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  4. 32019510 / FIRST FIDELITY BANCORP NEW

32019510 / FIRST FIDELITY BANCORP NEW

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 1.50 1.66 1.48 1.52 1.41 1.56 1.48 1.47
max 2.23 2.22 3.64 3.82 2.20 2.19 3.58 3.63
mean 1.79 1.89 2.42 2.53 1.74 1.78 2.38 2.41
st.dev. 0.17 0.12 0.60 0.64 0.19 0.15 0.59 0.60
Q5% 1.54 1.71 1.64 1.72 1.45 1.57 1.62 1.64
Q50% 1.75 1.89 2.25 2.36 1.71 1.77 2.22 2.25
Q95% 2.09 2.08 3.46 3.64 2.06 2.05 3.40 3.45

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 1.29 1.42 1.08 1.09 1.21 1.32 1.09 1.08
max 2.40 2.69 5.23 5.23 2.21 2.47 5.42 5.23
mean 1.66 1.85 2.24 2.27 1.54 1.71 2.32 2.25
st.dev. 0.27 0.31 0.93 0.94 0.25 0.28 0.98 0.94
Q5% 1.32 1.46 1.17 1.15 1.23 1.35 1.20 1.16
Q50% 1.59 1.77 1.94 1.97 1.48 1.64 2.07 1.94
Q95% 2.19 2.46 3.93 3.93 2.02 2.26 4.05 3.93

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 1.44 1.06 1.26 1.18 1.32 1.06 1.10
max 3.35 3.79 3.94 5.47 3.08 3.46 3.93 4.41
mean 1.58 1.78 1.83 2.11 1.46 1.63 1.83 1.91
st.dev. 0.23 0.27 0.51 0.68 0.21 0.24 0.49 0.56
Q5% 1.34 1.50 1.21 1.30 1.24 1.38 1.20 1.22
Q50% 1.54 1.74 1.67 1.90 1.42 1.59 1.73 1.73
Q95% 2.05 2.33 2.63 3.21 1.89 2.12 2.59 2.82

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 1.63 1.93 1.56 1.60 1.45 1.71 1.40 1.56
max 5.00 6.00 31.13 49.71 4.44 5.28 24.88 37.25
mean 2.76 3.32 3.80 4.63 2.45 2.91 3.63 4.01
st.dev. 0.90 1.08 4.95 8.00 0.79 0.95 3.95 5.96
Q5% 1.87 2.24 1.62 1.93 1.66 1.97 1.63 1.62
Q50% 2.40 2.90 2.70 2.85 2.12 2.54 2.74 2.70
Q95% 4.45 5.34 5.75 5.81 3.95 4.70 5.80 5.75

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 1.85 2.33 1.43 1.43 1.65 1.99 1.37 1.39
max 4.24 4.75 5.97 6.27 4.24 4.24 6.04 5.97
mean 2.74 3.53 2.61 2.65 2.36 2.97 2.53 2.58
st.dev. 0.41 0.54 1.01 1.03 0.37 0.44 1.00 1.01
Q5% 2.04 2.58 1.50 1.50 1.78 2.20 1.42 1.46
Q50% 2.74 3.49 2.35 2.37 2.36 2.93 2.29 2.32
Q95% 3.36 4.38 4.47 4.51 2.86 3.66 4.35 4.46

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 5221.00 5221.00 5212.00 5212.00 5221.00 5221.00 5212.00 5212.00
min 1.17 1.28 1.05 1.06 1.10 1.20 1.03 1.02
max 10.83 10.83 37.00 59.34 12.39 10.83 28.26 44.38
mean 1.83 2.14 2.38 2.58 1.67 1.91 2.28 2.40
st.dev. 0.44 0.57 1.18 1.69 0.42 0.47 1.00 1.32
Q5% 1.39 1.55 1.27 1.32 1.29 1.43 1.28 1.27
Q50% 1.74 2.02 2.21 2.35 1.59 1.81 2.14 2.22
Q95% 2.56 3.07 3.89 4.45 2.33 2.65 3.65 3.96