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  4. 33761C10 / FIRSTAR CORP NEW

33761C10 / FIRSTAR CORP NEW

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 1.72 2.11 1.38 1.45 1.45 1.81 1.41 1.38
max 4.98 6.33 5.80 5.80 4.27 5.37 5.80 5.80
mean 2.62 3.31 2.79 2.81 2.26 2.82 2.83 2.80
st.dev. 0.88 1.14 1.18 1.18 0.76 0.96 1.19 1.18
Q5% 1.77 2.21 1.45 1.46 1.53 1.89 1.47 1.45
Q50% 2.33 2.94 2.52 2.52 2.01 2.51 2.53 2.52
Q95% 4.62 5.83 5.01 5.01 3.98 4.97 5.03 5.01

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 1.21 1.51 1.35 1.99 1.08 1.24 1.13 1.47
max 2.74 3.34 5.04 7.33 2.62 2.90 4.76 5.57
mean 1.81 2.19 2.51 3.59 1.68 1.91 2.22 2.71
st.dev. 0.36 0.44 0.95 1.53 0.36 0.38 0.72 1.07
Q5% 1.29 1.58 1.38 2.03 1.20 1.37 1.25 1.52
Q50% 1.74 2.12 2.30 3.15 1.61 1.84 2.18 2.44
Q95% 2.51 3.06 4.41 6.74 2.35 2.66 3.53 4.92

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 1.72 1.89 2.03 1.73 1.84 1.68 2.22 1.94
max 4.13 4.53 13.20 20.61 3.95 4.00 9.86 15.52
mean 2.74 3.08 3.88 3.82 2.62 2.72 3.95 3.85
st.dev. 0.65 0.72 1.67 2.51 0.56 0.62 1.35 1.91
Q5% 1.81 2.03 2.21 1.92 1.91 1.80 2.44 2.11
Q50% 2.64 3.07 3.46 3.24 2.41 2.71 3.65 3.37
Q95% 3.93 4.32 5.87 6.34 3.68 3.81 5.90 6.02

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 4054.00 4054.00 4045.00 4045.00 4054.00 4054.00 4045.00 4045.00
min 1.21 1.36 1.05 1.07 1.08 1.24 1.04 1.04
max 6.65 7.45 14.25 22.15 6.76 6.67 13.76 16.26
mean 1.90 2.25 2.35 2.64 1.71 1.98 2.24 2.42
st.dev. 0.52 0.68 1.22 1.68 0.45 0.55 1.07 1.34
Q5% 1.39 1.56 1.24 1.24 1.28 1.43 1.23 1.23
Q50% 1.74 2.05 2.05 2.15 1.57 1.83 2.00 2.07
Q95% 2.95 3.57 4.41 5.79 2.54 3.05 3.92 4.75