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  4. 02313910 / AMBAC FINANCIAL GROUP INC

02313910 / AMBAC FINANCIAL GROUP 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 1.49 1.71 1.67 1.63 1.36 1.55 1.67 1.63
max 4.43 5.09 5.53 5.95 4.21 4.60 5.72 5.57
mean 2.87 3.29 2.95 2.92 2.70 2.98 3.02 2.91
st.dev. 0.67 0.77 0.96 1.01 0.67 0.70 1.03 0.98
Q5% 1.69 1.93 1.86 1.77 1.55 1.76 1.82 1.79
Q50% 2.96 3.40 2.77 2.76 2.75 3.07 2.89 2.76
Q95% 3.85 4.42 4.71 4.71 3.67 4.00 5.02 4.68

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 1.32 1.48 1.11 1.05 1.22 1.36 1.14 1.09
max 2.92 3.36 3.69 3.69 2.76 3.03 3.84 3.69
mean 1.73 2.00 2.06 2.05 1.62 1.77 2.09 2.05
st.dev. 0.31 0.37 0.53 0.54 0.30 0.32 0.54 0.53
Q5% 1.39 1.57 1.25 1.24 1.29 1.42 1.31 1.23
Q50% 1.67 1.93 2.12 2.11 1.53 1.69 2.13 2.11
Q95% 2.39 2.81 2.96 2.87 2.19 2.38 3.07 2.91

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 1.51 2.15 1.50 1.50 1.40 1.76 1.30 1.50
max 16.13 26.12 15.90 15.67 20.03 19.44 16.33 15.80
mean 4.17 5.40 3.52 3.98 3.91 4.51 3.37 3.59
st.dev. 2.20 2.83 1.88 2.17 2.41 2.39 1.81 1.93
Q5% 1.74 2.58 1.74 1.85 1.73 1.97 1.65 1.74
Q50% 3.73 4.68 3.00 3.34 3.32 3.98 2.92 3.02
Q95% 8.33 10.64 7.07 8.46 7.44 9.06 6.69 7.31

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 3872.00 3872.00 3863.00 3863.00 3872.00 3872.00 3863.00 3863.00
min 1.27 1.37 1.07 1.05 1.15 1.29 1.06 1.04
max 20.13 30.51 26.54 38.56 20.03 23.16 21.80 30.33
mean 2.39 2.96 2.51 2.73 2.19 2.53 2.43 2.53
st.dev. 1.52 2.26 1.33 1.56 1.39 1.75 1.26 1.38
Q5% 1.42 1.59 1.32 1.35 1.32 1.45 1.32 1.32
Q50% 1.88 2.23 2.25 2.40 1.74 1.95 2.18 2.27
Q95% 5.06 6.88 4.58 4.99 4.57 5.67 4.43 4.66