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  4. 52490810 / LEHMAN BROTHERS HOLDINGS INC

52490810 / LEHMAN BROTHERS HOLDINGS INC

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 1.76 1.91 1.51 1.49 1.76 1.75 1.60 1.50
max 4.58 5.49 7.55 7.33 4.31 4.83 8.20 7.16
mean 3.29 3.92 3.37 3.70 3.20 3.45 3.70 3.33
st.dev. 0.83 1.04 1.31 1.21 0.78 0.90 1.42 1.23
Q5% 1.77 1.94 1.79 1.81 1.78 1.77 1.84 1.79
Q50% 3.53 4.23 3.05 3.40 3.39 3.73 3.27 3.05
Q95% 4.38 5.25 6.33 5.99 4.18 4.62 6.52 5.89

2001-03-14 to 2001-11-14
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 168.00 168.00 168.00 168.00 168.00 168.00 168.00 168.00
min 1.24 1.39 1.22 1.55 1.15 1.28 1.10 1.29
max 2.11 2.37 2.99 3.78 2.02 2.19 2.75 3.08
mean 1.59 1.78 2.11 2.59 1.52 1.64 1.81 2.18
st.dev. 0.22 0.25 0.52 0.67 0.22 0.23 0.40 0.54
Q5% 1.32 1.47 1.35 1.60 1.23 1.36 1.29 1.38
Q50% 1.58 1.77 2.07 2.46 1.51 1.63 1.74 2.15
Q95% 2.01 2.25 2.91 3.66 1.92 2.08 2.40 3.03

2007-12-14 to 2009-06-14
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 191.00 191.00 191.00 191.00 191.00 191.00 191.00 191.00
min 1.53 1.70 1.19 1.29 1.54 1.57 1.16 1.20
max 12.40 13.89 18.03 18.79 13.93 12.78 18.00 18.21
mean 3.11 3.38 3.38 3.51 3.07 3.18 3.32 3.42
st.dev. 1.58 1.78 1.93 2.14 1.68 1.63 1.86 1.98
Q5% 1.83 1.94 1.60 1.61 1.77 1.87 1.59 1.60
Q50% 2.53 2.74 2.95 2.95 2.48 2.58 2.92 2.95
Q95% 6.50 7.23 6.86 7.27 6.64 6.69 6.37 7.01

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 2602.00 2602.00 2593.00 2593.00 2602.00 2602.00 2593.00 2593.00
min 1.11 1.15 1.05 1.05 1.08 1.12 1.07 1.04
max 12.40 13.89 18.03 18.79 13.93 12.78 18.00 18.21
mean 1.93 2.16 2.32 2.85 1.85 1.98 2.16 2.42
st.dev. 0.73 0.84 0.90 1.25 0.74 0.75 0.87 0.95
Q5% 1.26 1.34 1.33 1.38 1.21 1.28 1.27 1.34
Q50% 1.77 1.98 2.20 2.64 1.70 1.81 2.03 2.27
Q95% 3.07 3.47 3.64 5.12 2.97 3.16 3.42 3.99