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  4. 39144210 / GREAT WESTERN FINANCIAL CORP

39144210 / GREAT WESTERN FINANCIAL CORP

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 1.84 2.12 2.31 2.83 1.75 1.93 1.73 2.30
max 2.51 2.89 5.47 6.70 2.39 2.64 4.11 5.45
mean 2.16 2.49 3.57 4.37 2.06 2.27 2.68 3.56
st.dev. 0.17 0.19 0.98 1.20 0.16 0.18 0.73 0.97
Q5% 1.90 2.19 2.38 2.91 1.81 2.00 1.78 2.37
Q50% 2.17 2.49 3.35 4.10 2.06 2.28 2.51 3.33
Q95% 2.45 2.82 5.39 6.59 2.33 2.58 4.05 5.36

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 1.25 1.32 1.16 1.30 1.21 1.28 1.09 1.19
max 1.86 2.02 3.90 3.95 1.83 1.90 3.90 3.90
mean 1.57 1.70 2.10 2.28 1.56 1.60 2.02 2.13
st.dev. 0.14 0.15 0.70 0.77 0.14 0.14 0.68 0.71
Q5% 1.32 1.45 1.24 1.34 1.32 1.35 1.19 1.25
Q50% 1.56 1.68 2.03 2.13 1.55 1.59 1.92 2.05
Q95% 1.78 1.92 3.37 3.65 1.77 1.81 3.37 3.39

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 339.00 339.00 339.00 339.00 339.00 339.00 339.00 339.00
min 1.28 1.35 1.04 1.13 1.22 1.27 1.05 1.08
max 1.92 2.13 3.70 3.70 2.02 1.98 3.70 3.70
mean 1.52 1.65 1.87 1.93 1.55 1.54 1.88 1.88
st.dev. 0.12 0.14 0.55 0.56 0.15 0.13 0.56 0.55
Q5% 1.34 1.45 1.20 1.23 1.32 1.36 1.20 1.21
Q50% 1.52 1.64 1.74 1.78 1.56 1.52 1.76 1.75
Q95% 1.74 1.91 2.93 3.00 1.79 1.76 2.95 2.93

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 1.44 1.50 1.11 1.16 1.35 1.37 1.13 1.10
max 8.22 6.84 6.25 5.78 8.53 7.02 6.32 5.96
mean 3.07 2.76 2.08 2.06 3.00 2.66 2.09 2.04
st.dev. 1.52 1.36 0.89 0.85 1.49 1.28 0.89 0.86
Q5% 1.57 1.59 1.21 1.22 1.45 1.46 1.23 1.17
Q50% 2.68 2.31 1.93 1.88 2.67 2.31 1.94 1.85
Q95% 6.08 5.69 3.21 3.25 5.76 5.36 3.21 3.21

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 1.26 1.47 1.14 1.23 1.20 1.30 1.14 1.15
max 2.84 3.17 4.63 4.95 3.09 2.89 4.57 4.71
mean 1.68 1.95 2.18 2.24 1.64 1.73 2.16 2.20
st.dev. 0.29 0.30 0.70 0.71 0.33 0.30 0.69 0.70
Q5% 1.34 1.56 1.27 1.34 1.27 1.39 1.26 1.29
Q50% 1.61 1.92 2.06 2.12 1.58 1.67 2.06 2.08
Q95% 2.22 2.52 3.50 3.64 2.24 2.30 3.44 3.54

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 5940.00 5940.00 5940.00 5940.00 5940.00 5940.00 5940.00 5940.00
min 1.16 1.23 1.04 1.04 1.15 1.18 1.02 1.04
max 9.41 8.55 11.78 18.30 9.90 9.11 9.85 13.85
mean 1.64 1.84 2.15 2.35 1.55 1.67 2.03 2.17
st.dev. 0.44 0.46 0.93 1.17 0.40 0.41 0.75 0.95
Q5% 1.30 1.41 1.25 1.28 1.24 1.33 1.24 1.25
Q50% 1.52 1.73 1.93 2.03 1.45 1.56 1.89 1.95
Q95% 2.41 2.64 4.11 4.87 2.20 2.41 3.36 4.10