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  4. 90130N10 / 21ST CENTURY INSURANCE GROUP

90130N10 / 21ST CENTURY INSURANCE GROUP

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 1.72 2.15 1.22 1.54 1.48 1.84 1.07 1.33
max 7.74 12.20 4.20 5.11 5.96 9.20 4.20 4.32
mean 2.44 3.22 2.28 2.68 2.07 2.68 2.15 2.39
st.dev. 0.98 1.52 0.82 1.10 0.76 1.15 0.73 0.90
Q5% 1.79 2.26 1.29 1.57 1.54 1.92 1.22 1.37
Q50% 2.08 2.68 2.08 2.25 1.77 2.26 2.01 2.12
Q95% 4.31 5.89 3.87 4.89 3.55 4.92 3.56 4.17

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 1.50 1.71 1.15 1.12 1.35 1.57 1.18 1.14
max 4.46 5.30 4.27 5.85 4.21 4.69 3.19 4.30
mean 2.01 2.37 2.23 2.45 1.87 2.10 2.15 2.26
st.dev. 0.60 0.74 0.70 1.10 0.58 0.64 0.55 0.74
Q5% 1.51 1.78 1.34 1.34 1.36 1.59 1.36 1.34
Q50% 1.84 2.15 2.21 2.25 1.70 1.91 2.12 2.21
Q95% 3.33 3.95 3.39 4.94 3.14 3.50 3.03 3.69

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 1.51 1.88 1.24 1.63 1.31 1.62 1.13 1.35
max 5.04 7.21 4.21 5.87 4.56 5.68 3.63 4.66
mean 2.27 2.89 2.47 3.27 1.99 2.43 2.14 2.68
st.dev. 0.64 0.83 0.84 1.29 0.59 0.70 0.61 0.96
Q5% 1.71 2.16 1.27 1.66 1.47 1.83 1.26 1.39
Q50% 2.07 2.66 2.32 2.97 1.81 2.20 2.10 2.48
Q95% 3.58 4.49 3.99 5.57 3.25 3.84 3.20 4.42

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 4431.00 4431.00 4422.00 4422.00 4431.00 4431.00 4422.00 4422.00
min 1.25 1.58 1.06 1.09 1.13 1.35 1.07 1.06
max 15.04 16.93 14.57 15.03 14.10 15.42 14.57 14.57
mean 2.43 3.07 2.65 2.87 2.16 2.61 2.58 2.69
st.dev. 1.16 1.43 1.35 1.42 1.10 1.23 1.34 1.36
Q5% 1.56 1.84 1.37 1.49 1.41 1.64 1.32 1.39
Q50% 2.13 2.69 2.41 2.61 1.89 2.29 2.34 2.44
Q95% 3.94 5.22 4.21 4.89 3.46 4.32 4.24 4.31