varhistoricalsimulexample (2)

1565
Day Date DJIA FTSE 100 CAC 40 Nikkei 225 0 8/7/2006 11219.38 5828.8 4956.34 15154.06 1 8/8/2006 11173.59 5818.1 4967.95 15464.66 2 8/9/2006 11076.18 5860.5 5025.15 15656.59 3 8/10/2006 11124.37 5823.4 4976.64 15630.91 4 8/11/2006 11088.02 5820.1 4985.52 15565.02 5 8/14/2006 11097.87 5870.9 5046.93 15857.11 6 8/15/2006 11230.26 5897.9 5115.02 15816.19 7 8/16/2006 11327.12 5896.6 5137.31 16071.36 8 8/17/2006 11334.96 5900.4 5144.84 16020.84 9 8/18/2006 11381.47 5903.4 5135.69 16105.98 10 8/21/2006 11345.04 5915.2 5104.65 15969.04 11 8/22/2006 11339.84 5902.6 5128.33 16181.17 12 8/23/2006 11297.9 5860 5082.73 16163.03 13 8/24/2006 11304.46 5869.1 5112.85 15960.62 14 8/25/2006 11284.05 5878.6 5111.13 15938.66 15 8/29/2006 11369.94 5888.3 5160.32 15890.56 16 8/30/2006 11382.91 5929.3 5182.79 15872.02 17 8/31/2006 11381.15 5906.1 5165.04 16140.76 18 9/1/2006 11464.15 5949.1 5183.45 16134.25 19 9/5/2006 11469.28 5981.7 5172.85 16385.96 20 9/6/2006 11406.2 5929.3 5115.52 16284.09 21 9/7/2006 11331.44 5858.1 5060.09 16012.41 22 9/8/2006 11392.11 5879.3 5073.57 16080.46 23 9/11/2006 11396.84 5850.8 5058.31 15794.38 24 9/12/2006 11498.09 5895.5 5125.97 15719.34 25 9/13/2006 11543.32 5892.2 5137.93 15750.05 26 9/14/2006 11527.39 5877.2 5123.85 15942.39 27 9/15/2006 11560.77 5877 5144.88 15866.93 28 9/19/2006 11540.91 5831.8 5115.99 15874.28 29 9/20/2006 11613.19 5866.2 5192.74 15718.67 30 9/21/2006 11533.23 5896.7 5208.32 15834.23 31 9/22/2006 11508.1 5822.3 5141.95 15634.67 32 9/25/2006 11575.81 5798.3 5146.49 15633.81 33 9/26/2006 11669.39 5873.6 5219.59 15557.45 34 9/27/2006 11689.24 5930.1 5243.1 15947.87 35 9/28/2006 11718.45 5971.3 5250.01 16024.85 36 9/29/2006 11679.07 5960.8 5250.01 16127.58 37 10/2/2006 11670.35 5957.8 5243.13 16254.29 38 10/3/2006 11727.34 5937.1 5219.79 16242.09 39 10/4/2006 11850.61 5966.5 5256.55 16082.55 40 10/5/2006 11866.69 6004.5 5288.53 16449.33 41 10/6/2006 11850.21 6001.2 5282.06 16436.06 42 10/10/2006 11867.17 6072.7 5309.79 16477.25 43 10/11/2006 11852.13 6073.5 5313.19 16400.57 44 10/12/2006 11947.7 6121.3 5361.51 16368.81 45 10/13/2006 11960.51 6157.3 5353.23 16536.54 8/7 /200 0 2000 4000 6000 8000 10000 12000 14000 16000 18000 20000

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Demonstration of Historical Simulation to calculate Value-at-Risk (VaR)

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DataDayDateDJIAFTSE 100CAC 40Nikkei 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This worksheet contains data for the VaR historical simulation example

Data

DJIAFTSE 100CAC 40Nikkei 225

ScenariosScenarioDJIAFTSE 100CAC 40Nikkei 225Portfolio Value ('000s)Loss ('000s)PortfolioDJIAFTSE 100CAC40Nikkei 225110977.085187.464236.7112252.6210021.502-21.502Investments4000300010002000210925.975234.874275.4812155.5410023.327-23.327311070.015164.104186.0111986.849985.47814.522410986.045194.054234.3511955.929978.58321.417511031.855242.364278.8712231.8410079.588-79.588611153.555220.904283.8411975.5510069.844-69.844711117.125195.854245.2312200.2410070.463-70.463500frequ811029.695200.354233.0111968.799999.8810.119499-6001911067.295199.644219.2912070.3410026.788-26.788499-50001010986.785207.394201.2611904.459970.14429.856499-40001111017.015185.934246.4212166.0210022.983-22.983494-30051210981.305159.494189.2311993.079952.42147.579478-200161311028.465205.074251.8611856.179987.86112.139366-1001121411002.165205.414225.3911990.019994.5465.45412902371511105.965205.584267.4911970.3010038.985-38.98535100941611034.635233.194245.2211992.5210027.473-27.4734200311711020.365176.674212.3312209.8210018.082-18.082230021811102.445234.844241.8812001.6910053.771-53.771140011911026.995225.484218.1712193.8410047.386-47.386050012010961.445151.474179.9611931.899928.20471.7962110949.825134.594181.0111806.229893.555106.445Mean1.28010985592211081.075215.814238.0712057.5610043.437-43.437Std97.55536073472311026.645171.814214.1011792.939948.52951.471Skewness0.01286323712411119.985236.704283.3511949.4910062.330-62.330Kurtosis4.16478695052511065.425194.094236.6712029.9910020.296-20.2962611006.855183.774215.2312153.1510008.526-8.526VAR_Normal228.22781590242711053.985196.824244.1611949.7010006.119-6.119f(VAR_NORMAL)0.00027320022811003.135157.034203.0812012.099965.36734.6331/f * sqrt(q(q-q)/N)16.28739438282911091.095227.664290.2211888.8310038.145-38.1453010946.175224.024239.4912094.8010005.761-5.7613110998.045131.434172.9511855.219915.48384.5173211086.915175.584230.5412005.8710011.941-11.9413311111.165264.494286.8511947.8910075.731-75.7313411040.815246.994245.8512307.8410090.357-90.3573511049.605233.114232.3812064.4910041.810-41.8103610985.025187.864226.8112083.509994.1045.8963711013.835194.384221.2712100.8610009.907-9.9073811075.885178.944207.9911997.5210003.157-3.1573911137.925222.744256.5811888.5910044.298-44.2984011037.025230.104252.5312280.3510076.230-76.2304111006.755194.144221.6411996.849989.95910.0414211037.835258.924249.0012036.6210051.730-51.7304311008.095197.684229.5211950.669986.65913.3414411110.945237.904265.2511983.2810061.086-61.0864511033.885227.564220.2812129.5610040.882-40.8824611040.565209.744233.7112119.9610034.599-34.5994710993.945143.284180.3211948.159938.06061.9404811061.415232.564273.2812036.4610050.787-50.7874911039.575201.734225.5911933.259996.5893.4115011013.475196.324239.1212079.2710011.522-11.5225111127.245206.204255.4812105.4510066.746-66.7465211032.045210.824221.1312000.5610009.262-9.2625311028.245223.984240.6811948.4510011.427-11.4275411048.385172.084235.7812087.2710010.740-10.7405510955.555176.924197.4411904.749940.36459.6365611018.625168.244200.3311778.049937.82362.1775711016.815199.044216.1712041.4410002.566-2.5665810976.715214.304244.3011988.869994.7205.2805911010.635196.754178.9711988.029981.30318.6976011101.865260.554300.2712017.3510084.829-84.8296111068.705213.284254.5212027.5510036.381-36.3816211039.985192.844226.3311876.409982.31317.6876310955.765190.754235.7011993.829972.32127.6796411026.735177.734225.9611942.689979.73720.2636511043.415185.114260.2211939.519997.6252.3756611100.315190.624215.8212206.6510055.452-55.4526711052.465233.294254.0211972.5710032.761-32.7616811070.745217.944222.3511947.6910018.898-18.8986911054.965144.744176.1311952.949960.85539.1457010998.835207.494238.4911733.609954.92745.0737111026.585195.414230.3812012.7910002.609-2.6097211026.855161.564221.5012143.9510002.916-2.9167310980.235164.774177.9511871.019932.08367.9177410879.835135.884163.4312121.599917.27482.7267511035.455176.214224.8911983.769988.61511.3857611104.065247.454286.5612173.8410100.888-100.8887711017.735166.594184.7012154.509995.5634.4377810996.995173.544168.4312041.549969.38030.6207911103.165221.944260.6211993.1510049.600-49.6008011064.915227.924277.5811978.6710040.769-40.7698111002.085200.334219.6612084.4210005.955-5.9558210994.445232.164249.4012081.3910028.087-28.0878311048.165214.714230.7011966.0510013.873-13.8738411040.875203.254260.8812087.1010031.915-31.9158511010.535194.134226.2312086.2910007.308-7.3088611023.785227.474265.0012046.3310033.879-33.8798711110.885226.794252.8512104.5410071.918-71.9188811047.595223.704251.3912067.2510040.609-40.6098911018.305186.544218.1912040.469996.2093.7919011048.685160.814191.9911875.429958.69441.3069111015.485192.564249.6712174.1110028.370-28.3709210984.375184.514223.7212032.509982.70517.2959310952.815202.294183.5112046.779974.38325.6179411171.515243.344293.5112107.3810113.568-113.5689511014.095193.424221.7411989.959991.0798.9219610988.235180.264233.2312007.249979.69820.3029711037.575252.314251.8312095.6410058.316-58.3169810949.045141.704183.4311825.209901.11198.8899911038.595176.954238.8212109.2210014.370-14.37010011044.755167.314203.0711800.809951.20748.79310111086.575255.544309.6611932.6710064.504-64.50410211058.265204.424232.7012162.5710044.809-44.80910311045.335177.594207.1912108.9110009.654-9.65410411017.295187.644204.3112047.639994.3895.61110511013.985201.864221.6912082.7510011.357-11.35710611019.965219.514272.2111964.7210016.006-16.00610710944.545181.344200.5212085.429969.74830.25210811072.095204.694223.2411995.7710019.961-19.96110911099.425269.774274.5812074.6910092.737-92.73711010917.965159.554205.1611972.869929.87470.12611111008.365162.764206.5411981.529966.30333.69711211025.385206.934255.1312039.9810019.208-19.20811311050.765198.754246.2812020.0910018.293-18.29311411108.655164.614198.9011933.249993.9156.08511511067.465263.274267.4612100.5210080.006-80.00611611004.505220.744238.0412025.4510013.143-13.14311711029.255202.764229.6511868.109983.54816.45211811026.045220.364223.5912049.4910021.323-21.32311911022.555216.004246.3311927.5310002.602-2.60212010996.625178.154198.7212006.649973.25926.74112110972.525226.814247.2212153.6210028.558-28.55812211086.915196.194219.5612086.8610034.731-34.73112311097.845229.094258.9112095.9210068.507-68.50712411042.095206.794223.1512104.3210028.344-28.34412511024.275185.854221.4211992.059990.6819.31912611038.525191.174226.7112049.1610009.687-9.68712710980.495152.264212.8411989.199952.89247.10812810976.735216.464236.6812137.6210018.952-18.95212910988.585213.784233.1212059.3310007.820-7.82013011008.805223.954260.9412024.3110021.782-21.78213110659.075076.984099.0711943.639758.288241.71213211069.335102.264172.3011664.759892.634107.36613310991.255150.264182.4311903.819934.23165.769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Error16.287

Scenarios

frequLoss Distribution for the 500 scenarios

Ranked LossesScenarioLoss ('000s)Rank494499.3951339359.44021-day 99% VaRSDConfidence LowConfidence Up329341.3663247.57116.2873943828215.648279.494349251.943410-day 99% VaR487247.5715782.8885769071131241.7126227230.2657495227.3328441225.0519376217.94510306211.79711365202.97012242200.11613238199.46714477188.75815283181.41816415180.54917304178.81318237176.02419256175.70520427171.61021499171.55022296170.70023249169.98024292168.61225498168.24526453165.19027437163.62828451161.48329370161.43630335160.73731490160.46332322157.93833320152.58934473151.92735298146.53936254145.83737142142.72738371139.37339141138.11540488136.17641366135.76742375135.16943233135.11544225134.54245228131.79346334130.70547408129.30248364125.95349445124.51650336124.20651135123.41652241118.48253430118.47354461115.90355459115.72656374112.65457240110.12658465109.84159393107.62760132107.3666121106.44562416106.21063418106.07564193105.97365350103.1736646999.347679898.8896843596.7686922195.7857021695.0227136993.6417230293.0557333790.6957444490.3007531888.2057635887.6657731386.968783184.5177929483.3558037883.074817482.7268248182.5008322380.8098419480.4278544277.7188628476.7408746476.4028848575.9888925775.6079019775.5439147274.8069220574.5599335674.5389413472.3839527972.288962071.7969739971.1509839270.7569911070.12610034570.02110134368.5751027367.91710342366.91310423166.76810546666.68810648666.58710713365.76910828065.26010935164.63411043664.53011117563.58511215162.2421135662.1771144761.94011529761.12011629360.92411718560.78711845059.94911938959.8471205559.63612138059.48012236755.01812329054.62512442953.17412533152.76312631252.3471272351.47112830350.04212944849.43813010048.79313129948.7461321247.57913339047.38613412747.1081357045.07313640644.05413747643.0941389041.30613932840.82814026639.2421416939.14514215038.67314343938.48114432137.49114516537.21714619236.5111472834.63314820334.38214911133.69715042833.40615114432.69515215932.36915314931.94715426431.94515528631.55715646030.65115732430.6261587830.62015910730.2521601029.85616142429.44516242529.27816322628.28716420728.1691656327.67916640427.19016712026.74116847925.9291699325.61717036025.10817149124.73117217124.39817338323.56517428222.79017526922.65417633022.38817733322.27017835221.548179421.41718033821.31318139120.5531829620.3021836420.26318416719.7421855918.69718620218.25018716818.24818827618.1611896217.6871909217.29519111716.45219244916.16019349215.85019438115.40419515415.35219641914.65219720414.596198314.52219920813.4542004313.34120122012.6752021312.13920338211.6362047511.3852054110.0412062179.8552071259.319208958.9212091918.5042102067.3742111146.085212365.8962131045.611214145.4542154075.406216585.2802172735.174218774.4372191634.0322202013.807221893.791222493.4112231532.657224652.3752251372.3492261860.8502271640.5272281830.51622980.119230213-0.734231401-1.951232178-2.312233259-2.36923457-2.566235119-2.60223671-2.60923772-2.91623838-3.157239180-3.892240261-3.940241403-4.664242434-4.680243332-5.65624430-5.76124581-5.95524627-6.119247420-6.745248278-7.15524985-7.308250417-7.496251396-7.552252129-7.820253184-8.067254160-8.15325526-8.526256475-8.95725752-9.262258281-9.276259103-9.654260126-9.68726137-9.907262182-10.35926354-10.740264105-11.357265387-11.37426653-11.427267452-11.46726850-11.522269177-11.66327032-11.941271319-11.981272272-12.646273484-12.806274438-12.982275398-13.006276116-13.143277447-13.67627883-13.873279323-14.047280271-14.24728199-14.370282431-15.224283140-15.479284342-15.502285195-15.927286106-16.006287410-17.303288348-17.43028917-18.082290265-18.229291113-18.293292386-18.45629368-18.898294128-18.952295188-19.166296112-19.208297245-19.417298157-19.601299108-19.96130025-20.296301118-21.3233021-21.502303130-21.782304413-22.92130511-22.9833062-23.327307179-23.398308139-24.613309229-24.663310211-26.230311363-26.6113129-26.788313161-27.26831416-27.47331582-28.087316422-28.308317124-28.34431891-28.370319121-28.558320174-29.023321440-29.349322340-29.768323355-29.832324148-30.089325170-30.162326224-31.85432784-31.915328433-32.55732967-32.76133086-33.87933146-34.599332122-34.731333215-35.054334317-36.20533561-36.381336214-36.621337158-37.90733829-38.145339176-38.391340209-38.63934115-38.985342359-39.98434388-40.60934480-40.76934545-40.88234635-41.810347212-42.282348187-42.311349169-42.803350295-42.97435122-43.437352325-43.485353210-43.71835439-44.298355230-44.501356102-44.809357196-44.833358156-44.997359253-46.098360262-46.978361327-47.37236219-47.386363287-48.686364474-49.54636579-49.600366189-50.101367234-50.78736848-50.787369275-51.247370274-51.67537142-51.730372316-52.024373219-52.426374443-52.549375181-52.760376354-52.785377247-53.58037818-53.771379255-54.495380248-54.526381251-54.567382308-55.31138366-55.452384190-56.744385400-57.233386411-57.556387152-58.28738897-58.316389267-58.680390478-58.819391482-59.901392277-60.21839344-61.086394146-61.424395446-61.75339624-62.330397101-64.504398409-64.585399250-65.289400412-65.83240151-66.746402414-66.763403285-66.825404426-67.023405388-67.649406172-67.855407123-68.507408289-68.995409462-69.4674106-69.8444117-70.46341287-71.918413368-72.223414232-72.398415394-72.670416301-72.788417456-72.860418432-75.38441933-75.73142040-76.230421373-77.065422421-77.345423198-77.353424362-78.4774255-79.588426222-79.822427496-79.899428115-80.006429260-81.053430310-81.25743160-84.829432315-84.832433235-85.233434291-86.080435200-86.607436244-86.843437243-88.065438493-89.57343934-90.357440268-90.662441270-90.778442402-91.057443307-91.217444311-91.897445109-92.737446199-93.863447471-95.371448457-96.037449458-96.528450173-97.393451166-97.541452468-98.07745376-100.888454300-101.344455454-102.232456162-102.326457155-102.669458305-103.872459138-108.624460288-111.409461385-111.747462145-112.97746394-113.568464347-113.789465143-114.591466239-115.301467246-116.815468236-121.591469346-124.865470136-125.668471470-126.731472218-130.831473357-133.150474483-136.241475500-141.826476397-142.854477252-144.012478326-150.309479147-150.559480480-153.627481353-156.713482258-158.179483344-160.001484463-172.762485314-180.879486405-180.880487395-193.353488309-197.333489361-198.655490455-200.382491372-208.054492263-212.620493467-215.116494384-261.536495341-279.065496377-310.686497489-322.703498379-329.696499497-566.848500

This worksheet calculates the value of the portfolio in L2:O2 on Sept 26, 2008 for the 500 scenarios. The I column shows the loss between Sept 25, 2008 and Sept 26, 2008.In this worksheet the losses have been ranked from the worst to the best. The one day 99% VaR is in cell B6

Scenarios with WeightsScenarioLoss ('000s)Weightlambda1-21.50230947710.00044631560.9952-23.32685182780.0004485584314.5222927020.0004508125421.41683560710.00045307795-79.5877669940.00045535476-69.84440538150.00045764297-70.46308500360.000459942680.11931835940.00046225399-26.78843390740.00046457671029.85556524360.000466911311-22.98284928590.00046925761247.57923091370.00047161571312.13883860590.0004739856145.45416799080.000476367415-38.98512915080.000478761216-27.47271045540.000481167117-18.08178077080.00048358518-53.770560680.000486015119-47.38636528390.00048845742071.79647239880.000490911921106.44500053220.000493378822-43.43692311710.00049585812351.47056475170.000498349924-62.33000367750.000500854125-20.29604603380.00050337126-8.52635522940.000505900527-6.11850801340.00050844272834.63334714690.000510997729-38.14451613940.000513565530-5.76061084390.00051614623184.51658888350.000518739932-11.94140229940.000521346733-75.73137649560.000523966534-90.35699644570.000526599535-41.81021247560.0005292457365.89594712080.000531905337-9.90657752950.000534578238-3.15726942060.000537264539-44.29825175130.000539964340-76.23025563580.00054267774110.04065060340.000545404742-51.72964031040.00054814544313.34128825440.000550899944-61.08619822340.000553668345-40.88151541540.000556450546-34.59912881960.00055924684761.94037968420.000562057148-50.78738283230.0005648815493.4105135870.000567720150-11.52186287290.000570572951-66.74552246380.000573440152-9.26242901770.000576321753-11.4270733210.000579217854-10.73969538180.00058212855559.63566781570.00058505375662.1767778240.000587993757-2.56592753980.0005909484585.27964200460.0005939185918.69680956120.000596902560-84.8289359990.000599902161-36.38063388520.00060291666217.68708909710.00060594646327.67938284320.00060899136420.26290596940.0006120516652.37451046420.000615127266-55.45185924460.000618218367-32.76063128750.000621324968-18.89815551760.00062444726939.14471124560.00062758517045.07326427490.000630738871-2.6093824070.000633908372-2.91593596990.00063709387367.91735953940.00064029537482.72560657970.00064351287511.38524349750.000646746676-100.88839715820.0006499966774.43692603960.00065326297830.61987602520.000656545679-49.59957924260.000659844880-40.76900510940.000663160681-5.9548826990.000666493182-28.08676043450.000669842383-13.87336568020.000673208484-31.91493042560.000676591385-7.30767209870.000679991386-33.87929713420.000683408387-71.91848404860.000686842588-40.60904307940.000690294893.79138803340.00069376289041.30596110160.00069724991-28.36993143310.00070075289217.29462538840.00070427429325.6166682460.000707813294-113.56820159950.0007113701958.92145691180.00071494489620.30247630860.000718537597-58.31607323910.00072214839898.88880597890.000725777199-14.36979290390.000729424310048.79294508480.0007330897101-64.50368621420.0007367736102-44.80921559730.000740476103-9.65362865940.00074419691045.61067102540.0007479366105-11.35684562340.0007516951106-16.00597994380.000755472510730.25163125160.0007592688108-19.96053677120.0007630842109-92.73731616750.000766918811070.12642480530.000770772711133.69694611410.0007746459112-19.20751474440.0007785386113-18.29259262210.00078245091146.08544244430.0007863828115-80.00563338290.0007903344116-13.14299900790.00079430611716.45242195490.0007982975118-21.32307326390.000802309119-2.60235409060.000806340712026.74063065290.0008103927121-28.55833627590.000814465122-34.7314852490.0008185578123-68.50696181730.0008226711124-28.34369354620.00082680521259.31889948380.00083096126-9.68654120280.000835135612747.10788209140.0008393323128-18.9524649590.0008435501129-7.82049729510.000847789130-21.78151153310.0008520493131241.71220757890.0008563309132107.36608254890.000860634113365.76910749680.000864958913472.38330652840.0008693054135123.41649981080.0008736738136-125.66816239080.00087806411372.34877733730.0008824765138-108.62400186280.000886911139-24.61256449470.0008913679140-15.47927615590.0008958471141138.11459459520.0009003488142142.72731324940.0009048732143-114.5911078880.000909420314432.69471637950.0009139903145-112.97669637040.0009185832146-61.42377365340.0009231992147-150.55948229940.0009278384148-30.08883263060.000932500914931.94725621710.000937186815038.67331642850.000941896315162.24173497380.0009466294152-58.28709368340.00095138641532.65703846550.000956167215415.35163719130.0009609721155-102.6686476380.0009658011156-44.9970322710.0009706543157-19.60064350690.000975532158-37.90684741630.000980434215932.36890642940.000985361160-8.15323256630.0009903125161-27.26776191460.000995289162-102.32625439650.00100029041634.03239490340.0010053171640.52735172810.001010368916537.21674398250.0010154461166-97.54140783560.001020548816719.7420897110.001025677216818.24816899280.0010308314169-42.80257054020.0010360114170-30.16204895070.001041217517124.39799818970.0010464498172-67.85531323730.0010517083173-97.39310828390.0010569933174-29.02259576860.001062304817563.58479617830.001067643176-38.39050267410.0010730081177-11.66259697390.0010784001178-2.31190298280.0010838192179-23.39830310030.0010892655180-3.89159730490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In this worsheet weights are assigned to the scenarios according to the age of the data generating the scenario.

Scenarios with Weights

Weight

Ranked Losses with WeightsScenarioLoss ('000s)WeightCum Weight494499.39488663930.005280.00528339359.43987727390.002430.00771329341.36601922930.002310.01002349251.94307267510.002550.01258487247.57110571540.005100.01768131241.71220757890.000860.01853227230.2654626430.001390.01992495227.33169481050.005310.02523441225.05106565920.004050.02928376217.94505544960.002920.03220306211.79666947860.002060.03426365202.97034770740.002770.03703242200.11581278520.001490.03852238199.46650845630.001460.03999477188.75824018920.004850.04484283181.41809922630.001830.04667415180.5491356840.003560.05023304178.81268800880.002040.05227237176.02383371610.001460.05372256175.70545146850.001600.05532427171.60969384090.003780.05910499171.54967841860.005420.06452296170.70017585280.001960.06648249169.97994712590.001550.06802292168.61240193650.001920.06994498168.24515271060.005390.07533453165.19044443190.004300.07963437163.62797358290.003970.08360451161.48335681770.004260.08786370161.43627153170.002840.09070335160.73679755420.002380.09308490160.46321754250.005180.09826322157.93806770890.002230.10049320152.5885831680.002210.10270473151.92725048020.004750.10745298146.53916199260.001980.10943254145.83674710290.001590.11102142142.72731324940.000900.11192371139.37261632280.002850.11477141138.11459459520.000900.11567488136.17645070410.005130.12080366135.76732429450.002780.12358375135.16916462610.002910.12649233135.11505955690.001430.12792225134.54249811660.001370.12929228131.79295658010.001390.13068334130.70505419580.002370.13305408129.30180131670.003430.13648364125.95269111420.002750.13924445124.51578522460.004130.14337336124.20566396170.002390.14576135123.41649981080.000870.14664241118.48152270430.001490.14812430118.47273530190.003830.15195461115.90328461870.004480.15643459115.72571201920.004430.16087374112.65406371520.002890.16376240110.12580058920.001480.16524465109.84136919990.004570.16981393107.62715094450.003180.17299132107.36608254890.000860.1738521106.44500053220.000490.17435416106.20989851570.003570.17792418106.07485567720.003610.18153193105.97263897020.001170.18270350103.17340494150.002570.1852646999.34684415830.004660.189929898.88880597890.000730.1906543596.76835160480.003930.1945822195.78471968140.001340.1959221695.02221983970.001310.1972436993.64093311850.002820.2000630293.05460198430.002020.2020833790.6953490320.002400.2044844490.30021561130.004110.2085931888.20513912660.002190.2107835887.66490547850.002670.2134531386.96844757640.002130.215583184.51658888350.000520.2161029483.35505494820.001940.2180437883.0741254440.002950.220997482.72560657970.000640.2216448182.49976512910.004950.2265922380.80880493490.001360.2279519480.42732181110.001170.2291244277.71809731540.004070.2331928476.73964148820.001840.2350346476.40238517930.004550.2395848575.98752710060.005050.2446325775.60713990080.001610.2462419775.54308596160.001190.2474347274.8064822780.004730.2521620574.5585636710.001240.2534035674.53753329030.002650.2560513472.38330652840.000870.2569227972.28780137620.001800.258722071.79647239880.000490.2592139971.15044749720.003280.2624939270.7556397250.003170.2656611070.12642480530.000770.2664334570.02112984880.002500.2689334368.57529316080.002480.271417367.91735953940.000640.2720542366.91348766360.003700.2757523166.7684046090.001410.2771646666.68796636260.004590.2817548666.58689584360.005080.2868313365.76910749680.000860.2876928065.26004699340.001810.2895035164.63371328980.002580.2920843664.53049572230.003950.2960317563.58479617830.001070.2971015162.24173497380.000950.298055662.1767778240.000590.298634761.94037968420.000560.2992029761.12011159410.001970.3011629360.92385295210.001930.3030918560.78681502830.001120.3042245059.94922678210.004240.3084538959.84690530780.003120.311575559.63566781570.000590.3121638059.48039335190.002980.3151436755.01825168310.002800.3179429054.6249093690.001900.3198442953.17351944520.003810.3236533152.76268348810.002330.3259831252.34651734210.002120.328112351.47056475170.000500.3286030350.04226499530.002030.3306344849.43775524730.004190.3348310048.79294508480.000730.3355629948.74596824040.001990.337551247.57923091370.000470.3380239047.38619381580.003140.3411612747.10788209140.000840.342007045.07326427490.000630.3426340644.05433399410.003400.3460347643.09402920830.004830.350859041.30596110160.000700.3515532840.82788511660.002300.3538526639.24178673140.001680.355536939.14471124560.000630.3561615038.67331642850.000940.3571043938.48092332490.004010.3611132137.49050273320.002220.3633316537.21674398250.001020.3643519236.51116046360.001160.365512834.63334714690.000510.3660220334.38183304620.001230.3672511133.69694611410.000770.3680242833.40624985780.003790.3718214432.69471637950.000910.3727315932.36890642940.000990.3737214931.94725621710.000940.3746626431.94455820890.001670.3763228631.55733934670.001860.3781946030.6505133760.004460.3826432430.62576974030.002250.384897830.61987602520.000660.3855510730.25163125160.000760.386311029.85556524360.000470.3867842429.44487066790.003720.3905042529.27833452390.003740.3942322628.28718485150.001380.3956120728.16888779090.001250.396876327.67938284320.000610.3974740427.1902770110.003360.4008412026.74063065290.000810.4016547925.92899038250.004900.406559325.6166682460.000710.4072636025.10760689640.002700.4099649124.73052496370.005200.4151617124.39799818970.001050.4162138323.56452750850.003030.4192428222.79034150.001830.4210626922.65416658220.001710.4227733022.38803783660.002320.4250933322.26996462330.002360.4274535221.54778256490.002590.43004421.41683560710.000450.4305033821.31349572140.002420.4329139120.5532823420.003150.436079620.30247630860.000720.436786420.26290596940.000610.4374016719.7420897110.001030.438425918.69680956120.000600.4390220218.24990800280.001220.4402416818.24816899280.001030.4412727618.16138998310.001770.443046217.68708909710.000610.443659217.29462538840.000700.4443511716.45242195490.000800.4451544916.16033265440.004220.4493749215.85007822470.005230.4546038115.40435942640.003000.4576015415.35163719130.000960.4585641914.65174114020.003630.4621820414.59575721690.001230.46342314.5222927020.000450.4638720813.45392145480.001260.465134313.34128825440.000550.4656822012.67504538050.001340.467021312.13883860590.000470.4674938211.63594951740.003010.470517511.38524349750.000650.471154110.04065060340.000550.471702179.85517462830.001320.473021259.31889948380.000830.47385958.92145691180.000710.474561918.50384654180.001160.475722067.37440752220.001250.476971146.08544244430.000790.47775365.89594712080.000530.478281045.61067102540.000750.47903145.45416799080.000480.479514075.4061101850.003420.48292585.27964200460.000590.483522735.17411467120.001740.48526774.43692603960.000650.485921634.03239490340.001010.486922013.80664884640.001220.48814893.79138803340.000690.48883493.4105135870.000570.489401532.65703846550.000960.49035652.37451046420.000620.490971372.34877733730.000880.491851860.84981222940.001130.492981640.52735172810.001010.493991830.51564179030.001110.4951080.11931835940.000460.49556213-0.73448528880.001290.49686401-1.95055195450.003310.50017178-2.31190298280.001080.50125259-2.36866658520.001630.5028857-2.56592753980.000590.50347119-2.60235409060.000810.5042871-2.6093824070.000630.5049172-2.91593596990.000640.5055538-3.15726942060.000540.50609180-3.89159730490.001090.50718261-3.94028254270.001640.50882403-4.66390147940.003350.51217434-4.68021049890.003910.51608332-5.65603297060.002350.5184330-5.76061084390.000520.5189481-5.9548826990.000670.5196127-6.11850801340.000510.52012420-6.74468919790.003650.52376278-7.15479647310.001790.5255585-7.30767209870.000680.52623417-7.49606318630.003590.52983396-7.5522682040.003230.53306129-7.82049729510.000850.53391184-8.0666808790.001120.53502160-8.15323256630.000990.5360126-8.52635522940.000510.53652475-8.95727501680.004800.5413252-9.26242901770.000580.54190281-9.27628732760.001820.54371103-9.65362865940.000740.54446126-9.68654120280.000840.5452937-9.90657752950.000530.54583182-10.35936921240.001110.5469354-10.73969538180.000580.54752105-11.35684562340.000750.54827387-11.37359207140.003090.5513653-11.4270733210.000580.55194452-11.46723070740.004280.5562250-11.52186287290.000570.55679177-11.66259697390.001080.5578732-11.94140229940.000520.55839319-11.98096727940.002200.56058272-12.64614354250.001740.56232484-12.80616489250.005020.56734438-12.9820472950.003990.57133398-13.00640211420.003260.57460116-13.14299900790.000790.57539447-13.67633212950.004170.5795783-13.87336568020.000670.58024323-14.04666197970.002240.58248271-14.24710809520.001730.5842199-14.36979290390.000730.58494431-15.22380554140.003850.58879140-15.47927615590.000900.58969342-15.50246076340.002470.59215195-15.92658863050.001180.59333106-16.00597994380.000760.59409410-17.30339178190.003470.59756348-17.43042290980.002540.6001017-18.08178077080.000480.60058265-18.22908455740.001680.60226113-18.29259262210.000780.60304386-18.45602603890.003070.6061168-18.89815551760.000620.60674128-18.9524649590.000840.60758188-19.16641371450.001140.60872112-19.20751474440.000780.60950245-19.41674499690.001520.61102157-19.60064350690.000980.61199108-19.96053677120.000760.6127625-20.29604603380.000500.61326118-21.32307326390.000800.614061-21.50230947710.000450.61451130-21.78151153310.000850.61536413-22.92079225750.003520.6188811-22.98284928590.000470.619352-23.32685182780.000450.61980179-23.39830310030.001090.62089139-24.61256449470.000890.62178229-24.66253767180.001400.62318211-26.22962601030.001280.62446363-26.61077801320.002740.627209-26.78843390740.000460.62766161-27.26776191460.001000.6286616-27.47271045540.000480.6291482-28.08676043450.000670.62981422-28.30826610990.003680.63349124-28.34369354620.000830.6343291-28.36993143310.000700.63502121-28.55833627590.000810.63583174-29.02259576860.001060.63689440-29.34929068760.004030.64092340-29.76804747650.002440.64336355-29.83185385090.002630.64600148-30.08883263060.000930.64693170-30.16204895070.001040.64797224-31.85371544350.001360.6493484-31.91493042560.000680.65001433-32.55665539550.003890.6539067-32.76063128750.000620.6545286-33.87929713420.000680.6552146-34.59912881960.000560.65577122-34.7314852490.000820.65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3730.003040.98112341-279.0648005720.002450.98358377-310.68632169490.002940.98652489-322.70337671260.005150.99167379-329.69620200920.002970.99464497-566.84797298370.005361.00000

In this spreadsheet, losses with their weights are ranked from the worst loss to the best. The new VaR estimate is the loss for which the cumulative weight is just greater that 0.01

Data with Vol EstslambdaDayDateDJIADJIA ReturnDJIA VarianceDJIA VolFTSE 100FTSE ReturnFTSE VarianceFTSE VolCAC 40CAC 40 ReturnCAC VarianceCAC VolNikkei 225Nikkei 225 ReturnNikkei VarianceNikkei Vol0.9408/7/0611219.385828.84956.3415154.06EWMA18/8/0611173.59-0.00408133070.00012295241.11%5818.1-0.00183571230.00016520631.29%4967.950.00234245430.00017988791.34%15464.660.02049615750.0002160261.47%28/9/0611076.18-0.00871787850.00011657471.08%5860.50.00728760250.00015549611.25%5025.150.01151380350.00016942391.30%15656.590.01241087740.00022826991.51%38/10/0611124.370.0043507780.00011414031.07%5823.4-0.00633051790.00014935291.22%4976.64-0.00965344320.00016721251.29%15630.91-0.00164020390.00022381551.50%48/11/0611088.02-0.00326760080.00010842771.04%5820.1-0.00056667930.00014279631.19%4985.520.00178433640.00016277111.28%15565.02-0.00421536560.0002105481.45%58/14/0611097.870.00088834620.00010256261.01%5870.90.00872837240.00013424781.16%5046.930.0123176720.00015319591.24%15857.110.01876579660.00019898131.41%68/15/0611230.260.01192931620.00009645620.98%5897.90.00459895420.0001307641.14%5115.020.013491370.00015310761.24%15816.19-0.00258054590.00020817171.44%78/16/0611327.120.00862491160.00009920741.00%5896.6-0.00022041740.00012418721.11%5137.310.00435775420.00015484221.24%16071.360.01613346830.0001960811.40%88/17/0611334.960.00069214420.00009771830.99%5900.40.00064443920.00011673881.08%5144.840.00146574760.00014669111.21%16020.84-0.00314348010.00019993351.41%98/18/0611381.470.00410323460.00009188390.96%5903.40.00050844010.00010975941.05%5135.69-0.0017784810.00013801851.17%16105.980.00531432810.00018853031.37%108/21/0611345.04-0.00320081680.00008738110.93%5915.20.00199884810.00010318941.02%5104.65-0.00604397850.00012992721.14%15969.04-0.0085024320.0001789131.34%118/22/0611339.84-0.00045835010.00008275290.91%5902.6-0.00213010550.00009723770.99%5128.330.00463890770.00012432331.12%16181.170.01328382920.00017251571.31%128/23/0611297.9-0.00369846490.00007780040.88%5860-0.00721715850.00009167570.96%5082.73-0.00889178350.00011815511.09%16163.03-0.00112105610.00017275241.31%138/24/0611304.460.00058063890.00007395310.86%5869.10.0015529010.00008930040.94%5112.850.00592594920.00011580961.08%15960.62-0.01252302320.00016246271.27%148/25/0611284.05-0.00180548210.00006953610.83%5878.60.00161864680.00008408710.92%5111.13-0.00033640730.0001109681.05%15938.66-0.00137588640.00016212451.27%158/29/0611369.940.00761162880.00006555950.81%5888.30.00165005270.00007919910.89%5160.320.00962409490.00010431681.02%15890.56-0.00301781960.00015251061.23%168/30/0611382.910.00114072720.00006510220.81%5929.30.00696296040.00007461050.86%5182.790.00435438110.00010361511.02%15872.02-0.00116673040.00014390641.20%178/31/0611381.15-0.00015461780.00006127410.78%5906.1-0.00391277220.00007304280.85%5165.04-0.00342479630.00009853590.99%16140.760.01693168230.00013535371.16%189/1/0611464.150.00729276040.00005759910.76%5949.10.00728060820.00006957880.83%5183.450.0035643480.00009332750.97%16134.25-0.00040332670.00014443341.20%199/5/0611469.280.00044748190.00005733420.76%5981.70.00547982050.00006858450.83%5172.85-0.002044970.00008849010.94%16385.960.01560097310.00013577711.17%209/6/0611406.2-0.00549990930.00005390620.73%5929.3-0.00876005150.00006627120.81%5115.52-0.01108286530.00008343160.91%16284.09-0.00621690760.00014223391.19%219/7/0611331.44-0.00655433010.00005248670.72%5858.1-0.01200816290.00006689920.82%5060.09-0.01083565310.00008579550.93%16012.41-0.01668376920.00013601891.17%229/8/0611392.110.00535412970.00005191510.72%5879.30.00361892080.0000715370.85%5073.570.00266398420.00008769250.94%16080.460.00424982870.00014455861.20%239/11/0611396.840.00041519960.00005052020.71%5850.8-0.00484751590.00006803060.82%5058.31-0.00300774410.00008285670.91%15794.38-0.01779053580.00013696881.17%249/12/0611498.090.00888404150.00004749930.69%5895.50.00763998090.00006535870.81%5125.970.0133760090.00007842810.89%15719.34-0.0047510570.00014774081.22%259/13/0611543.320.00393369680.00004938490.70%5892.2-0.0005597490.00006493930.81%5137.930.00233321690.00008445750.92%15750.050.00195364440.00014023071.18%269/14/0611527.39-0.00138001890.00004735030.69%5877.2-0.00254573840.00006106170.78%5123.85-0.00274040320.00007971670.89%15942.390.01221202470.00013204591.15%279/15/0611560.770.00289571190.00004462350.67%5877-0.00003402980.00005778690.76%5144.880.00410433560.00007538430.87%15866.93-0.00473329280.00013307121.15%289/19/0611540.91-0.00171787870.00004244920.65%5831.8-0.00769099880.00005431970.74%5115.99-0.00561529130.00007187190.85%15874.280.00046322760.00012643111.12%299/20/0611613.190.00626293770.00004007930.63%5866.20.00589869340.00005460960.74%5192.740.0150019840.00006945150.83%15718.67-0.00980264930.00011885811.09%309/21/0611533.23-0.00688527440.0000400280.63%5896.70.00519927720.00005342070.73%5208.320.00300034280.0000787880.89%15834.230.0073517670.00011749221.08%319/22/0611508.1-0.00217892130.00004047080.64%5822.3-0.01261722660.00005183740.72%5141.95-0.01274307260.00007460080.86%15634.67-0.01260307570.00011368561.07%329/25/0611575.810.00588368190.00003832740.62%5798.3-0.00412208230.00005827890.76%5146.490.00088293350.00007986790.89%15633.81-0.0000550060.00011639471.08%339/26/0611669.390.00808409950.00003810480.62%5873.60.0129865650.00005580160.75%5219.590.01420385540.00007512260.87%15557.45-0.0048842860.00010941121.05%349/27/0611689.240.00170103150.00003973970.63%5930.10.00961931350.00006257260.79%5243.10.00450418520.00008272020.91%15947.870.02509537230.00010427791.02%359/28/0611718.450.00249887930.00003752890.61%5971.30.00694760630.00006437010.80%5250.010.00131792260.00007897430.89%16024.850.00482697690.00013580791.17%369/29/0611679.07-0.00336051270.00003565180.60%5960.8-0.00175841110.0000634040.80%5250.0100.000074340.86%16127.580.00641066840.00012905741.14%3710/2/0611670.35-0.00074663480.00003419030.58%5957.8-0.00050328810.00005978530.77%5243.13-0.00131047370.00006987960.84%16254.290.00785672740.00012377971.11%3810/3/0611727.340.00488331540.00003217230.57%5937.1-0.00347443690.00005621340.75%5219.79-0.00445153940.00006578990.81%16242.09-0.00075057110.00012005661.10%3910/4/0611850.610.01051133510.00003167280.56%5966.50.00495191250.00005356490.73%5256.550.00704242890.00006303150.79%16082.55-0.00982262750.0001128871.06%4010/5/0611866.690.00135689220.00003640170.60%6004.50.0063688930.00005182230.72%5288.530.00608383830.00006222530.79%16449.330.02280608490.00011190291.06%4110/6/0611850.21-0.00138876130.00003432810.59%6001.2-0.00054958780.00005114670.72%5282.06-0.00122340230.00006071260.78%16436.06-0.00080671980.00013639571.17%4210/10/0611867.170.00143119830.00003238410.57%6072.70.01191428380.0000480960.69%5309.790.00524984570.00005715970.76%16477.250.00250607510.0001282511.13%4310/11/0611852.13-0.0012673620.0000305640.55%6073.50.00013173710.00005372730.73%5313.190.00064032660.00005538370.74%16400.57-0.00465368920.00012093281.10%4410/12/0611947.70.00806352950.00002882650.54%6121.30.0078702560.00005050470.71%5361.510.00909434820.00005208530.72%16368.81-0.00193651810.00011497621.07%4510/13/0611960.510.00107217290.00003099820.56%6157.30.00588110370.00005119090.72%5353.23-0.00154434110.00005392260.73%16536.540.01024692690.00010830271.04%4610/16/0611980.590.00167885820.00002920720.54%6172.40.00245237360.00005019470.71%5361.970.00163265920.00005083040.71%16692.760.00944695810.00010810451.04%4710/17/0611950.02-0.00255162730.00002762390.53%6108.6-0.01033633590.00004754380.69%5302.99-0.01099968850.00004794050.69%16611.59-0.00486258710.00010697291.03%4810/18/0611992.680.00356986850.00002635710.51%6150.40.00684281180.00005110160.71%5361.290.01099379780.00005232360.72%166530.00249283780.00010197321.01%4910/19/0612011.730.0015884690.00002554030.51%61560.00091050990.00005084490.71%5359.74-0.00028910950.0000564360.75%16551.36-0.00610340480.00009622770.98%5010/20/0612002.37-0.00077923830.00002415930.49%6155.2-0.00012995450.0000478440.69%5375.350.00291245470.00005305490.73%16651.630.00605811240.00009268910.96%5110/23/0612116.910.00954311520.00002274620.48%6166.10.00177086040.00004497440.67%5411.810.00678281410.00005038050.71%16788.820.00823883310.00008932980.95%5210/24/0612127.880.00090534630.00002684570.52%6182.50.00265970390.00004246410.65%5404.54-0.00134335830.00005011810.71%16780.47-0.00049735480.00008804270.94%5310/25/0612134.680.00056069160.00002528410.50%6214.60.00519207440.00004034060.64%5422.280.00328242550.00004721930.69%16699.3-0.00483717080.0000827750.91%5410/26/0612163.660.00238819650.00002378590.49%6184.8-0.00479515980.00003953770.63%5433.790.00212272330.00004503260.67%16811.60.00672483280.00007921240.89%5510/27/0612090.26-0.00603436790.0000227010.48%6160.9-0.00386431250.0000385450.62%5396.03-0.00694910920.0000426010.65%16669.07-0.00847807470.00007717310.88%5610/30/0612086.49-0.00031182130.00002352370.49%6126.8-0.00553490560.00003712830.61%5362.23-0.00626386440.00004294230.66%16351.85-0.01903045580.00007685530.88%5710/31/0612080.73-0.00047656520.00002211820.47%6129.20.00039172160.00003673870.61%5348.73-0.00251760930.000042720.65%16399.390.00290731630.00009397350.97%5811/1/0612031.02-0.00411481760.00002080470.46%6149.60.003328330.00003454360.59%5370.860.00413743080.00004053710.64%16375.26-0.00147139620.00008884230.94%5911/2/0612018.54-0.00103731850.00002057230.45%6149.3-0.00004878370.00003313560.58%5310.07-0.01131848530.00003913190.63%16350.02-0.00154134960.00008364160.91%6011/6/0612105.550.00723964810.00001940250.44%6224.50.01222903420.00003114760.56%5402.360.01738018520.00004447050.67%16364.760.00090152790.00007876570.89%6111/7/0612156.770.00423111710.00002138310.46%62440.00313278170.00003825170.62%5437.780.00655639390.00005992650.77%16393.410.00175071310.00007408850.86%6211/8/0612176.540.00162625430.00002117430.46%6239-0.00080076870.00003654550.60%5437.16-0.00011401710.00005891010.77%16215.74-0.010837891