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  4. 17296742 / CITIGROUP INC

17296742 / CITIGROUP 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 105.00 105.00 96.00 96.00 105.00 105.00 96.00 96.00
min 1.36 1.84 1.63 2.39 1.31 1.41 1.27 1.76
max 2.39 2.77 5.62 7.12 2.47 2.49 5.62 5.62
mean 1.61 2.10 2.54 3.57 1.62 1.71 2.17 2.69
st.dev. 0.27 0.25 1.02 1.50 0.32 0.27 0.78 1.09
Q5% 1.40 1.84 1.66 2.40 1.32 1.45 1.46 1.77
Q50% 1.48 2.06 2.15 2.75 1.48 1.61 1.88 2.31
Q95% 2.17 2.56 4.70 6.80 2.29 2.27 3.31 5.01

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 1.45 1.55 2.04 1.97 1.45 1.45 1.98 1.98
max 2.92 3.25 7.58 7.67 2.82 3.01 7.59 7.08
mean 2.17 2.40 3.83 3.81 2.11 2.23 4.17 3.78
st.dev. 0.44 0.50 1.54 1.52 0.39 0.46 1.56 1.48
Q5% 1.48 1.58 2.09 2.09 1.48 1.47 2.20 2.09
Q50% 2.20 2.44 3.50 3.50 2.12 2.26 3.85 3.50
Q95% 2.84 3.17 6.36 6.29 2.74 2.92 6.43 6.34

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 1.22 1.34 1.18 1.44 1.16 1.25 1.22 1.23
max 2.00 2.34 5.47 8.58 1.94 2.07 4.22 6.49
mean 1.53 1.72 2.16 2.75 1.48 1.57 1.97 2.23
st.dev. 0.22 0.29 0.51 0.82 0.21 0.23 0.43 0.57
Q5% 1.24 1.36 1.41 1.53 1.18 1.27 1.41 1.43
Q50% 1.52 1.68 2.16 2.83 1.49 1.55 1.92 2.24
Q95% 1.89 2.22 2.74 3.68 1.83 1.95 2.66 2.81

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 1.91 2.28 1.45 1.55 1.55 2.03 1.45 1.45
max 12.36 14.80 12.62 12.90 12.91 13.03 12.41 12.68
mean 4.17 5.00 3.51 3.60 3.82 4.39 3.47 3.53
st.dev. 1.77 2.22 1.69 1.78 1.75 1.90 1.64 1.71
Q5% 2.25 2.64 1.86 1.88 1.98 2.36 1.86 1.86
Q50% 3.72 4.43 3.08 3.09 3.41 3.91 3.05 3.08
Q95% 7.29 9.09 7.27 7.57 6.63 7.87 6.97 7.37

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 5598.00 5598.00 5589.00 5589.00 5598.00 5598.00 5589.00 5589.00
min 1.13 1.11 1.05 1.04 1.12 1.09 1.03 1.03
max 12.36 14.80 19.56 23.23 12.91 13.03 16.13 19.78
mean 2.19 2.62 2.88 3.41 1.95 2.27 2.55 2.92
st.dev. 1.20 1.57 1.77 2.15 0.95 1.25 1.46 1.80
Q5% 1.29 1.38 1.38 1.48 1.24 1.30 1.32 1.40
Q50% 1.63 1.91 2.32 2.79 1.56 1.70 2.09 2.35
Q95% 4.71 5.88 6.64 7.91 3.65 4.75 5.63 6.73