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  4. 63545P10 / NATIONAL COMMERCE FINANCIAL CORP

63545P10 / NATIONAL COMMERCE FINANCIAL CORP

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 1.25 1.32 1.26 1.73 1.18 1.24 1.37 1.30
max 2.20 2.45 3.50 5.33 2.10 2.27 4.22 3.75
mean 1.61 1.77 1.81 2.72 1.53 1.65 1.78 1.92
st.dev. 0.21 0.24 0.49 0.78 0.20 0.22 0.45 0.54
Q5% 1.31 1.44 1.31 1.97 1.23 1.34 1.37 1.39
Q50% 1.59 1.74 1.64 2.48 1.52 1.62 1.63 1.74
Q95% 1.98 2.20 2.83 4.35 1.87 2.04 2.70 3.05

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 2.01 1.98 2.05 2.05 1.97 2.01 2.06 2.05
max 2.96 3.10 5.28 5.33 3.04 2.96 5.24 5.29
mean 2.38 2.52 3.22 3.25 2.48 2.38 3.30 3.23
st.dev. 0.19 0.26 0.79 0.81 0.25 0.21 0.79 0.80
Q5% 2.09 2.11 2.39 2.38 2.08 2.05 2.46 2.38
Q50% 2.43 2.54 3.04 3.05 2.52 2.42 3.09 3.05
Q95% 2.61 2.92 4.87 4.94 2.83 2.68 4.84 4.88

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 1.36 1.57 1.14 1.28 1.24 1.41 1.11 1.15
max 2.21 2.56 2.45 2.94 2.09 2.31 2.35 2.60
mean 1.75 2.04 1.92 2.25 1.59 1.83 1.82 2.02
st.dev. 0.21 0.25 0.34 0.44 0.19 0.22 0.32 0.37
Q5% 1.39 1.61 1.35 1.50 1.27 1.45 1.29 1.43
Q50% 1.73 2.02 1.97 2.28 1.58 1.81 1.87 2.07
Q95% 2.12 2.48 2.39 2.87 1.94 2.22 2.28 2.54

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 3946.00 3946.00 3937.00 3937.00 3946.00 3946.00 3937.00 3937.00
min 1.04 1.05 1.04 1.08 1.01 1.04 1.07 1.06
max 4.72 5.68 10.97 17.45 4.18 4.99 8.41 13.10
mean 1.63 1.82 2.16 2.41 1.54 1.67 2.11 2.20
st.dev. 0.45 0.61 0.76 1.02 0.39 0.49 0.70 0.81
Q5% 1.12 1.15 1.29 1.32 1.09 1.11 1.30 1.29
Q50% 1.55 1.69 2.01 2.15 1.47 1.58 1.98 2.03
Q95% 2.51 2.95 3.48 4.20 2.38 2.63 3.30 3.55