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  4. 91159610 / UNITED STATES BANCORP

91159610 / UNITED STATES BANCORP

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 2.62 3.75 1.12 1.36 2.11 2.97 1.13 1.19
max 24.62 43.17 10.13 12.85 18.10 30.97 9.05 10.65
mean 5.57 8.83 2.72 3.14 4.30 6.64 2.57 2.84
st.dev. 3.06 5.37 1.29 1.69 2.28 3.85 1.15 1.41
Q5% 3.20 4.72 1.34 1.45 2.53 3.70 1.29 1.36
Q50% 4.62 7.32 2.39 2.71 3.56 5.50 2.30 2.51
Q95% 10.63 17.42 4.82 5.59 8.10 12.88 4.54 5.07

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 2.07 2.77 1.42 1.71 1.73 2.28 1.09 1.41
max 17.10 27.48 6.49 6.36 13.06 20.53 6.59 6.46
mean 3.08 4.29 2.83 3.05 2.53 3.46 2.72 2.82
st.dev. 2.12 3.40 1.40 1.41 1.62 2.54 1.40 1.40
Q5% 2.11 2.85 1.42 1.71 1.76 2.34 1.29 1.41
Q50% 2.34 3.17 2.25 2.37 1.96 2.59 2.25 2.25
Q95% 5.74 8.59 5.25 5.37 4.72 6.56 5.21 5.28

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 1.77 2.21 1.28 1.48 1.54 1.90 1.24 1.32
max 6.03 7.75 5.73 5.72 5.16 6.53 5.74 5.73
mean 3.35 4.28 2.50 2.59 2.88 3.62 2.46 2.51
st.dev. 0.90 1.15 0.86 0.88 0.77 0.97 0.86 0.86
Q5% 2.35 3.04 1.44 1.61 2.02 2.55 1.38 1.44
Q50% 3.04 3.89 2.35 2.41 2.62 3.28 2.32 2.36
Q95% 5.37 6.86 3.92 4.02 4.59 5.80 3.88 3.93

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 4093.00 4093.00 4084.00 4084.00 4093.00 4093.00 4084.00 4084.00
min 1.23 1.36 1.05 1.09 1.11 1.26 1.06 1.05
max 24.62 43.17 15.42 24.21 18.10 30.97 12.79 18.30
mean 3.21 4.62 2.35 2.62 2.64 3.66 2.23 2.39
st.dev. 2.25 4.00 0.95 1.21 1.65 2.84 0.82 1.00
Q5% 1.54 1.80 1.29 1.37 1.41 1.62 1.26 1.30
Q50% 2.41 3.21 2.16 2.36 2.06 2.65 2.07 2.19
Q95% 7.49 12.53 4.04 4.86 5.75 9.16 3.61 4.12