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  4. 76071910 / REPUBLIC NEW YORK CORP

76071910 / REPUBLIC NEW YORK 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 340.00 340.00 340.00 340.00 340.00 340.00 340.00 340.00
min 1.82 2.42 1.20 1.22 1.53 2.00 1.17 1.19
max 7.31 11.06 17.02 27.72 5.74 8.52 13.13 20.34
mean 3.31 4.77 2.43 2.51 2.70 3.77 2.39 2.45
st.dev. 0.80 1.32 1.24 1.81 0.64 0.96 1.06 1.40
Q5% 2.10 2.83 1.38 1.38 1.73 2.32 1.37 1.38
Q50% 3.24 4.61 2.18 2.21 2.63 3.67 2.15 2.18
Q95% 4.65 6.84 3.81 3.82 3.84 5.35 3.82 3.80

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 1.51 1.79 1.17 1.22 1.36 1.59 1.11 1.17
max 5.37 6.47 9.38 8.49 5.35 5.68 10.04 8.53
mean 2.47 2.87 3.73 4.06 2.52 2.58 4.15 3.66
st.dev. 1.00 1.24 1.89 1.86 1.03 1.07 1.90 1.78
Q5% 1.54 1.82 1.71 2.31 1.42 1.62 2.23 1.71
Q50% 2.09 2.24 3.34 3.48 2.20 2.13 3.67 3.34
Q95% 4.48 5.34 7.56 7.35 4.54 4.72 8.35 7.08

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 1.45 1.74 1.23 2.42 1.29 1.53 1.29 1.59
max 4.12 5.04 5.92 11.00 3.63 4.38 5.95 6.89
mean 2.11 2.60 2.53 4.68 1.86 2.25 2.57 3.15
st.dev. 0.49 0.60 1.07 2.42 0.43 0.52 0.96 1.49
Q5% 1.62 1.99 1.37 2.43 1.42 1.72 1.35 1.70
Q50% 1.95 2.41 2.18 3.50 1.72 2.08 2.37 2.58
Q95% 3.10 3.81 4.66 9.57 2.73 3.30 4.29 6.19

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 1.78 1.92 1.60 1.97 1.72 1.78 1.60 1.60
max 4.25 4.71 6.36 6.70 4.04 4.36 6.11 6.44
mean 2.70 2.98 3.23 3.33 2.53 2.77 3.28 3.24
st.dev. 0.68 0.76 1.16 1.16 0.64 0.70 1.12 1.16
Q5% 1.93 2.12 1.81 2.00 1.80 1.98 1.81 1.81
Q50% 2.41 2.66 2.73 2.93 2.24 2.47 2.98 2.73
Q95% 3.93 4.36 5.52 5.59 3.70 4.04 5.52 5.52

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 4700.00 4700.00 4691.00 4691.00 4700.00 4700.00 4691.00 4691.00
min 1.20 1.35 1.08 1.04 1.10 1.24 1.07 1.06
max 9.69 12.28 20.58 31.18 8.65 10.53 15.90 23.99
mean 2.06 2.53 2.53 3.32 1.83 2.19 2.44 2.78
st.dev. 0.78 1.15 1.32 2.58 0.66 0.90 1.10 1.66
Q5% 1.44 1.63 1.32 1.35 1.32 1.49 1.32 1.35
Q50% 1.84 2.21 2.26 2.52 1.65 1.94 2.24 2.35
Q95% 3.58 4.87 4.57 8.97 3.06 3.96 4.18 5.82