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  4. 89352110 / TRANSATLANTIC HOLDINGS INC

89352110 / TRANSATLANTIC HOLDINGS INC

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 1.31 1.44 1.35 1.26 1.30 1.34 1.42 1.31
max 3.73 4.17 7.14 8.43 3.61 3.85 6.70 7.40
mean 1.90 2.10 2.64 2.66 1.83 1.95 2.67 2.63
st.dev. 0.56 0.64 1.04 1.17 0.55 0.59 0.97 1.07
Q5% 1.39 1.54 1.47 1.41 1.35 1.43 1.53 1.43
Q50% 1.67 1.86 2.35 2.26 1.64 1.72 2.38 2.30
Q95% 3.29 3.68 4.51 4.58 3.18 3.39 4.48 4.52

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 1.69 2.07 1.08 1.12 1.49 1.80 1.07 1.08
max 6.58 7.52 29.01 45.60 5.39 6.40 22.65 34.44
mean 2.33 2.84 2.56 2.81 2.00 2.43 2.48 2.64
st.dev. 0.88 0.99 2.62 3.88 0.69 0.83 2.19 3.02
Q5% 1.79 2.19 1.18 1.25 1.56 1.90 1.16 1.21
Q50% 1.97 2.46 1.72 1.82 1.71 2.11 1.70 1.75
Q95% 4.81 5.53 5.64 6.09 3.88 4.69 5.61 5.80

2007-12-14 to 2009-06-14
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 376.00 376.00 376.00 376.00 376.00 376.00 376.00 376.00
min 1.75 2.16 1.05 1.05 1.52 1.87 1.06 1.05
max 13.56 17.15 15.22 24.24 14.85 14.60 11.67 18.19
mean 3.21 4.10 2.52 2.83 2.91 3.47 2.52 2.58
st.dev. 1.71 2.18 1.55 2.04 1.79 1.85 1.49 1.68
Q5% 1.88 2.35 1.24 1.29 1.64 2.02 1.22 1.24
Q50% 2.69 3.43 2.14 2.52 2.35 2.92 2.13 2.18
Q95% 6.37 8.00 4.81 5.29 6.02 6.84 5.05 4.87

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 4474.00 4474.00 4465.00 4465.00 4474.00 4474.00 4465.00 4465.00
min 1.31 1.44 1.05 1.05 1.22 1.34 1.06 1.05
max 13.56 17.15 29.01 45.60 14.85 14.60 22.65 34.44
mean 2.31 2.81 2.67 3.22 2.02 2.42 2.49 2.83
st.dev. 1.05 1.36 1.49 2.40 0.93 1.11 1.21 1.77
Q5% 1.46 1.64 1.33 1.39 1.36 1.51 1.30 1.33
Q50% 1.98 2.43 2.35 2.62 1.73 2.10 2.24 2.41
Q95% 4.17 5.19 5.33 7.82 3.50 4.32 4.54 6.14