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  4. 52728810 / LEUCADIA NATIONAL CORP

52728810 / LEUCADIA NATIONAL CORP

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 57.00 57.00 48.00 48.00 57.00 57.00 48.00 48.00
min 1.75 2.18 1.14 1.17 1.52 1.87 1.20 1.15
max 2.44 3.05 3.38 3.43 2.14 2.61 3.27 3.27
mean 2.14 2.69 1.83 1.86 1.88 2.27 1.81 1.79
st.dev. 0.17 0.21 0.59 0.59 0.16 0.18 0.54 0.55
Q5% 1.80 2.24 1.20 1.23 1.56 1.92 1.22 1.19
Q50% 2.18 2.74 1.64 1.67 1.92 2.27 1.66 1.64
Q95% 2.37 2.96 3.00 3.04 2.07 2.53 2.90 2.89

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 1.78 2.07 1.36 1.33 1.56 1.84 1.43 1.32
max 9.30 10.23 15.08 21.78 8.22 8.89 13.72 17.18
mean 3.28 3.66 3.20 3.57 3.04 3.20 3.19 3.29
st.dev. 1.43 1.62 2.25 3.23 1.24 1.37 2.01 2.55
Q5% 2.19 2.33 1.47 1.44 2.20 2.10 1.55 1.44
Q50% 2.83 3.18 2.23 2.23 2.60 2.76 2.44 2.23
Q95% 6.46 7.16 5.93 8.18 5.79 6.15 5.85 6.44

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 1.63 2.03 1.18 1.53 1.43 1.75 1.23 1.21
max 6.12 7.53 15.69 24.58 6.24 6.34 12.11 18.59
mean 2.04 2.55 3.76 5.50 1.86 2.19 3.32 4.29
st.dev. 0.52 0.63 2.52 4.09 0.56 0.53 1.90 3.05
Q5% 1.68 2.09 1.35 1.69 1.50 1.80 1.44 1.42
Q50% 1.91 2.38 2.87 4.14 1.76 2.05 2.92 3.22
Q95% 2.55 3.16 8.70 13.24 2.32 2.72 7.17 10.30

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 1.51 1.76 1.20 1.20 1.45 1.57 1.20 1.20
max 2.55 3.01 15.35 23.23 2.28 2.67 12.80 17.89
mean 1.97 2.34 2.52 2.83 1.76 2.07 2.42 2.61
st.dev. 0.24 0.28 1.99 3.19 0.21 0.25 1.60 2.37
Q5% 1.66 1.97 1.33 1.35 1.50 1.74 1.37 1.32
Q50% 1.91 2.28 2.11 2.12 1.70 2.00 2.10 2.12
Q95% 2.37 2.81 4.10 5.82 2.12 2.49 3.42 4.64

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 1.59 2.12 1.15 1.14 1.32 1.74 1.15 1.14
max 3.70 5.16 3.97 5.11 3.08 4.14 3.38 4.30
mean 2.30 3.06 2.00 2.02 1.94 2.52 2.01 2.00
st.dev. 0.38 0.51 0.55 0.58 0.33 0.42 0.53 0.55
Q5% 1.75 2.33 1.18 1.18 1.46 1.92 1.20 1.17
Q50% 2.22 2.95 2.06 2.06 1.86 2.43 2.06 2.06
Q95% 2.97 3.95 2.92 2.92 2.50 3.26 2.92 2.92

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 376.00 376.00 376.00 376.00 376.00 376.00 376.00 376.00
min 1.31 1.45 1.08 1.09 1.22 1.34 1.04 1.08
max 6.22 7.04 11.09 17.68 6.01 6.43 8.50 13.26
mean 2.63 2.94 2.53 2.67 2.46 2.71 2.50 2.56
st.dev. 1.11 1.27 1.25 1.48 1.04 1.15 1.18 1.32
Q5% 1.46 1.60 1.24 1.27 1.37 1.49 1.23 1.24
Q50% 2.34 2.61 2.25 2.36 2.17 2.41 2.22 2.27
Q95% 5.01 5.65 4.94 5.00 4.71 5.17 4.96 4.95

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 7656.00 7656.00 7647.00 7647.00 7656.00 7656.00 7647.00 7647.00
min 1.21 1.31 1.02 1.07 1.14 1.23 1.04 1.07
max 9.30 10.23 15.69 24.58 8.22 8.89 13.72 18.59
mean 2.17 2.69 2.34 2.61 1.91 2.30 2.28 2.40
st.dev. 0.62 0.83 1.03 1.46 0.54 0.67 0.91 1.13
Q5% 1.43 1.63 1.28 1.31 1.32 1.48 1.30 1.29
Q50% 2.06 2.56 2.12 2.24 1.80 2.19 2.09 2.15
Q95% 3.27 4.22 4.16 5.06 2.87 3.52 3.88 4.32