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  4. 61744644 / MORGAN STANLEY DEAN WITTER & CO

61744644 / MORGAN STANLEY DEAN WITTER & CO

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 1.56 2.11 1.51 2.16 1.38 1.73 1.24 1.68
max 2.87 3.60 5.47 10.22 2.72 3.08 4.81 6.45
mean 1.99 2.64 3.24 4.63 1.73 2.17 2.67 3.59
st.dev. 0.26 0.32 1.17 1.90 0.25 0.27 0.86 1.36
Q5% 1.69 2.25 1.65 2.17 1.46 1.83 1.40 1.81
Q50% 1.94 2.57 2.99 4.19 1.69 2.11 2.51 3.26
Q95% 2.53 3.23 5.20 7.65 2.28 2.70 4.09 5.83

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 1.45 1.59 1.54 1.53 1.51 1.46 1.51 1.52
max 3.80 4.31 7.00 7.00 3.59 3.94 7.99 7.00
mean 2.71 3.06 3.61 3.62 2.70 2.80 4.16 3.56
st.dev. 0.67 0.77 1.38 1.32 0.63 0.71 1.59 1.30
Q5% 1.67 1.83 1.76 1.76 1.70 1.67 1.69 1.75
Q50% 2.92 3.32 3.15 3.15 2.97 3.03 3.83 3.15
Q95% 3.48 3.93 6.06 6.03 3.43 3.60 6.94 5.92

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 1.23 1.31 1.34 1.51 1.17 1.25 1.10 1.28
max 2.41 2.59 7.25 10.12 2.29 2.45 5.92 8.13
mean 1.48 1.57 2.29 2.70 1.45 1.51 2.00 2.27
st.dev. 0.25 0.28 0.91 1.32 0.22 0.26 0.76 1.03
Q5% 1.24 1.33 1.36 1.53 1.20 1.26 1.19 1.30
Q50% 1.40 1.47 2.13 2.44 1.39 1.42 1.81 2.06
Q95% 2.08 2.23 3.74 3.96 1.97 2.11 3.53 3.78

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 1.48 1.65 1.32 1.32 1.37 1.52 1.28 1.32
max 14.02 14.39 10.35 10.45 18.50 12.99 12.02 10.37
mean 2.95 3.37 3.01 3.14 3.10 3.04 3.06 3.04
st.dev. 1.72 1.83 1.52 1.58 2.35 1.65 1.64 1.54
Q5% 1.69 1.97 1.53 1.61 1.55 1.76 1.53 1.57
Q50% 2.40 2.75 2.55 2.64 2.33 2.47 2.51 2.55
Q95% 5.68 6.48 5.94 6.25 6.39 5.83 5.94 6.07

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 5752.00 5752.00 5743.00 5743.00 5752.00 5752.00 5743.00 5743.00
min 1.16 1.28 1.04 1.10 1.09 1.21 1.03 1.03
max 14.02 14.39 11.07 17.45 18.50 12.99 12.02 13.16
mean 2.00 2.42 2.50 2.98 1.85 2.09 2.29 2.59
st.dev. 0.83 1.20 1.04 1.55 0.85 0.89 0.91 1.14
Q5% 1.32 1.44 1.32 1.38 1.26 1.35 1.28 1.33
Q50% 1.75 2.03 2.29 2.55 1.63 1.82 2.14 2.33
Q95% 3.50 4.97 4.64 6.38 3.02 3.78 3.97 4.98