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Unformatted text preview: 08 -4,806 -4,802 -4,781 -4,778 -4,776 -4,764 -4,743 -4,726 -4,714 -4,713 -4,677 -4,652 -4,601 -4,597 -4,591 -4,563 -4,510 -4,481 -4,469 -4,420 -4,371 -4,316 -4,309 -4,308 -4,305 -4,245 -4,216 -4,202 -4,179 -4,178 -4,171 -4,162 -4,143 -4,136 -4,106 -4,055 -4,045 -3,989 -3,976 -3,894 -3,889 -3,887 -3,882 -3,851 -3,841 -3,833 -3,823 -3,818 -3,812 -3,810 -3,801 -3,782 -3,781 -3,774 -3,734 -3,696 -3,690 -3,686 -3,668 -3,662 -3,659 -3,633 -3,631 -3,616 -3,607 -3,597 -3,554 -3,540 -3,502 -3,493 -3,467 -3,432 -3,391 -3,370 -3,357 -3,329 -3,308 -3,299 -3,294 -3,275 -3,272 -3,254 -3,226 -3,215 -3,206 -3,186 -3,173 -3,171 -3,170 -3,170 -3,152 -3,146 -3,143 -3,137 -3,134 -3,124 -3,056 -2,981 -2,960 -2,937 -2,934 -2,925 -2,920 -2,898 -2,897 -2,857 -2,844 -2,825 -2,790 -2,764 -2,763 -2,760 -2,756 -2,745 -2,733 -2,711 -2,702 -2,693 -2,688 -2,660 -2,657 -2,654 -2,611 -2,604 -2,600 -2,577 -2,561 -2,557 -2,500 -2,459 -2,451 -2,445 -2,421 -2,417 -2,417 -2,416 -2,344 -2,341 -2,318 -2,295 -2,294 -2,290 -2,278 -2,256 -2,246 -2,239 -2,229 -2,204 -2,197 -2,181 -2,166 -2,146 -2,141 -2,138 -2,133 -2,132 -2,125 -2,122 -2,115 -2,088 -2,070 -2,062 -2,040 -2,012 -2,011 -1,984 -1,959 -1,939 -1,939 -1,926 -1,912 -1,910 -1,902 -1,901 -1,894 -1,890 -1,888 -1,880 -1,860 -1,853 -1,844 -1,817 -1,813 -1,806 -1,772 -1,728 -1,711 -1,696 -1,691 -1,691 -1,681 -1,678 -1,615 -1,610 -1,590 -1,589 -1,569 -1,566 -1,543 -1,529 -1,522 -1,516 -1,482 -1,477 -1,474 -1,428 -1,402 -1,349 -1,342 -1,340 -1,327 -1,320 -1,284 -1,279 -1,273 -1,265 -1,249 -1,244 -1,238 -1,223 -1,217 -1,212 -1,173 -1,170 -1,168 -1,154 -1,146 -1,141 -1,137 -1,129 -1,105 -1,100 -1,088 -1,047 -1,039 -1,034 -1,027 -1,015 -974 -969 -959 -955 -954 -930 -916 -908 -890 -875 -856 -839 -838 -832 -831 -823 -818 -790 -787 -784 -766 -746 -739 -732 -730 -717 -699 -685 -681 -673 5% 1 day VaR Correlation -19,423 WFC WFC AAPL XOM 1 0.95 0.97 AAPL 1 0.98 XOM 1 The portfolio now looks like it does in the previous WFC + AAPL + XOM example Mean Std Dev 3 Std Dev 0.06% #NAME? #NAME? Percentage #NAME? Dollars Worst Loss Std Devs -92,631...
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This document was uploaded on 02/05/2014.

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