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  4. 07390210 / BEAR STEARNS COMPANIES INC

07390210 / BEAR STEARNS COMPANIES INC

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 1.36 1.87 1.28 2.74 1.26 1.43 1.28 1.75
max 2.40 3.90 3.63 7.84 2.10 2.75 4.21 4.84
mean 1.68 2.26 2.23 4.39 1.58 1.79 2.06 2.89
st.dev. 0.20 0.39 0.57 1.42 0.19 0.24 0.63 0.82
Q5% 1.43 1.89 1.52 2.76 1.33 1.54 1.30 1.79
Q50% 1.66 2.15 2.13 4.00 1.53 1.75 2.01 2.70
Q95% 2.01 2.79 3.24 7.10 1.93 2.13 3.34 4.42

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 1.30 1.33 1.33 1.31 1.21 1.27 1.32 1.32
max 3.73 4.11 8.45 7.31 3.89 3.82 9.00 7.04
mean 2.32 2.50 3.36 3.53 2.40 2.36 3.83 3.28
st.dev. 0.59 0.69 1.57 1.51 0.62 0.63 1.80 1.42
Q5% 1.38 1.40 1.45 1.43 1.28 1.35 1.43 1.43
Q50% 2.29 2.52 2.93 3.06 2.43 2.35 3.46 2.93
Q95% 3.20 3.50 6.50 6.49 3.19 3.28 7.17 6.19

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 1.18 1.29 1.10 1.43 1.11 1.21 1.09 1.20
max 2.20 2.33 2.77 3.69 2.05 2.18 2.67 3.07
mean 1.63 1.73 1.91 2.44 1.53 1.63 1.80 2.07
st.dev. 0.27 0.28 0.49 0.72 0.24 0.26 0.43 0.57
Q5% 1.28 1.38 1.20 1.45 1.20 1.30 1.16 1.24
Q50% 1.53 1.63 1.90 2.37 1.46 1.54 1.78 2.04
Q95% 2.09 2.21 2.67 3.57 1.93 2.07 2.46 2.96

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 115.00 115.00 115.00 115.00 115.00 115.00 115.00 115.00
min 1.84 1.99 1.48 1.48 1.75 1.88 1.48 1.48
max 20.91 13.83 24.39 29.18 22.37 15.91 29.88 24.39
mean 5.24 4.49 5.72 6.66 5.46 4.59 6.32 5.71
st.dev. 4.54 2.93 4.94 5.84 4.94 3.30 5.57 4.80
Q5% 2.01 2.16 2.01 2.01 1.90 2.04 2.01 2.01
Q50% 2.79 3.00 3.70 4.35 2.67 2.84 3.76 3.86
Q95% 15.53 11.81 16.96 19.04 16.57 11.83 18.49 16.31

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 4696.00 4696.00 4687.00 4687.00 4696.00 4696.00 4687.00 4687.00
min 1.13 1.15 1.04 1.05 1.11 1.13 1.06 1.03
max 20.91 13.83 24.39 29.18 22.37 15.91 29.88 24.39
mean 1.69 1.87 2.09 2.56 1.63 1.72 2.05 2.21
st.dev. 0.96 0.76 1.19 1.75 1.03 0.77 1.29 1.26
Q5% 1.26 1.33 1.23 1.25 1.20 1.27 1.22 1.24
Q50% 1.51 1.67 1.91 2.08 1.44 1.54 1.87 1.97
Q95% 2.36 2.84 3.19 5.67 2.22 2.46 3.08 3.93