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  4. 67724010 / OHIO CASUALTY CORP

67724010 / OHIO CASUALTY 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 323.00 323.00 314.00 314.00 323.00 323.00 314.00 314.00
min 2.66 3.89 1.06 1.06 2.13 3.05 1.08 1.04
max 17.12 27.83 15.48 21.50 13.01 20.68 12.65 17.47
mean 5.52 8.87 2.70 3.03 4.22 6.63 2.57 2.79
st.dev. 2.03 3.37 1.76 2.61 1.53 2.48 1.42 2.02
Q5% 3.71 5.72 1.22 1.25 2.87 4.37 1.22 1.22
Q50% 5.00 8.09 2.32 2.40 3.80 6.04 2.30 2.32
Q95% 9.41 15.28 5.87 7.90 7.17 11.35 5.14 6.37

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 1.79 2.29 1.22 1.47 1.54 1.94 1.24 1.22
max 7.36 9.55 11.24 18.07 6.25 8.01 10.48 13.50
mean 2.95 3.82 3.21 3.81 2.51 3.21 3.12 3.36
st.dev. 1.18 1.58 2.43 3.66 0.98 1.30 2.08 2.81
Q5% 1.84 2.33 1.34 1.47 1.58 1.98 1.36 1.36
Q50% 2.49 3.20 2.41 2.55 2.12 2.70 2.43 2.45
Q95% 5.19 6.98 9.56 13.08 4.33 5.73 8.11 11.22

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 1.83 2.31 1.23 1.49 1.58 1.97 1.14 1.27
max 6.30 8.26 6.32 6.37 5.32 6.88 6.32 6.32
mean 2.96 3.88 2.36 2.56 2.50 3.23 2.25 2.39
st.dev. 0.99 1.32 0.99 1.02 0.82 1.09 0.98 0.99
Q5% 1.89 2.42 1.36 1.56 1.61 2.05 1.25 1.39
Q50% 2.76 3.62 2.09 2.19 2.32 3.02 2.01 2.13
Q95% 5.44 7.14 4.31 4.36 4.57 5.95 4.31 4.31

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 1.38 1.57 1.19 1.19 1.27 1.43 1.23 1.19
max 2.18 2.48 4.69 6.17 2.02 2.26 3.95 5.13
mean 1.57 1.79 1.90 1.92 1.45 1.63 1.90 1.91
st.dev. 0.20 0.23 0.60 0.73 0.19 0.21 0.55 0.64
Q5% 1.40 1.59 1.40 1.40 1.28 1.45 1.43 1.40
Q50% 1.46 1.68 1.71 1.71 1.36 1.52 1.71 1.71
Q95% 1.94 2.22 2.96 2.96 1.80 2.01 2.96 2.96

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 1.50 1.82 1.08 1.12 1.32 1.60 1.08 1.09
max 5.16 6.35 4.79 4.79 4.79 5.50 4.79 4.79
mean 2.07 2.52 2.26 2.30 1.90 2.20 2.26 2.27
st.dev. 0.55 0.70 0.73 0.74 0.53 0.59 0.72 0.73
Q5% 1.57 1.92 1.37 1.36 1.40 1.67 1.38 1.36
Q50% 1.92 2.31 2.15 2.18 1.74 2.03 2.16 2.16
Q95% 3.21 3.99 3.69 3.74 2.98 3.43 3.65 3.70

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 6575.00 6575.00 6566.00 6566.00 6575.00 6575.00 6566.00 6566.00
min 1.19 1.38 1.03 1.06 1.14 1.25 1.07 1.04
max 24.64 40.65 18.48 28.44 18.83 29.99 13.95 21.56
mean 2.83 3.93 2.48 3.08 2.37 3.16 2.27 2.64
st.dev. 1.81 2.97 1.26 2.09 1.40 2.19 1.07 1.48
Q5% 1.43 1.68 1.29 1.33 1.32 1.50 1.27 1.30
Q50% 2.17 2.73 2.18 2.40 1.89 2.31 2.04 2.23
Q95% 6.07 9.64 4.45 7.17 4.68 7.24 3.66 5.22