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  4. 61688010 / MORGAN J P & CO INC

61688010 / MORGAN J P & CO INC

1977-05-14 to 1977-10-14
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 106.00 106.00 106.00 106.00 106.00 106.00 106.00 106.00
min 2.00 2.35 1.84 1.89 1.69 2.03 1.62 1.74
max 3.55 4.31 3.92 4.04 3.02 3.63 3.45 3.72
mean 2.77 3.28 2.98 3.06 2.41 2.85 2.64 2.82
st.dev. 0.40 0.53 0.46 0.48 0.35 0.43 0.41 0.44
Q5% 2.14 2.50 1.92 1.97 1.80 2.16 1.68 1.82
Q50% 2.71 3.25 3.05 3.14 2.43 2.76 2.72 2.89
Q95% 3.40 4.12 3.58 3.68 2.94 3.52 3.15 3.39

1980-01-14 to 1980-07-14
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 127.00 127.00 127.00 127.00 127.00 127.00 127.00 127.00
min 1.41 1.60 1.10 1.09 1.28 1.47 1.09 1.09
max 2.18 2.51 3.95 4.30 1.98 2.27 3.95 3.95
mean 1.68 1.90 2.12 2.15 1.54 1.74 2.10 2.12
st.dev. 0.17 0.20 0.65 0.70 0.16 0.18 0.64 0.66
Q5% 1.46 1.66 1.25 1.25 1.35 1.52 1.24 1.23
Q50% 1.65 1.88 2.11 2.09 1.51 1.71 2.09 2.08
Q95% 1.99 2.28 3.24 3.42 1.81 2.06 3.17 3.24

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 1.36 1.48 1.10 1.07 1.27 1.33 1.08 1.08
max 3.41 3.92 11.35 17.90 3.17 3.55 8.52 13.43
mean 1.72 1.96 2.04 2.08 1.56 1.77 2.01 2.05
st.dev. 0.29 0.32 0.92 1.18 0.25 0.28 0.83 0.99
Q5% 1.43 1.63 1.18 1.17 1.31 1.48 1.17 1.17
Q50% 1.63 1.86 1.79 1.79 1.48 1.68 1.76 1.79
Q95% 2.21 2.51 3.58 3.65 1.99 2.26 3.44 3.57

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 1.54 1.49 1.79 1.70 1.48 1.50 1.96 1.74
max 16.42 13.35 11.53 9.55 16.20 14.34 12.72 9.97
mean 4.23 3.44 3.13 2.91 4.58 3.67 3.46 2.94
st.dev. 3.04 2.37 1.51 1.29 2.94 2.61 1.64 1.33
Q5% 1.71 1.57 1.82 1.75 2.02 1.55 2.11 1.77
Q50% 3.04 2.56 2.87 2.59 3.47 2.70 3.16 2.58
Q95% 10.63 8.65 4.62 4.43 10.10 9.26 4.67 4.57

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 1.20 1.32 1.18 1.33 1.38 1.16 1.12 1.19
max 2.28 2.57 3.19 3.82 2.81 2.14 3.28 3.34
mean 1.57 1.80 1.83 2.05 1.66 1.57 1.79 1.88
st.dev. 0.20 0.20 0.53 0.64 0.29 0.17 0.50 0.56
Q5% 1.32 1.48 1.25 1.37 1.39 1.35 1.21 1.28
Q50% 1.55 1.78 1.68 1.84 1.58 1.54 1.66 1.73
Q95% 1.90 2.14 2.89 3.31 2.21 1.90 2.74 3.01

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 1.80 1.97 1.58 1.54 1.69 1.84 1.58 1.56
max 3.79 4.25 7.99 7.99 3.49 3.91 8.86 7.99
mean 2.70 2.97 3.64 3.76 2.53 2.77 4.11 3.61
st.dev. 0.39 0.44 1.73 1.68 0.36 0.40 1.93 1.70
Q5% 2.05 2.25 1.76 1.72 1.93 2.10 1.76 1.74
Q50% 2.78 3.06 2.88 2.95 2.60 2.85 3.26 2.88
Q95% 3.15 3.49 6.77 6.90 2.94 3.24 7.73 6.82

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 6824.00 6824.00 6824.00 6824.00 6824.00 6824.00 6824.00 6824.00
min 1.08 1.16 1.08 1.05 1.05 1.08 1.03 1.05
max 16.42 13.35 17.84 28.72 16.20 14.34 14.50 21.03
mean 1.65 1.86 2.13 2.32 1.58 1.68 2.08 2.13
st.dev. 0.50 0.49 0.86 1.16 0.50 0.46 0.78 0.92
Q5% 1.29 1.38 1.26 1.30 1.23 1.30 1.25 1.26
Q50% 1.56 1.76 2.00 2.14 1.48 1.59 1.95 2.00
Q95% 2.30 2.63 3.39 3.75 2.20 2.34 3.26 3.33