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  4. 33629410 / FIRST SECURITY CORP DE

33629410 / FIRST SECURITY CORP DE

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 2.12 2.92 1.27 1.44 1.75 2.37 1.27 1.28
max 10.43 14.95 7.05 6.99 9.12 11.84 7.13 7.02
mean 4.18 5.97 2.87 3.03 3.56 4.74 2.84 2.90
st.dev. 2.09 3.10 1.23 1.23 1.81 2.41 1.24 1.22
Q5% 2.24 3.13 1.64 1.68 1.87 2.52 1.53 1.66
Q50% 3.54 5.00 2.56 2.87 2.99 3.99 2.56 2.60
Q95% 8.63 13.06 5.38 5.45 7.32 10.06 5.44 5.40

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 1.35 1.77 1.51 1.99 1.16 1.45 1.13 1.55
max 2.85 3.68 4.74 5.88 2.52 3.00 4.64 4.99
mean 1.87 2.29 2.46 2.95 1.67 1.97 2.25 2.52
st.dev. 0.35 0.42 0.77 0.97 0.31 0.37 0.73 0.79
Q5% 1.41 1.84 1.56 2.02 1.19 1.49 1.42 1.60
Q50% 1.79 2.18 2.27 2.63 1.65 1.89 2.05 2.34
Q95% 2.62 3.18 4.06 4.90 2.21 2.75 3.87 4.09

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 1.69 2.02 1.49 1.46 1.67 1.79 1.48 1.47
max 6.16 7.50 5.13 4.57 6.34 6.53 5.00 4.80
mean 2.64 3.20 2.46 2.34 2.67 2.80 2.45 2.39
st.dev. 1.02 1.26 0.75 0.69 1.03 1.09 0.73 0.71
Q5% 1.72 2.07 1.67 1.57 1.77 1.82 1.65 1.64
Q50% 2.31 2.80 2.33 2.23 2.35 2.44 2.29 2.28
Q95% 4.65 5.68 4.14 3.97 4.77 4.94 4.08 4.06

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 4117.00 4117.00 4108.00 4108.00 4117.00 4117.00 4108.00 4108.00
min 1.09 1.18 1.05 1.05 1.08 1.11 1.02 1.03
max 40.50 71.23 12.30 19.35 31.39 51.03 11.76 14.61
mean 3.44 5.09 2.41 2.85 2.90 3.97 2.23 2.49
st.dev. 4.11 7.35 1.16 2.04 3.09 5.22 1.02 1.32
Q5% 1.38 1.52 1.26 1.27 1.30 1.41 1.23 1.25
Q50% 1.92 2.33 2.09 2.17 1.79 2.03 2.00 2.10
Q95% 11.09 18.86 4.74 6.70 8.66 13.72 4.07 5.29