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  4. 06050510 / BANK OF AMERICA CORP

06050510 / BANK OF AMERICA 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 1.54 1.77 1.26 1.62 1.39 1.60 1.34 1.35
max 6.38 6.38 5.87 6.04 7.02 6.38 6.77 5.91
mean 2.36 2.74 2.84 2.98 2.26 2.46 2.97 2.86
st.dev. 0.77 0.84 1.13 1.17 0.83 0.79 1.25 1.13
Q5% 1.79 2.07 1.45 1.63 1.66 1.84 1.51 1.45
Q50% 2.11 2.50 2.60 2.68 1.97 2.23 2.70 2.60
Q95% 3.70 4.37 4.76 4.87 3.55 3.88 5.21 4.77

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 1.52 1.83 1.15 1.50 1.34 1.61 1.06 1.26
max 6.71 8.13 6.65 6.65 6.10 7.11 6.65 6.65
mean 2.41 2.95 2.68 2.84 2.18 2.56 2.65 2.73
st.dev. 0.61 0.76 1.15 1.10 0.55 0.65 1.19 1.13
Q5% 1.58 1.92 1.27 1.57 1.41 1.68 1.21 1.39
Q50% 2.35 2.88 2.52 2.68 2.15 2.50 2.46 2.56
Q95% 3.06 3.81 5.07 5.07 2.77 3.27 5.07 5.07

1998-08-14 to 1998-11-14
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 65.00 65.00 65.00 65.00 65.00 65.00 65.00 65.00
min 1.50 1.56 1.67 1.68 1.44 1.53 1.63 1.67
max 3.31 3.58 5.74 5.74 3.13 3.38 5.87 5.74
mean 2.49 2.68 2.77 2.78 2.37 2.53 2.91 2.76
st.dev. 0.55 0.61 1.04 1.03 0.50 0.56 1.06 1.03
Q5% 1.56 1.67 1.75 1.80 1.48 1.57 1.66 1.75
Q50% 2.68 2.90 2.47 2.57 2.54 2.73 2.60 2.47
Q95% 3.14 3.40 4.85 4.85 2.97 3.21 4.90 4.85

2001-03-14 to 2001-11-14
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 168.00 168.00 168.00 168.00 168.00 168.00 168.00 168.00
min 1.09 1.16 1.24 1.23 1.07 1.13 1.18 1.20
max 2.35 2.61 5.01 7.64 2.30 2.45 3.92 5.86
mean 1.50 1.63 2.33 2.34 1.46 1.55 2.21 2.26
st.dev. 0.35 0.41 0.60 0.69 0.34 0.37 0.55 0.60
Q5% 1.13 1.20 1.45 1.49 1.10 1.15 1.38 1.43
Q50% 1.34 1.45 2.27 2.28 1.30 1.37 2.16 2.20
Q95% 2.23 2.49 3.15 3.16 2.18 2.33 2.99 3.03

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 1.61 1.85 1.64 1.64 1.49 1.70 1.64 1.64
max 8.89 10.19 9.50 9.68 8.10 9.24 9.76 9.50
mean 3.94 4.59 3.50 3.58 3.65 4.11 3.51 3.51
st.dev. 1.60 1.91 1.40 1.46 1.53 1.69 1.42 1.41
Q5% 1.89 2.10 2.03 2.09 1.74 1.94 2.02 2.07
Q50% 3.67 4.26 3.14 3.16 3.40 3.81 3.12 3.14
Q95% 6.88 7.94 6.61 6.74 6.77 7.14 6.60 6.61

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 6680.00 6680.00 6671.00 6671.00 6680.00 6680.00 6671.00 6671.00
min 1.09 1.16 1.05 1.04 1.07 1.13 1.03 1.07
max 8.89 10.19 14.79 21.18 8.10 9.24 10.97 16.09
mean 2.11 2.51 2.68 3.18 1.86 2.18 2.42 2.77
st.dev. 0.97 1.24 1.27 1.81 0.76 0.99 1.01 1.37
Q5% 1.25 1.34 1.32 1.45 1.19 1.27 1.29 1.35
Q50% 1.81 2.16 2.42 2.74 1.65 1.90 2.23 2.48
Q95% 4.08 5.05 4.90 6.29 3.21 4.13 4.17 5.12