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  4. 08172110 / BENEFICIAL CORP

08172110 / BENEFICIAL CORP

1977-05-14 to 1977-10-14
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 106.00 106.00 106.00 106.00 106.00 106.00 106.00 106.00
min 1.40 1.40 1.80 1.86 1.37 1.39 1.80 1.81
max 2.44 2.46 9.70 14.02 2.37 2.40 7.79 11.06
mean 1.82 1.90 2.59 2.80 1.78 1.81 2.54 2.66
st.dev. 0.27 0.24 1.05 1.63 0.26 0.25 0.80 1.23
Q5% 1.46 1.58 2.00 2.07 1.42 1.48 2.00 2.02
Q50% 1.72 1.86 2.42 2.50 1.69 1.73 2.42 2.44
Q95% 2.33 2.35 3.08 3.22 2.27 2.29 3.06 3.14

1980-01-14 to 1980-07-14
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 127.00 127.00 127.00 127.00 127.00 127.00 127.00 127.00
min 1.38 1.55 1.11 1.15 1.29 1.42 1.10 1.12
max 2.45 2.86 3.56 3.56 2.22 2.56 3.56 3.56
mean 1.61 1.86 2.01 2.06 1.52 1.68 2.00 2.02
st.dev. 0.19 0.22 0.56 0.58 0.16 0.20 0.56 0.56
Q5% 1.39 1.58 1.30 1.35 1.31 1.44 1.24 1.32
Q50% 1.59 1.84 1.90 1.96 1.49 1.66 1.90 1.91
Q95% 1.92 2.23 3.04 3.04 1.82 2.00 3.04 3.04

1981-07-14 to 1982-11-14
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 340.00 340.00 340.00 340.00 340.00 340.00 340.00 340.00
min 1.39 1.61 1.01 1.03 1.25 1.45 1.04 1.03
max 3.33 3.92 5.51 8.90 3.10 3.49 4.75 6.63
mean 1.67 1.94 1.96 1.99 1.53 1.74 1.95 1.97
st.dev. 0.23 0.26 0.73 0.81 0.22 0.23 0.70 0.75
Q5% 1.44 1.68 1.12 1.15 1.31 1.51 1.15 1.14
Q50% 1.61 1.87 1.79 1.79 1.47 1.68 1.78 1.78
Q95% 2.09 2.43 3.44 3.49 1.92 2.17 3.34 3.48

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 1.71 1.61 1.25 1.69 1.65 1.50 1.33 1.44
max 14.35 15.76 12.08 12.08 15.12 13.23 12.08 12.08
mean 3.46 3.39 3.24 3.69 3.59 3.16 3.54 3.33
st.dev. 2.22 2.18 1.87 2.08 2.28 1.98 2.07 1.87
Q5% 1.90 1.90 1.57 1.80 1.78 1.66 1.51 1.69
Q50% 2.99 2.74 2.68 2.74 3.10 2.56 2.90 2.70
Q95% 6.41 7.21 6.14 7.34 6.88 5.93 7.35 6.29

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 1.47 1.86 1.29 2.15 1.30 1.58 1.10 1.66
max 7.59 12.19 5.65 10.05 5.79 9.11 4.77 6.94
mean 2.03 2.89 2.46 4.12 1.88 2.23 2.15 3.00
st.dev. 0.63 1.04 1.09 1.93 0.57 0.72 0.88 1.38
Q5% 1.58 1.98 1.41 2.35 1.44 1.69 1.20 1.78
Q50% 1.83 2.71 2.01 3.26 1.66 2.06 1.85 2.42
Q95% 3.11 4.76 4.96 8.20 3.02 3.36 4.14 6.13

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 6192.00 6192.00 6192.00 6192.00 6192.00 6192.00 6192.00 6192.00
min 1.19 1.29 1.01 1.03 1.13 1.22 1.04 1.03
max 43.34 39.63 18.88 29.73 44.63 42.15 17.18 22.44
mean 1.86 2.20 2.43 2.85 1.74 1.94 2.35 2.56
st.dev. 0.89 1.04 1.35 2.00 0.89 0.91 1.26 1.53
Q5% 1.38 1.54 1.27 1.30 1.29 1.42 1.26 1.28
Q50% 1.65 1.90 2.14 2.28 1.53 1.71 2.11 2.19
Q95% 2.97 3.92 4.73 7.47 2.82 3.11 4.40 5.66