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  4. 17303410 / CITICORP

17303410 / CITICORP

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 1.60 1.74 1.40 1.50 1.44 1.59 1.36 1.42
max 2.56 2.79 3.28 3.53 2.31 2.55 3.19 3.35
mean 2.01 2.18 2.25 2.42 1.81 1.99 2.19 2.29
st.dev. 0.23 0.25 0.52 0.56 0.21 0.23 0.50 0.53
Q5% 1.67 1.82 1.51 1.61 1.50 1.66 1.46 1.53
Q50% 1.97 2.14 2.18 2.35 1.77 1.96 2.12 2.23
Q95% 2.43 2.64 3.09 3.33 2.19 2.42 3.00 3.15

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 1.30 1.43 1.10 1.12 1.20 1.32 1.10 1.10
max 2.41 2.70 3.42 3.42 2.22 2.48 3.42 3.42
mean 1.47 1.64 2.02 2.07 1.37 1.51 1.98 2.02
st.dev. 0.18 0.21 0.56 0.56 0.17 0.19 0.56 0.56
Q5% 1.32 1.46 1.26 1.27 1.21 1.33 1.21 1.25
Q50% 1.42 1.58 1.88 1.96 1.32 1.46 1.82 1.87
Q95% 1.81 2.01 2.93 3.11 1.67 1.87 2.87 2.95

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 1.28 1.41 1.11 1.18 1.21 1.31 1.08 1.12
max 2.80 3.15 9.44 12.66 2.76 2.89 7.48 10.16
mean 1.53 1.70 2.02 2.12 1.47 1.58 1.95 2.03
st.dev. 0.24 0.28 1.05 1.41 0.25 0.25 0.85 1.13
Q5% 1.31 1.45 1.18 1.23 1.24 1.35 1.15 1.18
Q50% 1.47 1.63 1.82 1.83 1.39 1.51 1.81 1.82
Q95% 2.05 2.28 2.99 3.16 1.97 2.11 2.89 2.99

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 1.31 1.40 1.29 1.34 1.25 1.33 1.29 1.29
max 10.71 8.77 9.70 8.50 11.07 9.35 9.06 7.86
mean 3.24 2.85 2.95 2.98 3.30 2.80 3.38 2.84
st.dev. 1.47 1.25 1.64 1.36 1.46 1.27 1.56 1.37
Q5% 2.18 1.93 1.56 1.94 2.22 1.92 1.97 1.56
Q50% 2.70 2.45 2.38 2.44 2.74 2.37 2.80 2.38
Q95% 5.69 5.16 6.60 5.48 5.40 4.89 6.79 5.48

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 1.37 1.58 1.24 1.64 1.34 1.41 1.18 1.40
max 3.08 3.52 4.45 5.07 3.26 3.19 4.45 4.45
mean 1.73 2.08 2.14 2.54 1.77 1.80 2.09 2.22
st.dev. 0.30 0.34 0.65 0.77 0.36 0.31 0.67 0.65
Q5% 1.41 1.65 1.34 1.68 1.39 1.43 1.33 1.44
Q50% 1.66 2.03 1.90 2.30 1.65 1.73 1.89 2.02
Q95% 2.29 2.62 3.38 4.15 2.43 2.36 3.43 3.42

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 38.00 38.00 38.00 38.00 38.00 38.00 38.00 38.00
min 1.74 1.99 2.07 2.00 1.74 1.81 2.02 2.01
max 3.30 3.79 7.65 7.46 3.01 3.43 7.78 7.09
mean 2.56 2.94 3.92 3.87 2.40 2.66 4.17 3.84
st.dev. 0.57 0.65 1.63 1.58 0.45 0.59 1.73 1.55
Q5% 1.76 2.01 2.10 2.05 1.75 1.83 2.05 2.06
Q50% 2.83 3.25 3.32 3.26 2.57 2.94 3.74 3.26
Q95% 3.27 3.75 6.58 6.43 2.97 3.39 7.04 6.36

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 6261.00 6261.00 6261.00 6261.00 6261.00 6261.00 6261.00 6261.00
min 1.11 1.16 1.06 1.05 1.09 1.11 1.06 1.05
max 10.71 8.77 9.70 12.66 11.07 9.35 9.06 10.16
mean 1.61 1.80 2.03 2.22 1.53 1.64 1.98 2.06
st.dev. 0.42 0.46 0.69 0.90 0.41 0.40 0.67 0.72
Q5% 1.24 1.30 1.26 1.29 1.19 1.25 1.24 1.26
Q50% 1.49 1.70 1.90 2.03 1.42 1.54 1.85 1.92
Q95% 2.34 2.59 3.10 3.85 2.22 2.35 2.99 3.25