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  4. 22609110 / CRESTAR FINANCIAL CORP

22609110 / CRESTAR FINANCIAL CORP

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 2.41 3.31 1.46 1.50 1.97 2.69 1.44 1.46
max 5.95 8.58 6.25 6.78 4.78 6.77 6.25 6.25
mean 3.53 4.96 2.94 3.06 2.88 3.97 2.90 2.97
st.dev. 0.95 1.41 1.27 1.36 0.76 1.10 1.26 1.29
Q5% 2.48 3.44 1.62 1.62 2.03 2.78 1.62 1.62
Q50% 3.35 4.68 2.66 2.66 2.73 3.76 2.61 2.66
Q95% 5.39 7.63 5.29 5.68 4.38 6.08 5.13 5.65

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 1.69 2.08 1.25 1.27 1.48 1.80 1.25 1.25
max 6.52 8.12 5.47 7.27 5.66 6.98 5.47 5.59
mean 3.16 3.95 2.35 2.39 2.73 3.39 2.34 2.36
st.dev. 0.92 1.17 0.96 1.03 0.79 0.99 0.95 0.98
Q5% 1.98 2.44 1.35 1.38 1.73 2.11 1.35 1.35
Q50% 2.96 3.70 2.08 2.09 2.56 3.17 2.08 2.08
Q95% 4.64 5.81 4.32 4.41 4.00 4.97 4.24 4.32

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 1.61 1.74 1.65 1.65 1.55 1.63 1.82 1.65
max 3.04 3.44 5.03 4.86 2.92 3.14 5.33 4.91
mean 2.25 2.53 2.71 2.66 2.16 2.32 2.84 2.66
st.dev. 0.44 0.51 0.68 0.66 0.40 0.46 0.69 0.66
Q5% 1.64 1.81 1.75 1.72 1.61 1.68 1.92 1.72
Q50% 2.28 2.59 2.71 2.68 2.15 2.36 2.74 2.67
Q95% 2.97 3.35 4.01 3.84 2.86 3.07 4.28 3.84

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 3131.00 3131.00 3122.00 3122.00 3131.00 3131.00 3122.00 3122.00
min 1.12 1.23 1.07 1.04 1.07 1.15 1.05 1.06
max 13.73 21.43 10.15 14.00 12.43 16.24 8.85 11.01
mean 2.29 2.89 2.26 2.40 2.02 2.46 2.22 2.29
st.dev. 0.97 1.59 0.87 1.10 0.80 1.17 0.80 0.93
Q5% 1.35 1.47 1.31 1.33 1.27 1.38 1.30 1.31
Q50% 2.04 2.48 2.08 2.15 1.84 2.16 2.05 2.08
Q95% 4.16 5.69 3.72 4.29 3.52 4.62 3.62 3.85