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  4. 58551A10 / MELLON FINANCIAL CORP

58551A10 / MELLON FINANCIAL CORP

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 1.66 2.04 1.87 2.53 1.46 1.76 1.25 1.85
max 10.97 13.31 16.40 24.54 11.06 11.63 12.98 19.00
mean 3.00 3.45 3.50 4.65 3.07 3.11 3.14 3.62
st.dev. 1.70 2.06 2.30 3.28 1.76 1.81 1.95 2.60
Q5% 1.68 2.17 1.87 2.54 1.50 1.79 1.50 1.85
Q50% 2.72 2.91 2.57 3.45 2.69 2.75 2.36 2.60
Q95% 6.91 8.38 6.72 9.75 7.15 7.32 6.67 6.80

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 1.62 1.97 1.69 2.03 1.41 1.72 1.15 1.62
max 3.91 4.83 9.57 11.59 3.40 4.17 6.59 9.13
mean 2.02 2.49 3.33 4.06 1.79 2.15 2.49 3.22
st.dev. 0.45 0.55 1.49 1.89 0.39 0.48 0.96 1.42
Q5% 1.65 2.02 1.70 2.08 1.45 1.75 1.32 1.63
Q50% 1.81 2.25 2.91 3.57 1.63 1.93 2.32 2.82
Q95% 3.00 3.70 5.70 7.13 2.61 3.20 4.00 5.46

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 1.44 1.66 1.49 1.49 1.50 1.50 1.45 1.48
max 3.08 3.58 4.50 5.24 3.09 3.21 4.79 4.58
mean 2.10 2.41 2.45 2.39 2.09 2.17 2.55 2.40
st.dev. 0.42 0.51 0.74 0.77 0.42 0.46 0.78 0.73
Q5% 1.54 1.76 1.64 1.56 1.58 1.58 1.64 1.62
Q50% 2.06 2.38 2.22 2.12 2.03 2.15 2.27 2.15
Q95% 2.91 3.38 3.85 3.79 2.91 3.04 4.19 3.79

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 1.38 1.55 1.09 1.09 1.27 1.42 1.07 1.09
max 2.20 2.57 3.14 3.41 2.03 2.23 3.21 3.18
mean 1.64 1.87 1.79 1.86 1.53 1.69 1.76 1.80
st.dev. 0.19 0.23 0.45 0.48 0.18 0.19 0.45 0.46
Q5% 1.39 1.57 1.18 1.20 1.27 1.43 1.18 1.18
Q50% 1.62 1.84 1.75 1.82 1.51 1.66 1.69 1.77
Q95% 1.94 2.24 2.60 2.70 1.81 1.98 2.59 2.63

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 5555.00 5555.00 5546.00 5546.00 5555.00 5555.00 5546.00 5546.00
min 1.17 1.31 1.04 1.06 1.11 1.20 1.07 1.05
max 10.97 13.31 16.55 26.49 11.06 11.63 13.47 19.83
mean 1.80 2.13 2.37 2.70 1.67 1.89 2.15 2.38
st.dev. 0.43 0.56 1.17 1.70 0.42 0.46 0.84 1.23
Q5% 1.39 1.57 1.27 1.31 1.29 1.44 1.26 1.27
Q50% 1.69 2.00 2.10 2.28 1.56 1.78 2.02 2.11
Q95% 2.54 3.18 4.86 6.27 2.38 2.73 3.51 4.85