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  4. 06367110 / BANK MONTREAL QUE

06367110 / BANK MONTREAL QUE

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 23.00 23.00 14.00 14.00 23.00 23.00 14.00 14.00
min 1.64 1.75 1.59 1.59 1.60 1.64 1.59 1.59
max 2.54 2.83 3.69 3.69 2.40 2.61 3.69 3.69
mean 1.98 2.20 2.36 2.36 1.92 2.04 2.36 2.36
st.dev. 0.28 0.32 0.65 0.64 0.25 0.30 0.65 0.65
Q5% 1.64 1.81 1.61 1.63 1.64 1.68 1.60 1.62
Q50% 1.90 2.09 2.26 2.26 1.84 1.95 2.26 2.26
Q95% 2.48 2.75 3.56 3.56 2.37 2.55 3.56 3.56

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 1.16 1.24 1.13 1.25 1.11 1.18 1.06 1.15
max 2.24 2.42 3.97 4.99 2.24 2.29 3.47 4.26
mean 1.45 1.60 2.12 2.40 1.41 1.49 2.00 2.17
st.dev. 0.20 0.22 0.55 0.68 0.21 0.21 0.51 0.58
Q5% 1.22 1.33 1.37 1.41 1.18 1.25 1.30 1.37
Q50% 1.41 1.55 2.12 2.45 1.37 1.44 1.97 2.16
Q95% 1.82 1.98 2.98 3.31 1.77 1.85 2.76 3.04

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 1.26 1.48 1.28 1.28 1.19 1.30 1.09 1.28
max 6.03 6.57 11.01 11.99 5.68 6.17 10.53 11.25
mean 2.37 2.56 2.87 3.09 2.26 2.42 2.83 2.90
st.dev. 0.79 0.87 1.31 1.43 0.73 0.81 1.29 1.32
Q5% 1.45 1.54 1.48 1.64 1.41 1.46 1.46 1.50
Q50% 2.18 2.37 2.52 2.67 2.07 2.22 2.48 2.59
Q95% 3.79 4.14 5.47 6.12 3.56 3.87 5.42 5.50

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 3576.00 3576.00 3567.00 3567.00 3576.00 3576.00 3567.00 3567.00
min 1.11 1.18 1.04 1.06 1.11 1.11 1.04 1.03
max 6.03 6.57 13.67 20.33 5.68 6.17 11.04 15.65
mean 1.82 2.02 2.49 2.70 1.72 1.87 2.34 2.50
st.dev. 0.65 0.75 1.12 1.38 0.59 0.67 0.97 1.16
Q5% 1.25 1.35 1.31 1.35 1.20 1.28 1.30 1.32
Q50% 1.58 1.75 2.22 2.37 1.51 1.62 2.14 2.24
Q95% 3.23 3.63 4.71 5.35 3.05 3.34 4.18 4.72