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Unformatted text preview: 54 79 .4 4 -0.213316 -0.012178 6 83.18 6 57.79 -0.4 29 4 9 6 -0.024 519 1375.54 1272.59 -0.109 035 -0.006 224 34 9 .20 34 2.57 0.6 6 4 702 0.0379 4 6 -2128.83 -2375.4 2 -1.09 2380 -0.06 236 1 34 9 8.55 2832.55 0.4 4 836 5 0.02559 6 -14 35.9 7 -154 8.17 1.100052 0.06 279 9 -3523.12 -4 19 8.51 -0.0119 72 -0.0006 83 38.34 38.26 0.24 34 6 9 0.01389 9 -779 .76 -812.84 -0.113807 -0.006 4 9 7 36 4 .4 9 357.26 -1.8389 6 6 -0.104 9 81 5889 .6 3 4 002.18 0.272576 0.01556 1 -872.9 7 -9 14 .4 4 -0.070322 -0.004 014 225.22 222.4 6 0.7526 27 0.04 29 6 5 -24 10.4 3 -2726 .57 0.2804 4 3 0.016 010 -89 8.17 -9 4 2.06 -2.13256 5 -0.12174 2 6 829 .9 3 4 29 1.70 µDV σ2DV -558.119 1088016 9 .4 7 ζ1 ,DV -0.9 9 584 10-day 1% $VaR Delta-Based Gamma-Based Cornish-Fisher 7524 .83 106 05.84 106 4 6 .9 6 -0.028882 0.123823 -1.16 04 70 0.1114 9 7 0.9 8804 5 0.19 2310 -0.586 9 04 -0.516 4 38 -1.06 54 09 -1.9 3359 5 -0.84 1010 -1.6 29 4 6 9 0.6 54 6 22 -1.514 550 -0.574 319 0.19 036 3 0.6 4 0282 1.5586 33 1.50214 0 -2.29 0835 0.38189 9 1.4 6 3113 -1.7219 10 -1.2759 55 0.515302 1.259 382 -1.388105 -1.4 52704 0.589 26 8 -0.012202 0.9 54 6 9 4 -1.06 16 4 0 0.56 39 75 1.9 9 856 0 0.56 4 871 0.3814 88 1.885301 0.34 6 09 7 0.79 6 829 0.814 716 1.2086 09 1.131557 -0.4 5209 0 -1.84 6 9 11 -0.352031 1.200233 -1.6 4 8518 -1.4 0576 0 0.9 8754 8 2.4 9 04 88 1.9 16 9 9 7 0.074 310 1.7026 9 2 0.178536 1.137237 -1.2079 73 1.00184 9 0.29 0004 -0.27789 8 0.20174 9 -2.0514 4 7 1.521571 0.6 876 81 -0.8516 26 1.6 01820 2.06 09 51 -1.159 4 22 1.189 4 55 -0.9 79 36 0 -0.6 3054 8 0.159 9 11 1.719 89 1 -1.29 39 4 5 -0.14 16 50 0.371388 0.056 831 -0.10734 2 -2.5354 53 0.4 19 86 9 -0.0824 4 3 -0.6 0279 0 0.21214 3 -0.03309 2 -1.32036 8 0.14 9 6 9 1 1.2886 6 3 -1.836 070 -0.324 89 3 0.24 4 021 -0.4 2706 5 -0.353009 0.9 29 772 1.0029 88 -1.237208 -0.2519 89 -2.124 4 6 1 -0.0829 05 -1.239 350 -0.5529 77 0.531180 0.036 077 -0.4 56 500 -0.359 6 9 3 0.16 36 31 0.4 82810 1.39 3337 0.589 54 1 0.259 89 3 0.6 71205 1.36 114 7 -0.002257 -1.12779 4 0.19 5039 0.026 128 0.4 29 4 13 -0.234 4 18 0.86 3117 -1.86 9 257 0.06 84 04 1.258538 -1.1806 56 -0.04 6 030 0.883504 -1.104 6 86 -1.000083 0.6 6 74 71 -0.26 3218 -0.6 88553 -1.54 159 4 -0.233002 0.39 6 9 19 -1.537587 0.30039 2 -0.9 30127 -0.183512 1.19 0856 -1.5774 6 4 1.86 0126 0.311535 1.04 5119 -0.105110 0.238272 -0.16 1771 1.753770 0.78376 2 -1.4 6 3336 -0.84 16 6 5 0.4 5819 9 0.10234 2 0.1786 13 1.06 4 6 00 -0.8386 16 -1.4 9 5323 2.029 9 6 5 -1.6 13521 -0.4 04 9 6 0 -0.14 9 382 -1.33216 4 1.117307 -1.9 4 259 9 -2.24 29 05 -0.176 6 70 -1.014 9 51 -0.209 170 0.177370 0.4 7329 1 0.04 6 259 0.4 6 5775 -1.16 5133 0.7339 71 1.3379 4 9 -0.3819 81 -0.508501 0.087127 1.034 871 -0.381735 -0.189 506 -1.50119 8 -0.589 9 05 0.26 9 558 -1.229 027 0.339 201 -2.000252 -0.509 806 0.2539 6 3 -0.6 74 56 1 1.29 3238 0.76 59 9 7 0.4 08783 1.1524 09 -0.14 304 1 -3.14 7288 -1.26 5835 -0.76 374 1 -0.7324 71 0.59 0726 1.839 79 9 -0.8316 78 1.2016 52 -0.76 86 6 6 -0.56 06 59 2.4 04 9 59 0....
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This note was uploaded on 09/13/2013 for the course FINANCE 225 taught by Professor Aureliovasquez during the Winter '13 term at Instituto Tecnológico de Santo Domintgo.

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