.37 1.39
Q50% 1.86 2.21 2.20 2.19 1.64 1.95 2.19 2.19
Q95% 2.53 3.06 3.74 3.91 2.24 2.65 3.65 3.75