Accuracy of Value-At-Risk Model in Commercial Banks

ACCURACY OF VALUE-AT-RISK MODEL IN COMMERCIAL BANKS

M P BIRLA INSTITUTE OF MANAGEMENT

RESEARCH PROJECT On

Accuracy of Value-at-Risk Model in Commercial Banks

Submitted in partial fulfillment of the requirement for MBA

Degree of Bangalore University

BY

SUGUNA .A Registration Number

05XQCM6098

Under the guidance of

Prof. S.SANTHANAM

M.P.Birla Institute of Management

Associate Bharatiya Vidya Bhavan

Bangalore-560001

2005-2007



DECLARATION

I hereby declare that this report titled “Accuracy of Value-at-Risk

Model in Commercial Banks” is a record of independent work carried out by

me, towards the partial fulfillment of requirements for MBA course of Bangalore

University at M.P.Birla Institute of Management. This has not been submitted

in part or full towards any other degree.

PLACE: BANGALORE SUGUNA .A DATE:



PRINCIPAL’S CERTIFICATE

This to certify that this report titled “Accuracy of Value-at-Risk Model in Commercial Banks” has been prepared by SUGUNA .A bearing the

registration no.05 XQCM 6098 under the guidance and supervision of PROF. S.SANTHANAM, MPBIM, Bangalore.

Place: Bangalore (Dr.N.S.Malavalli)

Date: Principal

MPBIM, Bangalore



GUIDE’S CERTIFICATE

This is to certify that the Research Report entitled “Accuracy of Value-at-Risk Model in Commercial Banks”, done by SUGUNA .A bearing

Registration No.05 XQCM 6098 is a bonafide work done carried under my

guidance during the academic year 2006-07 in a partial fulfillment of the

requirement for the award of MBA degree by Bangalore University. To the best

of my knowledge this report has not formed the basis for the award of any other

degree.

Place: Bangalore PROF. S. SANTHANAM Date:



ACKNOWLEDGEMENT

It’s my special privilege to extend words of the thanks to all of them who

have helped me and encouraged me in completing the project successfully.

I would thank Prof. S.SANTHANAM and Dr. T.V.N. Rao for giving me

valuable inputs required for completing this project report successfully. I owe

my sincere gratitude to him for spending his valuable time with me and for his

guidance.

I also wish to express my gratitude to Dr N.S. Malavalli for his valuable

guidance and ideas during the project.

It would be improper if I do not acknowledge the help and

encouragement by my friends and well wishers who always helped me directly

or indirectly.

My gratitude will not be complete without thanking the almighty god and

my loving parents who have been supportive through out the project.

SUGUNA. A.



EXECUTIVE SUMMARY

In recent years, the trading accounts at large commercial banks have grown

rapidly and become progressively more complex. To a large extent, this reflects

the sharp growth in the over-the-counter derivatives markets, in which

commercial banks are the principal dealers. To manage market risks, major

trading institutions have developed large scale risk measurement models.

While approaches may differ, all such models measure and aggregate market

risks in current positions at a highly detailed level. The models employ a

standard risk metric, Value-at-Risk (VaR), which is a lower tail percentile for the

distribution of profit and loss (P&L). VaR models have been sanctioned for

determining market risk capital requirements for banks through the 1996 Market

Risk Amendment to the Basle Accord. Spurred by these developments, VaR

has become a standard measure of financial market risk that is increasingly

used by other financial and even non financial firms as well.

In this research paper, we test the performance of bank VaR models. We

analyze the distribution of historical trading P&L and the daily performance of

VaR estimates of seven large banks. P&L and VaR data series are maintained

by the banks to assess compliance with the Basle market risk capital

requirements-they serve as a gauge of the forecast accuracy of the models

used for internal risk management. Regulations stipulate that estimates are to

be calculated for a 99 percent lower critical value of aggregate trading P&L with

a one-day horizon.



CONTENTS

CHAPTER TITLE PAGE NO

1 Introduction

1.1 General

1.1.1 Approaches to Managing Risks

1.1.2 The consequences of poor risk management

1.1.3 Advantages of Risk Management

1.2 Value-at-risk Approach

1.2.1 The idea behind VaR

1.2.2 Methods of calculating VaR

1.2.3 Drawbacks of VaR

2 Literature Survey

3 Research Methodology

3.1 Problem Statement

3.2 Objective

3.3 Scope of Study

3.4 Sample size

3.5 Data Required and period of Study

3.6 Sources of Data

3.7 Methodology

4 Data Analysis and Interpretation

5 Conclusion

6 Bibliography

7 Annexure



Chapter 1

INTRODUCTION



1.1 INTRODUCTION “Risk means being exposed to the possibility of a bad outcome……Risk

management means taking deliberate action to shift the odds in your favour -

increasing the odds of good outcomes and reducing the odds of bad

outcomes."

Risk management is about following a deliberate set of actions designed to

identify, quantify, manage, and then monitor those things, events or actions that

could lead to financial loss. This implies that risk management is an active

process requiring commitment and focus but in many instances there is

insufficient data about a risk to define it precisely. As a result, risk management

involves a large degree of judgement and requires the organization to make

certain assumptions about the future. In order to manage risk effectively it is

necessary to categorize the type of risk that organizations are exposed to and

then manage them accordingly.

1.1.1 APPROACHES TO MANAGING RISK

The basic form of risk management involves four continuous stages:

• Identification. This involves the organization identifying the types of risk it

might be exposed to. Some are more obvious and manageable than

others. The key point is to identify those risks that can be managed.

• Quantification. This involves assessing the severity of the risk which in

its simplest form is the product of its impact (which is usually assessed in

terms of financial loss) and probability or likelihood of occurrence. And

rank the risks when it comes to choosing those it intends to manage

• Managing or responding. This requires the organization to establish a

course of action that will address the risk. Organizations have five

responses- They can transfer the risk by passing it to a third party. They

can avoid the risk by taking a different course of action; they can reduce

the risk by taking action that minimizes its impact or probability. They

can put some contingency in place that allows the organization to cope

with the implications of the risk should it materialize. Finally, they can

accept the risk and its consequences. Ultimately, before this strategy is



adopted, it is important to understand the impacts of the risk and how

much it would cost the organization in terms of money and resources to

manage it. Balancing the two will allow an appropriate decision to be

made.

• Monitoring and controlling. Risks are time-based events and as such

their impact and probability will vary with time. This is well known within

banking, but less so in the other areas of risk, such as strategic and

operational risk. Monitoring risk has two strands to it. The first is to

ensure the actions agreed during the response stage are undertaken

and their impact on the risk's impact and probability is tracked. And the

second is to monitor the risk over time, as other events will cause the

risk's probability and impact to increase or decrease.

Risk management in banking is different. According to Joel Bessis, risk

management within the banking community is principally based upon

quantitative measures of risk.

There exist three quantitative indicators that commonly exist:

• Sensitivity - this captures the deviation of earnings from such things as

interest margins or changes in the mark to-market values of financial

instruments (such as derivatives) with a single unit change in a market

parameter such as interest rates, exchange rates, or stock prices.

• Volatility - this captures the variations around the average of a random

parameter or target value both positively (upside) and negatively

(downside). It is a common measure of the dispersion around the

average of a random variable.

• Downside measures of risk such as value at risk that concentrates on

the negative variations only. To allow the effective management of risk,

these are usually classed as worst case values. These tend to be the

most comprehensive measure of risk because they incorporate both

sensitivity and volatility.



Financial institutions manage their risks in a variety of different ways.

• Market risk (the loss arising from adverse changes in market rates and

prices) is often dealt with through the use of hedging transactions such

as derivatives.

• Credit risk (the risk that a customer will default on their loan) is usually

managed by setting limits on the amount lent, having credit officers and

credit committees to agree to lend money, and varying the interest rate

and amount of collateral to match the risk rating of the client.

1.1.2 THE CONSEQUENCES OF POOR RISK MANAGEMENT

It is clear that failing to manage risk can result in financial loss of one kind or

another.

At the strategic level, organizations can be seduced into rushing into investing

in speculative bubbles and seeking first mover advantage without thinking

about the downside risks.

At the project and program level, many hundreds of millions of dollar can be

wasted on major change projects and technology programs without any benefit

to the organization.

1.1.3 ADVANTAGES OF RISK MANAGEMENT Actively managing risks has many advantages, including:

• gaining a much better understanding of the risks that are facing the

organization and its activities;

• understanding how risks interact;

• identifying the uncertainties that have to be managed, monitored, and

controlled at all levels;

• providing input into investment decisions;

• understanding the implications of taking different courses of action;

• assessing the financial implications of investments, lending decisions

and the markets;



• viewing risks as opportunities, rather than threats; and

• Providing visibility of the risks that the organization wishes to take

deliberately as well as those it needs to guard against and actively avoid.

1.2 VALUE AT RISK APPROACH VaR is the lowest quantile of the potential losses that can occur within a given

portfolio during a specified time period. Value at risk (VaR) has been called the

"new science of risk management".

Value at Risk (VAR) calculates the maximum loss expected (or worst case

scenario) on an investment, over a given time period and given a specified

degree of confidence.

1.2.1 The Idea behind VAR

The most popular and traditional measure of risk is volatility. The main problem

with volatility, however, is that it does not care about the direction of an

investment's movement: a stock can be volatile because it suddenly jumps

higher. Of course, investors are not distressed by gains!

For investors, risk is about the odds of losing money, and VAR is based on that

common-sense fact. By assuming investors care about the odds of a really big

loss, VAR answers the question, "What is my worst-case scenario?" or "How

much could I lose in a really bad month?"

A VAR statistic has three components: a time period, a confidence level and a

loss amount (or loss percentage). For example VAR answers:

• What is the most I can - with a 95% or 99% level of confidence - expect

to lose in dollars over the next month?

• What is the maximum percentage I can - with 95% or 99% confidence -

expect to lose over the next year?

1.2.2 Methods of Calculating VAR



There are three methods of calculating VAR: the historical method, the

variance-covariance method and the Monte Carlo simulation.

1. Historical Method (calculates daily VaR) The historical method simply re-organizes actual historical returns, putting them

in order from worst to best. It then assumes that history will repeat itself, from a

risk perspective.

2. The Variance-Covariance Method (calculates daily VaR) This method assumes that stock returns are normally distributed. In other

words, it requires that we estimate only two factors - an expected (or average)

return and a standard deviation - which allow us to plot a normal distribution

curve.

The idea behind the variance-covariance is similar to the ideas behind the

historical method - except that we use the familiar curve (normal curve) instead

of actual data. The advantage of the normal curve is that we automatically

know where the worst case lies on the curve. They are a function of our desired

confidence and the standard deviation ( ):

3. Monte Carlo Simulation (calculates monthly VaR) The third method involves developing a model for future stock price returns and

running multiple hypothetical trials through the model. A Monte Carlo simulation

refers to any method that randomly generates trials, but by itself does not tell us

anything about the underlying methodology.

For most users, a Monte Carlo simulation amounts to a "black box" generator of

random outcomes.



In the early 1990s, three events popularized value-at-risk as a practical tool for

use on trading floors:

In 1993, the Group of 30 published a groundbreaking report on derivatives

practices. It was influential and helped shape the emerging field of financial risk

management. It promoted the use of value-at-risk by derivatives dealers and

appears to be the first publication to use the phrase "value-at-risk."

In 1994, JP Morgan launched its free Risk Metrics service. This was

intended to promote the use of value-at-risk among the firm's institutional

clients. The service comprised a technical document describing how to

implement a VaR measure and a covariance matrix for several hundred key

factors updated daily on the internet.

In 1995, the Basel Committee on Banking Supervision implemented market

risk capital requirements for banks. These were based upon a crude VaR

measure, but the committee also approved, as an alternative, the use of banks'

own proprietary VaR measures in certain circumstances. Market risk capital

requirements were set equal to the greater of:

• The previous day’s VaR, or

• The average VaR over the previous sixty business days, multiplied by a

factor of at least 3.

In January 1999, the Basel Committee proposed a new capital accord, which

has come to be known as Basel II. There followed an extensive consultative

period, with the committee releasing additional proposals for consultation in

January 2001 and April 2003. It also conducting three quantitative impact

studies to assess those proposals. The finalized Basel II Accord was released

in June 2004.

Basel II is based on three pillars:

Minimum capital requirements,

Supervisory review, and

Market discipline.



Every VaR measure must address this problem. Accordingly, all VaR measures

share certain common components related to solving this problem. All must

specify a portfolio mapping. All must somehow characterize the joint distribution

of . All must somehow combine these two pieces to characterize the

distribution of . Exhibit 5 is a schematic summarizing these three processes

that are common to all practical VaR measures.

Schematic of How VaR Measures Work

All practical VaR measures accept portfolio data and historical market data as

inputs. They process these with three procedures namely, a mapping

procedure, inference procedure, and transformation procedure. Output

comprises the value of a VaR metric. That value is the VaR measurement.



Risk has two components:

exposure, and

uncertainty.

By specifying a portfolio mapping, a mapping procedure describes exposure.

By characterizing the joint distribution for , an inference procedure describes

uncertainty. A transformation procedure combines exposure and uncertainty to

describe the distribution of , which it then summarizes with the value of some

VaR metric. In so doing, the transformation procedure describes risk.

1.2.3 DRAWBACKS Unfortunately, VaR is not the panacea of risk measurement methodologies. A

subtle technical problem is that VaR is not sub-additive. That is, it's possible to

construct two portfolios, A and B, in such a way that VaR (A + B) > VaR (A) +

VaR (B). This is unexpected because we'd hope that portfolio diversification

would reduce risk.



Chapter 2

LITERATURE SURVEY



Review of literature .means examining and analyzing the various literatures

available in any field either for references purposes or for further research.

Further research can be done by identifying the areas which have not been

studied and in turn undertaking research to add value to the existing literature.

For the purpose of literature review various sources of information have been

used.

Sources include books, journals as well as some literature papers.

2.1 Review of Literature

2.1.1 How Accurate Are Value-at-Risk Models at Commercial

Banks? Jeremy Berkowitz; James O'Brien

Objective: How accurate are VaR model in 6 large commercial banks of US?

Abstract: In recent years, the trading accounts at large commercial banks have

grown substantially and become progressively more diverse and complex. This

article provides a descriptive statistics on the trading revenues from such

activities and on the associated Value-at-Risk (VaR) forecasts internally

estimated by banks. For a sample of large bank holding companies, the

performance of banks’ trading risk models is evaluated by examining the

statistical accuracy of the VaR forecasts.

Result: VaR forecasts for six large commercial banks have exceeded nominal

coverage levels over the past two years, and, for some banks, VaRs were

substantially removed from the lower range of trading P&L.



2.1.2 Risk Management Techniques and Application in Banking

under Basel II Accord

SN Ghosal

The regulators should develop and prescribe risk management norms and tools

to regulate risk taking activities of banks and financial institutions. Sometimes a

bank takes risk which may affect the whole system. Techniques like VaR

(Value at Risk) used by banks must be approved by the supervisor and these

must be validated by back testing. Banks should be encouraged to align their

business plans and performance budgets with risk management techniques.

The goals set for banks for risk management by the regulatory authorities may

be summed up as follows:

• To impose capital adequacy norms keeping in view the risk banks are

required to take as the competitive market demands.

• To level the competitive field of banks by setting common benchmarks

for all banks.

• To control and monitor `systemic risk' that may arise due to failure of the

whole banking system.

• To develop and prescribe appropriate business and supervisory

practices to sustain risks taken by banks under market commands, and

• To protect the interest of depositors and other stakeholders of banks.

All said and done, implementation of Basel II Accord will not only require

enhancement of capital by all banks but also the up gradation of the skills and

expertise of their executives. Further, it may also need the assistance of

outside expert groups of the field to successfully implement the said Accord. It

is unfortunate that despite the revolution in information technology India is still

far away from having a reliable database to develop dependable risk

assessment technology to assess credit and operational risk that banks

generally face in their day-to-day operations. In fact, banks also lack in

expertise to play with derivatives to mitigate and or reduce the losses that may



arise due to risk taken in their day-to-day operations. It is therefore necessary

for Indian banks to not only adhere to the guidelines issued from time to time by

the RBI but also to develop expertise for successful adoption of the Accord. In

this regard, all banks have to adopt a two pronged strategy i.e., to have a

separate nucleus of staff for developing and accessing reliable information in

risk prone activity areas of banking and to continuously develop and train

executives who are actively operating in risk prone activities of banks so that

they are able to successfully gauge risk in their activities and also take suitable

mitigating steps to minimize such risks. This is obviously a continuous process

and needs building of institutions within and outside to accelerate the process

of implementation.

2.1.3 Value at Risk (VaR): A Critique Ch Rajeshwer and Sharath Jutur

Objective: VaR has established itself as a ubiquitous risk management tool for

more than a decade. Yet, it looks far from perfect.

Abstract: The Bank for International Settlements (BIS), the international body

that prescribes prudential measures for banks worldwide, has prescribed VaR

as a risk measurement tool to be used by financial institutions in its Basel II

norms. Since many banks are already using VaR, they have greeted the

change with three cheers. It perhaps will not be an exaggeration to say that the

world of finance today swears by VaR, to minimize the magnitude of losses

they might incur.

After a decade of honeymooning with VaR, finance executives are beginning to

realize VaRs' limitations. If the research studies about the usefulness of VaR

are any indication, one wonders whether the tool which is designed to minimize

risk, is actually increasing it.

The dark side of VaR

The result of a VaR model is simply the dollar amount of VaR or the minimum

loss that may be incurred for holding an asset for n number of days with p%

confidence level. In other words, VaR gives the amount of loss that a portfolio



can incur in n days with a probability of 1-p% worst cases, given that the

weightages for various assets in the portfolio do not change. It is argued that

the flaws of the VaR model start emanating from the definition itself.

The VaR model mechanics assume that maturity of assets and weightages of

assets in the portfolio will remain constant during the period of measurement.

VaR assumes that the assets of a portfolio are held for a fixed amount of time

and in the initial weightage size and quantifies the risk number based on those

criteria. Given the volatility and uncertainty of the market, it is next to impossible

to hold a particular asset for the period and weightage specified in the model. In

the course of a trading activity, situations might prompt a trader to dispose the

asset before the time specified considered in the calculation of VaR. These

situations render VaR ineffective.

Another severely constraining aspect of VaR is that it calculates worst case

scenario losses from projected market scenarios, which the model generates

based on past historical trends. But, if the market prices are anything to go by,

they often spring surprises and defy past trends.

The VaR model assumes that the different assets of the portfolio tend to show

the kinds of relationship they have exhibited in the past, in the future too. But

these relationships between the assets are far from stable. Since the assets

tend to diverge from their past levels of correlation they undermine the efficacy

of the VaR results.

Result: It is argued that the flaws of the VaR model start emanating from the

definition itself.

2.1.4 Evaluating the Basle Guidelines for Backtesting Banks'

Internal Risk Management Models André Lucas

The 1996 Amendment to the Basle capital Accord to incorporate market risk

constitutes a breakthrough in the determination of capital requirements. Rather

than dictating these requirements through a uniform supervisory approach,

banks are allowed to use their own internal models for computing the capital



required. In order to mitigate moral hazards problem and stimulate banks to use

adequate internal models, the models must be subjected to a backtesting

procedure. If a model produces too many incorrect predictions increase capital

requirements results. This paper provides a evaluation of the correct internal

model approach in conjunction with the proposed backtesting procedure. In

particular, using a stylized representation of the present supervisory framework,

we investigate whether banks are provided with the right incentives to come up

with the correct internal model. We find that, under the current regulatory

framework, banks are prone to under reporting their true market risks. A much

stricter penalty scheme is required in order to align banks incentives with those

of the supervisor. We check the sensitivity of our results to changes in the

length of the planning horizon, portfolio risk, time preferences, risk attitudes and

the distribution of financial returns.



Chapter 3

RESEARCH METHODOLGY



3.1 Problem Statement

Finding the accuracy of value-at-risk model for commercial banks in India.

3.2 Objective • To study the application of different risk models.

• To ascertain the Performance of Bank VaR models.

3.3 SCOPE OF STUDY The most popular and traditional measure of risk is volatility. The main problem

with volatility, however, is that it does not care about the direction of an

investment's movement: a stock can be volatile because it suddenly jumps

higher. Of course, investors are not distressed by gains!

For investors, risk is about the odds of losing money, and VAR is based on that

common-sense fact. By assuming investors care about the odds of a really big

loss, VAR answers the question, "What is my worst-case scenario?" or "How

much could I lose in a really bad month?"

3.4 SAMPLE SIZE The Sample size considered for the research undertaken has a scope of seven

different banks, three public sector and four private sector banks. These are as

follows:-

1. Bank of India (BOI) was incorporated in 1906 by a group of eminent

businessmen in Bombay. It was under private ownership till 1969, later it

was nationalized along with 13 other major Banks. The bank has grown

rapidly over the year to become one of the leading Indian banks. The

Bank came out with its maiden public issue in 1997. In business volume,

the Bank occupies a premier position among the nationalized banks.

2. HDFC Bank (HDFCBK) was incorporated in Aug. 1994 and promoted by

Housing Development Finance Corporation Limited (HDFC), India's

premier housing finance company which also enjoys an impeccable



track record in India as well as in international markets. HDFC was

amongst the first to receive an 'in principle' approval from the Reserve

Bank of India (RBI) to set up a bank in the private sector, as part of the

RBI's liberalization of the Indian Banking Industry. The Bank

commenced operations as a Scheduled Commercial Bank in January

1995.

3. ICICI Bank (ICICIBK) is a commercial bank promoted by ICICI Ltd, an

Indian Financial Institution. It was incorporated in Jan.'94 and received

its banking license from Reserve Bank of India in May.'94. It is the 2nd

largest bank in India. The bank has over 630 branches & extension

counters across India and over 2200 ATMs across the country

4. ING Vysya Bank Ltd incorporated in 1930, as Vysya Bank (VBL) got its

banking license from RBI in 1958 and was granted its status as

scheduled bank in 1974. With successive years of patronage and

constantly setting new standards in banking, the bank has many credits

to its account. Advances, foreign exchange business, deposit mix,

investments and priority sector advances remain the key functional

activities of the bank.

5. Punjab National Bank (PNB) was incorporated in 1894. From its

modest beginning, the bank has grown in size and stature to become a

leading banking institution in India. The number of branches of the Bank

rose from 619 at the time of nationalization in 1969 to touch 4022 as on

March 2004. As many as 7 banks have merged with PNB, the last being

the erstwhile Nedungadi Bank Ltd. PNB Capital services is also

amalgamated with the bank in 2003.

6. State Bank of India's (SBI) origin goes back to in the first decade of the

nineteenth century with the establishment of the Bank of Calcutta in

Calcutta on 2 June 1806. Three years later the bank was re-designed as

the Bank of Bengal on 2 January 1809. It was the first joint-stock bank of

British India sponsored by the Government of Bengal. Two other banks

the Bank of Bombay on 15 April 1840 and the Bank of Madras on 1 April

1843 started its operations. These three banks remained at the apex of

modern banking in India till their amalgamation as the Imperial Bank of



India on 27 January 1921. This new bank took on the triple role of a

commercial bank, a banker's bank and a banker to the government.

7. Established in 1929, South Indian Bank (SIB) got its status of

Scheduled Bank in 1946. In 1960, SIB expanded by taking over 15

smaller banks. Presently, it has a network of 391 branches and 50

extension counters, spread over 10 States and 2 Union Territories

3.5 DATA REQUIRED AND PERIOD OF STUDY Daily Stock Returns and the corresponding VaR estimates of the above sample

are considered for a period of two years from April 2005 to April 2007.

3.6 SOURCES OF DATA The data relating to the study is taken from

• Databases

Prowess and

Capital line plus

• NSE Website.

3.7 METHODOLOGY Comparing the returns of equity of the banks with that of the corresponding

estimated value-at-risk forecast of banks. Firstly, the log naturals of the daily

return is taken and then compared with the corresponding day’s VaR to check

for the violation.



Chapter 4

DATA ANALYSIS AND INTERPRETATION



4.1 STATISTICS OF DAILY RETURNS OF THE SEVEN BANKS

Data is individually interpreted and is as shown

Bank of India

Statistics

Mean 0.1216 Std. Error of Mean 0.12459 Median 0.0315 Mode -11.18 Std. Deviation 2.83843 Variance 8.057 Skewness -0.115 Std. Error of Skewness 0.107 Kurtosis 1.431 Std. Error of Kurtosis 0.214

t - test Skewness -1.07477 Kurtosis 6.686916

Interpretation : The t-test has shown that kurtosis is significant (6.687) but Skewness is

insignificant (1.075). Therefore, we can say that Bank of India exhibits a high

return but less of variations.

HDFC Bank Ltd

Statistics Mean 0.1192 Std. Error of Mean 0.08069 Median 0.0727 Mode -7.56 Std. Deviation 1.83822 Variance 3.379 Skewness 0.09 Std. Error of Skewness 0.107 Kurtosis 1.689 Std. Error of Kurtosis 0.214

t - test Skewness 0.841121 Kurtosis 7.892523


insignificant (0.841). Therefore, we can say that HDFC Bank Ltd exhibits a high




ICICI Bank Ltd

Statistics Mean 0.1469 Std. Error of Mean 0.09166 Median 0.2162 Mode -8.75(a) Std. Deviation 2.08805 Variance 4.36 Skewness -0.203 Std. Error of Skewness 0.107 Kurtosis 1.348 Std. Error of Kurtosis 0.214



insignificant (1.897). Therefore, we can say that ICICI Bank Ltd exhibits a high


ING Vysya Bank Ltd

Statistics

Mean 0.0255 Std. Error of Mean 0.11486 Median -0.0907 Mode -12.18(a)Std. Deviation 2.36512 Variance 5.594 Skewness 0.658 Std. Error of Skewness 0.119 Kurtosis 7.227 Std. Error of Kurtosis 0.237

t - test Skewness 5.529412Kurtosis 30.49367

Interpretation : The t-test has shown that both kurtosis and Skewness are highly significant.

Therefore, we can say that ING Vysya Bank Ltd exhibits a high return and the

returns are highly varying.



Punjab National Bank

Statistics Mean 0.0424 Std. Error of Mean 0.0864 Median 0.0749 Mode -9.64 Std. Deviation 1.96827 Variance 3.874 Skewness -0.503 Std. Error of Skewness 0.107 Kurtosis 2.745 Std. Error of Kurtosis 0.214


Interpretation : The t-test has shown that both kurtosis and Skewness are significant.

Therefore, we can say that Punjab National Bank Ltd exhibits a high return and

the returns are varying.

State Bank of India

Statistics

Mean 0.0956 Std. Error of Mean 0.07729 Median 0.2082 Mode -7.40 Std. Deviation 1.76077 Variance 3.1 Skewness -0.413 Std. Error of Skewness 0.107 Kurtosis 2.035 Std. Error of Kurtosis 0.214 99th Percentiles 4.801


Interpretation : The t-test has shown that both kurtosis and Skewness are significant.

Therefore, we can say that State Bank of India exhibits a high return and the

returns are varying.



South Indian Bank Ltd

Statistics

Mean 0.0891 Std. Error of Mean 0.10319 Median -0.0549 Mode -7.70 Std. Deviation 2.35085 Variance 5.526 Skewness 0.819 Std. Error of Skewness 0.107 Kurtosis 4.643 Std. Error of Kurtosis 0.214 99th Percentiles 8.0081

t - test Skewness 7.654206Kurtosis 21.69626

Interpretation : The t-test has shown that both kurtosis and Skewness are highly significant.

Therefore, we can say that South Indian Bank Ltd exhibits a high return and the

returns are highly varying.



4.2 COMPARISION OF Bank Return and VaR Statistics

Daily Return Daily VaR BANK

OBS MEAN STD DEV KURTOSIS SKEW Mean VaR No. Violation

Bank of India 519 0.1216 2.83843 1.431 -0.115 -11.68 1 HDFC Bank Ltd 519 0.1192 1.83822 1.689 0.09 -7.282 1 ICICI Bank Ltd 519 0.1469 2.08805 1.348 -0.203 -7.94 2 ING Vysya Bank Ltd 424 0.0255 2.36512 7.227 0.658 -9.0822 2 Punjab National Bank 519 0.0424 1.96827 2.745 -0.503 -7.9687 4 State Bank of India 519 0.0956 1.76077 2.035 -0.413 -6.9837 1 South Indian Bank Ltd 519 0.0891 2.35085 4.643 0.819 -8.9571 0 To summarize,

• The returns of all the banks in the sample exhibit kurtosis. ING Vysya

Bank Ltd has a high kurtosis value, while ICICI Bank Ltd exhibits low.

• Also returns of banks ING Vysya Bank Ltd, Punjab National Bank, State

Bank of India and South Indian Bank Ltd exhibit Skewness, of which

Punjab National Bank and State Bank of India are negatively and the

other two bank returns are positively skewed.

• When comparing the Daily return with the corresponding days VaR data,

the violation is as shown.

The return of South Indian Bank Ltd has not violated the estimated

VaR in the observed 519 days.

The return of Bank of India, HDFC Bank Ltd and State Bank of

India has violated the estimated VaR once in the observed 519

days.

ICICI Bank Ltd and ING Vysya Bank Ltd have violated the

estimated VaR twice in the observed 519 and 424 days

respectively.

The return of Punjab National Bank has violated the estimated

VaR four times in the observed 519 days.



4.3 HISTOGRAMS OF DAILY RETURN OF THE BANKS

Bank of India

HDFC Bank Ltd

ICICI Bank Ltd

ING Vysya Bank Ltd




State Bank of India


Interpretation: Histograms of daily returns of Equity stocks for seven banks are presented

above. In all histograms, the daily returns are demeaned and divided by their

standard deviation. The t-test has shown that returns of banks ING Vysya Bank

Ltd, Punjab National Bank, State Bank of India and South Indian Bank Ltd has

significant Skewness, of which Punjab National Bank and State Bank of India

are negatively and the other two bank returns are positively skewed.

Also the histograms clearly show that ING Vysya Bank Ltd has a high kurtosis

value, while ICICI Bank Ltd exhibits low.



Bank Daily VaR Models and the corresponding returns

Bank of India

HDFC Bank Ltd

ICICI Bank Ltd

ING Vysya Bank Ltd


State Bank of India




Interpretation: In figure ‘ ‘, the Time series of daily returns of the seven banks for April 2005

through April 2007 ( blue line)and the corresponding one-day ahead 99th

percentile VaR forecast (pink line) is plotted. The plots tend to confirm the

conservativeness of the VaR forecasts where violations are relatively few but

large. The plot also shows differences in VaR performance among the banks.

The VaRs of Bank of India, HDFC Bank Ltd, ICICI Bank Ltd, Punjab National

Bank and State Bank of India appear to exhibit same trend. While ING Vysya

Bank Ltd and South Indian Bank Ltd trends are different and trends upward.



Chapter 5

CONCLUSION



CONCLUSION

After performing t-test we have found that returns of ING Vysya Bank Ltd and

South Indian Bank Ltd are not satisfactory as they are highly varied while

return of all the other Banks are satisfactory.

Comparing the VaR model, we can note that though returns of South Indian

Bank Ltd are highly varying, its VaR model is accurate. It has always

predicted correctly the maximum loss which an individual encounters. Punjab

National Bank’s VaR model has violated the most in our sample, but its return

is consistent.

To conclude we can say that, commercial banks in India follow a better

technique of forecasting value-at-risk..



Chapter 6

BIBLIOGRAPHY



BIBLIOGRAPHY

BOOKS 1. Risk management by Andrew Holmes

2. Statistics for Management by Richard I Levin and David S. Rubin

WEBSITES 1. www.nseindia.com

2. www.riskglossary.com

3. www.jstor.org

4. www.icfaipress.org

DATABASE 1. Prowess

2. Capital line plus.



REFERENCES Jeremy Berkowitz; James O'Brien, “How Accurate Are Value-at-Risk

Models at Commercial Banks?” The Journal of Finance > Vol. 57, No. 3

(Jun., 2002); pp. 1093-1111

Ch Rajeshwer and Sharath Jutur, “Value at Risk (VaR): A Critique “,

ICFAI Journal of Bank Management; 2005.

S. Benninga and Z. Wiener, “Value-at-Risk (VaR)”, Mathematica in

Education and research; Vol. 7 No. 4. 1998; pp. 39-45

SN Ghosal, “Risk Management Techniques and Application in Banking

Under Basel Ii Accord “, ICFAI Journal of Bank Management; 2006.

André Lucas, “Evaluating the Basle Guidelines for Backtesting Banks'

Internal Risk Management Models”, Journal of Money, Credit and

Banking, Vol. 33, No. 3. (Aug., 2001), pp. 826-846.



ANNEXURE



THE BANKS CALCULATED DAILY RETURN AND THE CORRESPONDING VaR IS SHOWN

DATE BOI ICICI PNB SBI SIB

4-Apr-05 RETURN VaR RETURN VaR RETURN VaR RETURN VaR RETURN VaR 4-Apr-05 2.360682 -13.48 4.584115 -7.57 1.886506 -10.45 0.870993 -8.07 3.966226 -9.23 5-Apr-05 -3.98533 -13.09 0.078629 -7.8 -2.48321 -10.12 -2.34301 -7.84 -1.21851 -9.75 6-Apr-05 -0.84538 -13.06 0.922563 -7.72 -0.78965 -9.91 -0.42702 -8.17 -1.00099 -9.76 7-Apr-05 1.165386 -12.65 -2.27084 -7.46 0.328091 -9.6 1.452864 -7.94 -0.12674 -9.48 8-Apr-05 -2.32769 -12.24 -1.28981 -8.08 -1.71664 -9.3 -1.03961 -7.69 -0.03689 -9.19 11-Apr-05 -0.51786 -11.85 -3.00777 -7.9 0.923021 -9.14 -1.16944 -7.46 -0.65929 -8.89 12-Apr-05 0.944153 -11.53 2.247282 -7.93 1.330906 -9.04 -0.53767 -7.39 0.768216 -8.61 13-Apr-05 0.455853 -11.29 1.262874 -8.29 -0.16886 -8.8 0.789214 -7.19 1.860441 -8.37 15-Apr-05 -4.3015 -10.98 -2.87206 -8.08 -2.62154 -8.54 -2.98732 -6.95 -2.45622 -8.16 18-Apr-05 -2.22371 -11.58 -2.8464 -8.07 -1.86284 -8.65 -1.37756 -7.55 -3.16027 -8.02 19-Apr-05 -0.71158 -11.23 0.300258 -8.68 0.57946 -8.44 0.819028 -7.32 0.895923 -8.43 20-Apr-05 -3.73302 -11.55 -2.19499 -8.44 -0.06753 -8.19 -1.54881 -7.11 -2.21482 -8.16 21-Apr-05 2.498029 -11.2 -1.73675 -8.3 -0.36009 -7.96 1.081001 -6.9 0.219794 -7.94 22-Apr-05 0.838497 -11.24 3.829444 -8.14 0.58477 -7.71 0.487228 -6.79 1.795417 -7.9 25-Apr-05 0.061126 -11 2.983276 -8.46 -0.90869 -7.47 -0.13341 -6.69 0.768968 -7.64 26-Apr-05 0.975504 -10.65 0.578948 -8.61 0.691862 -7.31 0.47774 -6.5 -1.00579 -7.39 27-Apr-05 -0.76906 -10.31 -3.73923 -8.37 -1.53215 -7.14 -0.47393 -6.3 -1.09973 -7.29 28-Apr-05 -6.30048 -9.97 -2.99457 -9.44 -3.7794 -7.09 -2.29355 -6.16 -0.20372 -7.1 29-Apr-05 -5.66094 -12.08 -3.7448 -9.22 -1.51709 -8.08 -3.24457 -6.4 -3.36522 -6.94 2-May-05 -1.57474 -12.37 -0.25664 -10.12 -1.87916 -7.98 -1.13118 -6.85 -5.34019 -6.96 3-May-05 5.351343 -12.01 0.760426 -9.78 1.693949 -7.82 2.089743 -6.66 3.158131 -7.25 4-May-05 3.732588 -11.96 0.319618 -9.5 2.420371 -7.58 1.391766 -6.61 0.733086 -7.04 5-May-05 9.675132 -12.9 3.064793 -9.27 3.033622 -8.41 1.926241 -6.52 14.32145 -7.06 6-May-05 -1.65334 -14.75 0.771245 -9.26 -1.35027 -8.19 -0.55881 -6.43 -3.07373 -15.9 9-May-05 2.654681 -14.29 -0.20632 -8.97 0.32745 -7.95 1.292915 -6.23 0.439677 -15.7910-May-05 0.448218 -13.87 1.922551 -8.74 1.232504 -7.71 0.154505 -6.08 2.353276 -15.2811-May-05 -4.08212 -13.44 0.411369 -8.75 -0.43393 -7.6 -1.37736 -5.94 -0.3089 -14.8 12-May-05 2.182562 -13.22 0.728084 -8.49 1.384974 -7.35 1.00969 -5.77 -4.40903 -14.3613-May-05 -0.42814 -12.85 -0.51868 -8.23 -0.95857 -7.17 -0.33337 -5.6 -4.97061 -14.8916-May-05 1.376007 -12.49 1.435024 -7.97 1.840536 -6.98 1.751234 -5.44 -4.03544 -15.3317-May-05 -1.0843 -12.08 0.407942 -7.83 1.135569 -7.18 0.463179 -5.63 -2.09486 -15.3718-May-05 -1.21691 -11.94 -1.42682 -7.58 -1.07771 -6.99 1.034555 -5.5 -2.11064 -15.1 19-May-05 2.093359 -11.55 2.303115 -7.47 1.336605 -6.77 0.828136 -5.67 1.553633 -14.7120-May-05 -1.32558 -11.31 -1.74212 -7.27 -0.32407 -6.6 0.027561 -5.52 -0.16086 -14.5423-May-05 0.71036 -10.98 1.590812 -7.11 1.050822 -6.41 1.37522 -5.56 0.198951 -14.0824-May-05 2.539569 -10.64 -0.54945 -6.97 0.177093 -6.28 0.836898 -5.37 0.304135 -13.6125-May-05 -0.66458 -10.68 -0.17743 -6.81 -0.57958 -6.08 1.95302 -5.45 -0.31747 -13.2 26-May-05 -0.39219 -10.36 0.059088 -6.6 -0.49812 -6 1.064408 -5.65 -1.15103 -12.7927-May-05 3.204334 -10.05 0.372393 -6.43 0.437699 -5.83 -0.11759 -5.53 -0.02634 -12.4330-May-05 -1.97587 -10.02 -1.86589 -6.23 -1.3581 -5.65 -1.79331 -5.7 -3.21359 -12.0531-May-05 0.452973 -9.96 0.055124 -6.41 0.320771 -5.51 0.396259 -5.6 -1.63302 -12.071-Jun-05 0.50636 -9.84 1.505558 -6.21 0.105951 -5.35 -0.24872 -5.55 0.403107 -11.752-Jun-05 -1.35983 -9.68 -0.3511 -6.24 -1.06528 -5.22 -0.63493 -5.54 0.072528 -11.443-Jun-05 0.426609 -9.42 -0.70226 -6.27 1.700265 -5.19 0.024362 -5.41 3.55232 -11.064-Jun-05 -0.27352 -9.22 1.033763 -6.09 0.62323 -5.99 0.896369 -5.31 -0.45085 -11.016-Jun-05 2.924675 -8.95 0.127065 -5.98 1.633768 -5.82 1.958447 -5.17 1.512576 -10.647-Jun-05 1.515345 -9.28 1.455775 -5.85 1.595573 -5.77 0.263063 -5.49 0.902435 -10.488-Jun-05 4.534664 -9.49 3.010035 -6.23 2.152086 -6.38 1.039312 -5.35 1.74343 -10.249-Jun-05 0.311311 -9.62 -1.07568 -6.8 -1.23093 -6.22 -0.21162 -5.21 -2.31462 -9.93

10-Jun-05 -0.72118 -9.35 0.351041 -6.71 0.006468 -6.09 -0.19627 -5.04 -0.40869 -9.84



13-Jun-05 -2.07438 -9.69 1.071448 -6.61 -1.26023 -6.07 -1.17231 -5.03 -0.60535 -9.54 14-Jun-05 2.274342 -9.43 2.946618 -7.2 1.418515 -5.95 0.763925 -4.87 0.916054 -9.23 15-Jun-05 -0.72889 -9.17 0.47673 -7.31 0.074856 -5.81 0.730212 -4.76 -0.91795 -8.94 16-Jun-05 -2.87823 -9.01 -2.5345 -7.1 -1.79759 -5.63 -0.72199 -4.63 -1.09249 -8.71 17-Jun-05 -1.31551 -9.02 -0.27845 -7.71 -1.09195 -5.63 -2.39012 -4.63 -1.54494 -8.45 20-Jun-05 -2.77807 -8.77 -2.18636 -7.46 -2.31866 -5.45 -1.38301 -4.47 -0.65077 -8.4 21-Jun-05 -0.24579 -8.96 0.493729 -7.63 0.30099 -6.16 0.982911 -4.55 2.66632 -8.21 22-Jun-05 -1.98632 -8.68 1.735599 -7.93 -0.21062 -6.01 0.334003 -4.56 -1.72923 -8.93 23-Jun-05 0.37175 -9.22 -1.20856 -7.7 0.693505 -5.86 0.64606 -4.45 -0.65203 -9.18 24-Jun-05 0.587333 -10.2 0.459898 -7.48 0.418384 -6.04 1.404792 -5.18 0.687968 -8.89 27-Jun-05 -0.21943 -10.07 -0.00176 -7.24 -0.41424 -5.88 -0.73297 -5.04 0.038114 -8.83 28-Jun-05 0.858448 -9.74 0.613232 -7.02 -1.18016 -5.74 -0.98846 -4.99 -1.36798 -8.74 29-Jun-05 -0.04564 -9.45 -0.71879 -6.8 -0.28348 -5.68 -0.47685 -5 -0.5517 -8.58 30-Jun-05 1.982282 -9.33 1.477699 -6.59 0.087399 -5.59 2.202216 -5.04 0.531095 -8.32 1-Jul-05 3.782658 -9.64 0.344584 -6.64 1.292609 -5.48 3.002223 -5.04 0.109063 -8.04 4-Jul-05 -0.04215 -9.99 0.320307 -6.51 1.049102 -5.47 1.49007 -5.78 1.244516 -7.79 5-Jul-05 -1.76256 -9.76 1.512841 -6.52 -0.59491 -5.45 -0.33287 -5.66 -0.54982 -7.66 6-Jul-05 1.610745 -9.86 0.364334 -6.33 0.280632 -5.36 0.576295 -5.55 7.272527 -7.44 7-Jul-05 2.08169 -10.26 -1.3215 -6.12 1.19789 -5.23 0.531486 -5.75 0.197853 -11.838-Jul-05 -0.95039 -9.97 -0.93651 -6.3 -0.35552 -5.09 -0.23682 -5.73 0.961948 -12.6411-Jul-05 1.143241 -9.8 5.202996 -6.1 0.266162 -4.94 0.375802 -5.62 1.502103 -13.1712-Jul-05 2.413925 -9.48 3.701818 -8.27 0.184982 -4.8 -0.37645 -5.45 0.368112 -12.8213-Jul-05 3.324305 -9.61 -0.37405 -8.59 1.700164 -4.68 1.541256 -5.31 -0.32448 -12.6114-Jul-05 -2.10728 -9.41 -2.49441 -8.34 -1.10529 -4.68 -1.23003 -5.26 0.070764 -12.2215-Jul-05 2.305748 -9.18 -2.48521 -8.83 -0.2421 -4.82 -0.26868 -5.36 -0.84471 -11.8218-Jul-05 3.593949 -9.48 1.278124 -8.61 0.844999 -4.79 0.262109 -5.25 2.996001 -11.4319-Jul-05 0.981267 -9.79 -0.68739 -8.35 0.545917 -4.7 0.502972 -5.09 2.395534 -11.5720-Jul-05 1.594756 -9.52 0.220161 -8.1 1.331544 -4.55 0.899422 -4.97 -0.37089 -11.2621-Jul-05 -3.68911 -9.38 -0.85767 -7.86 -1.37209 -4.57 -1.6255 -4.85 -1.91166 -10.9322-Jul-05 0.565957 -9.43 2.981518 -7.61 1.799384 -4.63 -0.03672 -5.04 1.648189 -10.7325-Jul-05 4.602566 -9.81 6.286176 -8.07 3.219031 -5.01 2.747835 -5.1 0.448068 -10.9926-Jul-05 4.631983 -9.95 4.509819 -10.82 1.870523 -6.09 1.264146 -5.62 -2.8141 -10.8 27-Jul-05 4.329077 -11.81 2.344599 -10.89 0.254114 -5.91 2.208218 -5.53 -1.18609 -10.5929-Jul-05 4.345396 -11.59 5.022271 -11.06 -0.26923 -5.81 4.619361 -6.03 -0.67011 -10.311-Aug-05 1.003429 -11.79 -1.65423 -10.77 -1.32002 -5.92 -1.10468 -6.49 -0.08578 -10.1 2-Aug-05 0.945222 -11.51 -1.3611 -10.44 1.51217 -5.73 1.297214 -6.4 1.762197 -10 3-Aug-05 -1.38768 -11.23 -0.53361 -10.59 0.630263 -6.14 1.512529 -6.38 -0.91979 -9.67 4-Aug-05 -1.58759 -10.93 -2.0335 -10.27 -0.85381 -6.23 -0.41728 -6.24 0.40946 -9.48 5-Aug-05 1.609272 -10.58 -0.86026 -9.93 0.62432 -6.08 -0.11419 -6.05 0.443111 -9.24 8-Aug-05 -2.52411 -10.23 -3.5823 -9.92 -4.02929 -5.91 -2.39176 -5.87 5.942846 -8.96 9-Aug-05 -1.51916 -10.43 -1.17305 -10.46 -2.72119 -7.28 -1.61248 -6.45 6.742698 -11.42

10-Aug-05 1.092834 -10.09 1.393745 -10.15 2.087878 -7.08 2.210413 -6.27 9.656272 -11.8511-Aug-05 1.560538 -9.98 2.624623 -10.05 1.888507 -7.37 2.670287 -6.98 5.136633 -16.9812-Aug-05 -0.57361 -9.67 2.004743 -10.03 -0.48567 -7.29 -0.41595 -6.86 -7.08546 -16.4516-Aug-05 -1.25462 -9.38 -2.16757 -9.76 -0.72596 -7.27 -0.51134 -6.7 -0.33605 -16.9817-Aug-05 -2.89203 -9.26 -0.16561 -9.56 -0.23413 -7.07 0.394269 -6.49 -2.53879 -16.5318-Aug-05 -2.41746 -9.33 0.657424 -9.26 0.440081 -6.85 0.711098 -6.39 -1.21335 -16.5619-Aug-05 -2.03978 -9.34 -0.95593 -8.99 -0.87356 -6.63 -1.00619 -6.23 -0.69594 -16.0622-Aug-05 -3.80016 -9.25 -1.0743 -8.87 -1.98043 -6.5 -1.46321 -6.07 -2.44161 -15.5123-Aug-05 -2.78454 -9.62 -2.43837 -8.68 -1.45301 -6.48 -1.69874 -6.12 2.944833 -15.2424-Aug-05 -5.08204 -9.73 -1.07682 -8.67 -0.53375 -6.35 -1.35201 -6.09 -4.81054 -14.8 25-Aug-05 2.49632 -10.13 0.578785 -8.5 1.091996 -6.16 0.320339 -5.92 -1.07857 -14.7 26-Aug-05 3.73207 -10.48 0.167399 -8.26 0.525861 -5.99 0.649366 -5.78 2.218429 -14.2629-Aug-05 -1.01038 -11.05 -2.70239 -8.03 -1.58779 -5.81 -1.53873 -5.62 -1.16879 -13.8430-Aug-05 0.975966 -11.1 1.507612 -8.21 0.820502 -5.68 2.00959 -5.58 1.560661 -13.38



31-Aug-05 -1.69294 -10.76 0.895283 -8.16 0.16655 -5.53 0.785423 -5.74 2.819299 -12.961-Sep-05 0.571938 -10.48 1.280576 -7.95 0.538666 -5.37 1.22377 -5.66 0.78466 -13.172-Sep-05 1.773663 -10.15 -1.26855 -7.69 0.3437 -5.23 0.240973 -5.48 2.620213 -12.815-Sep-05 0.613762 -10.02 0.796107 -7.47 1.877444 -5.2 1.580995 -5.38 -1.17527 -13.096-Sep-05 -1.30376 -9.71 0.922231 -7.26 0.63233 -5.12 1.633088 -5.36 -2.75611 -12.988-Sep-05 0.654255 -9.42 1.738218 -7.05 1.311208 -5.24 0.949085 -5.54 1.09442 -12.769-Sep-05 0.845079 -9.13 2.120397 -7.53 1.461989 -5.12 1.463658 -5.38 1.108017 -12.55

12-Sep-05 4.146159 -8.93 0.919928 -7.42 1.442711 -5.31 1.862856 -5.6 -1.47213 -12.1813-Sep-05 2.964704 -9.73 0.478277 -7.22 0.701571 -5.31 1.18726 -5.56 -0.30406 -11.7814-Sep-05 -2.00841 -9.54 1.526185 -7 -0.45557 -5.16 2.385261 -5.57 -0.65943 -11.4 15-Sep-05 -0.45222 -9.51 0.990955 -6.93 -1.30054 -5.39 0.568705 -5.64 -0.43852 -11.1216-Sep-05 0.035807 -9.23 1.537609 -6.81 0.085761 -5.22 -0.13094 -5.49 0.2069 -10.7719-Sep-05 -1.26774 -8.93 2.230747 -6.94 2.301249 -5.08 1.008309 -5.33 -0.24699 -10.4220-Sep-05 -1.55323 -8.76 3.231087 -6.9 0.748623 -5.33 0.231499 -5.26 5.17186 -10.0821-Sep-05 -2.23346 -8.52 2.039465 -7.95 -0.99188 -5.22 0.010995 -5.08 -3.8835 -10.8122-Sep-05 -3.86453 -8.48 -1.00543 -7.73 -1.72418 -5.19 -0.2401 -4.97 -4.56282 -11.0323-Sep-05 -3.37196 -10.65 -1.48977 -7.51 -0.85257 -5.92 -2.46147 -5.53 -0.97606 -12.8926-Sep-05 3.486926 -10.31 2.464958 -7.28 2.185327 -5.86 2.163586 -5.37 5.387298 -12.7527-Sep-05 2.588036 -10.52 1.154621 -7.06 0.793016 -5.97 1.9496 -5.73 1.247359 -13.5228-Sep-05 -0.61228 -10.59 1.822744 -7.2 0.711078 -5.8 0.827102 -5.71 -1.80414 -13.1729-Sep-05 -0.90685 -10.33 0.126965 -7.12 -0.07331 -5.82 0.738659 -5.6 3.198374 -12.7630-Sep-05 0.980351 -10.01 -0.15131 -6.91 0.638688 -5.68 -0.90679 -5.45 -4.08252 -12.543-Oct-05 4.657078 -9.91 1.048267 -6.71 2.399039 -5.75 1.604631 -5.3 2.635894 -12.274-Oct-05 1.678567 -9.8 -1.62117 -6.63 0.727383 -5.74 0.733871 -5.19 3.950504 -12 5-Oct-05 1.554499 -10.64 -3.22854 -6.46 -0.65463 -5.55 -0.39488 -5.19 -1.90307 -12.366-Oct-05 -3.83277 -10.67 -6.16329 -7.67 -2.23307 -5.45 -1.78737 -5.16 -1.62482 -12.367-Oct-05 -2.79202 -10.99 -1.49426 -8.72 -2.13845 -5.86 -1.47835 -5.41 -0.66156 -12 10-Oct-05 -1.74093 -10.71 0.899498 -8.48 0.044322 -5.69 -0.92635 -5.32 -0.59364 -11.6611-Oct-05 2.434595 -10.65 -0.95351 -8.23 1.750176 -5.64 0.967575 -5.31 -2.35103 -11.3513-Oct-05 -0.1878 -11.7 1.176473 -8.06 0.885076 -6.45 1.650633 -6.14 0.803494 -10.9914-Oct-05 -4.72487 -12.26 -4.34486 -8.13 -4.35189 -6.85 -2.29618 -6.1 -3.27128 -10.6617-Oct-05 -2.33202 -12.22 -2.58512 -8.57 -0.02278 -6.99 0.257276 -6.03 -5.11381 -10.8418-Oct-05 -0.89269 -11.92 0.572884 -8.37 1.1448 -6.83 0.73471 -5.98 -0.36435 -11.5619-Oct-05 -4.19073 -11.7 -2.4863 -8.15 -2.73116 -6.66 -2.58934 -5.91 -3.22602 -11.1720-Oct-05 -2.63742 -12.29 2.653537 -7.9 -3.30407 -6.86 -2.2754 -6.16 -2.20176 -11.1621-Oct-05 -3.69497 -12.11 -0.83579 -7.64 -3.72969 -7.83 -0.32821 -6.34 -5.71159 -11.5624-Oct-05 2.532257 -11.75 -0.72853 -7.59 0.488285 -7.57 0.060262 -6.43 3.520579 -11.2825-Oct-05 1.741241 -11.36 0.992637 -7.52 0.783483 -7.86 0.408586 -6.64 0.193404 -11.0626-Oct-05 0.527792 -11.23 1.007104 -7.37 0.797496 -8.21 0.473164 -6.78 0.084144 -10.7227-Oct-05 -4.69391 -10.88 -3.57698 -7.23 -1.45265 -7.94 -3.49332 -6.59 -4.54392 -10.4528-Oct-05 -0.70794 -12.19 -1.89151 -9.03 -4.38407 -7.78 -4.19503 -8.53 -1.85252 -10.8931-Oct-05 3.641433 -11.91 2.488399 -8.81 4.224138 -9.2 0.866238 -8.57 -0.83151 -10.6 1-Nov-05 2.634493 -12.35 1.634292 -8.86 3.03843 -11.74 1.943132 -8.88 2.431313 -10.312-Nov-05 -0.32975 -11.99 -0.12275 -8.6 0.046085 -11.37 -1.77786 -8.6 0.358138 -10.067-Nov-05 1.536184 -11.67 0.07471 -8.34 1.617279 -11.19 1.054446 -8.39 3.791349 -9.82 8-Nov-05 3.734284 -11.29 0.689377 -8.08 0.411135 -10.86 0.493096 -8.13 0.859533 -9.92 9-Nov-05 0.236387 -12.13 0.624087 -7.88 -0.2852 -10.49 0.206602 -7.86 3.199726 -9.6

10-Nov-05 -0.50083 -11.83 -0.65448 -7.64 0.725591 -10.18 1.114288 -7.75 1.346233 -9.91 11-Nov-05 1.66066 -11.47 1.47852 -7.39 0.584324 -9.86 1.28084 -7.5 -0.95731 -9.6 14-Nov-05 0.594349 -11.26 2.460228 -7.45 0.836439 -9.74 1.775882 -7.62 0.445474 -9.32 16-Nov-05 3.469658 -10.96 1.552229 -7.49 0.914623 -9.45 1.479767 -7.48 3.741625 -9.04 17-Nov-05 -1.59675 -10.86 1.242292 -7.32 0.695665 -9.15 1.124945 -7.38 -0.628 -9.29 18-Nov-05 -1.27505 -10.64 0.421742 -7.39 1.598341 -9.06 1.607652 -7.3 -0.43893 -9.03 21-Nov-05 -3.2963 -10.54 -2.62799 -7.26 -0.91716 -8.8 -1.59147 -7.06 -0.17617 -8.75 22-Nov-05 -2.06342 -10.55 -0.95675 -7.55 -1.97533 -8.52 -1.52844 -7.06 3.425013 -8.51



23-Nov-05 0.698177 -10.28 0.699841 -7.33 -0.31528 -8.85 -0.04358 -7.07 -0.89775 -8.68 24-Nov-05 2.228152 -10.08 1.013853 -7.23 2.005685 -8.72 1.713933 -7.19 -0.37345 -8.46 25-Nov-05 1.535076 -9.81 2.163627 -7.23 0.950135 -8.53 0.137466 -6.96 0.81289 -8.19 26-Nov-05 1.771123 -9.56 -0.45111 -7.05 1.21739 -8.39 0.997553 -6.76 -0.89246 -7.94 28-Nov-05 -0.66375 -9.45 -0.09532 -6.87 1.201815 -8.13 1.386379 -6.56 0.316681 -7.71 29-Nov-05 -2.86058 -9.33 -0.69674 -6.67 -1.19151 -8.04 -0.18983 -6.75 -1.36639 -7.46 30-Nov-05 0.083877 -9.3 1.345605 -6.45 0.325808 -7.83 -1.28042 -6.77 0.08744 -7.38 1-Dec-05 -2.63011 -9.1 -0.71505 -6.27 -2.07258 -7.65 -0.89254 -6.83 -0.31678 -7.2 2-Dec-05 2.437019 -8.83 1.57685 -6.1 0.157118 -7.43 1.868617 -6.83 0.56572 -7.13 5-Dec-05 -0.84427 -8.63 -2.11342 -5.93 -1.44993 -7.41 -2.13156 -6.63 -1.56293 -6.91 6-Dec-05 -1.76889 -8.37 -1.35679 -6.07 -1.3141 -7.17 -1.50753 -6.65 -0.66511 -6.85 7-Dec-05 -0.4085 -8.27 1.131572 -5.89 0.568513 -6.99 -0.13416 -6.57 -1.25439 -6.64 8-Dec-05 0.179749 -8.02 0.728198 -6.06 0.190367 -6.93 -0.31123 -6.4 -0.17164 -6.65 9-Dec-05 0.957488 -7.75 1.162575 -5.88 1.454983 -6.7 1.341166 -6.19 0.246807 -6.45

12-Dec-05 3.429601 -7.54 2.253018 -5.88 0.750871 -6.54 1.348253 -6.13 -0.68166 -6.26 13-Dec-05 5.487505 -8.23 1.018313 -6.02 1.627457 -6.4 1.233534 -6.04 1.647815 -6.09 14-Dec-05 2.573484 -9.94 0.879739 -5.83 4.235219 -6.35 1.423339 -6.07 1.242372 -5.9 15-Dec-05 -1.58753 -9.77 -0.67784 -5.83 -2.62581 -6.92 -2.10556 -5.87 -0.30127 -6.08 16-Dec-05 -1.03076 -11.03 1.698281 -5.83 1.552512 -7.46 -0.39266 -6.51 -1.811 -5.99 19-Dec-05 4.674665 -11.26 0.490563 -6.79 2.631578 -8.24 2.662766 -6.75 -0.05065 -5.8 20-Dec-05 2.163142 -11.88 0.042955 -6.59 -1.2483 -8.13 0.111395 -6.84 -0.95676 -5.7 21-Dec-05 0.145652 -11.62 0.381674 -6.55 -1.00459 -8.04 -1.82362 -6.7 -0.08393 -5.51 22-Dec-05 -1.58937 -11.56 -1.11554 -6.33 -0.71782 -7.93 -0.70873 -6.91 0.190954 -5.33 23-Dec-05 -3.28722 -11.23 0.999127 -6.12 0.144372 -7.77 -1.0971 -6.7 -1.48606 -5.18 26-Dec-05 -5.19274 -11.48 -2.98537 -6.05 -2.04194 -7.61 -2.97015 -6.74 -4.17402 -5.15 27-Dec-05 1.483271 -11.94 1.576898 -6.77 1.324897 -7.54 0.757555 -6.96 0.22086 -5.97 28-Dec-05 1.21465 -12.3 1.424726 -7.19 1.184145 -7.69 1.949378 -7.11 0.554104 -5.84 29-Dec-05 -0.41339 -12.1 -0.65051 -6.96 -0.1779 -7.46 -0.22832 -6.91 0.396263 -5.66 30-Dec-05 3.255239 -11.79 1.239173 -6.74 1.076195 -7.27 0.771301 -6.72 4.268253 -5.63 2-Jan-06 1.840408 -12.27 2.684963 -6.74 1.636008 -7.34 0.665604 -6.71 1.748949 -6.76 3-Jan-06 -0.17493 -11.94 0.465866 -6.76 1.068985 -7.18 0.157733 -6.52 2.741512 -6.61 4-Jan-06 3.345145 -11.57 1.807286 -6.7 1.161131 -6.95 0.855172 -6.37 0.910264 -7.03 5-Jan-06 6.298439 -11.93 -1.35926 -6.57 1.950334 -7.04 1.676036 -6.22 11.52778 -6.8 6-Jan-06 -0.62802 -13.22 -0.46497 -6.51 -0.37663 -7.04 0.687753 -6.42 2.08752 -14.889-Jan-06 -2.20699 -13.17 -1.41219 -6.33 -1.14718 -6.87 -1.02459 -6.23 -5.0717 -14.78

10-Jan-06 1.358368 -12.8 -0.89304 -6.26 -0.73096 -6.83 -1.05071 -6.18 2.538019 -14.4912-Jan-06 -1.52609 -12.38 -1.52006 -6.15 -1.50877 -6.75 0.233911 -6.17 -2.10926 -14.1 13-Jan-06 -0.33895 -12.02 1.190766 -6.08 -0.64939 -6.62 0.517217 -6.34 -1.74976 -13.7216-Jan-06 -2.91964 -11.63 -2.34502 -5.98 -1.79642 -6.44 -0.73914 -6.22 0.738568 -13.3917-Jan-06 -1.64337 -11.49 -0.1235 -6.03 0.051553 -6.35 -0.62129 -6.04 -2.31613 -12.9818-Jan-06 -4.99918 -11.51 -3.02874 -6 -2.39222 -6.16 -2.63447 -5.94 -1.91004 -12.8419-Jan-06 3.154926 -11.38 2.280737 -5.85 0.117843 -6.52 1.489211 -5.94 1.752014 -12.4720-Jan-06 0.537465 -11.4 1.621219 -5.92 0.491652 -6.39 0.489292 -5.94 0.287296 -12.3923-Jan-06 2.788267 -11.05 -0.78188 -5.93 -1.19821 -6.19 -0.45405 -5.76 -0.9936 -12.0124-Jan-06 0.838247 -11.12 0.081866 -5.92 0.932259 -6.06 0.15073 -5.6 -0.20327 -11.6725-Jan-06 -3.8583 -10.78 3.524316 -5.74 -0.24869 -6.02 -1.45116 -5.44 -2.18134 -11.3 27-Jan-06 3.885923 -11.07 2.792733 -6.65 2.450944 -5.92 1.815117 -5.52 2.057681 -11.1930-Jan-06 -1.42307 -12.44 0.410021 -7.25 -0.3895 -6.76 -2.48397 -6.04 1.026507 -11.3131-Jan-06 0.4281 -12.34 -0.46772 -7.06 1.408668 -6.79 -0.2888 -6.55 -1.23954 -10.951-Feb-06 -3.01759 -11.93 -2.09276 -6.89 -2.04731 -6.81 -0.90055 -6.34 -0.39958 -10.682-Feb-06 -2.68619 -12.05 -1.74828 -7.25 -0.78493 -7.07 -1.31492 -6.4 -3.24137 -10.513-Feb-06 -2.40405 -11.88 -2.98382 -7.2 -0.56071 -6.84 -0.10188 -6.21 -0.36352 -10.256-Feb-06 0.018898 -11.93 5.971777 -7.13 -0.63976 -6.66 0.054067 -6.06 3.370127 -9.93 7-Feb-06 5.496321 -11.67 2.942723 -8.99 0.056393 -6.49 1.019005 -5.93 0.420889 -10.038-Feb-06 -0.77032 -12.7 -0.51515 -9.22 -0.52818 -6.3 -0.03028 -5.85 0.650258 -9.71



10-Feb-06 3.409944 -12.35 -2.26009 -9.04 0.707952 -6.12 0.921955 -5.66 -0.34356 -9.51 13-Feb-06 2.814958 -12.76 0.686866 -9.04 0.791117 -6.02 0.268376 -5.47 0.018952 -9.22 14-Feb-06 1.56943 -12.39 -1.34388 -8.78 -0.56318 -5.84 -0.97682 -5.31 -1.43766 -8.95 15-Feb-06 -2.96887 -12.07 -0.25935 -8.75 -2.07598 -5.76 -1.04533 -5.38 -0.12267 -8.87 16-Feb-06 3.659868 -12.5 -0.41188 -8.49 -0.17179 -5.72 0.547398 -5.22 0.47329 -8.69 17-Feb-06 -1.36741 -14.07 -1.10333 -8.23 -1.87733 -5.55 -1.0862 -5.08 -0.18122 -8.41 20-Feb-06 -4.66985 -15.01 -1.15966 -8.14 -1.53289 -6.01 -0.12308 -5.05 -1.16273 -8.16 21-Feb-06 1.690362 -14.56 1.73171 -7.93 1.518994 -5.96 0.907598 -4.95 0.680299 -7.98 22-Feb-06 -1.4318 -14.09 -0.56458 -7.68 -0.38661 -5.76 0.113542 -4.81 -0.50146 -7.8 23-Feb-06 -2.34381 -13.75 0.313299 -7.42 -0.87146 -5.59 -1.62714 -4.65 0.422191 -7.65 24-Feb-06 5.523661 -13.37 -0.70199 -7.26 2.557808 -5.45 1.663727 -4.78 -0.66881 -7.5 27-Feb-06 1.970188 -14.32 1.07824 -7.07 3.234762 -6.28 1.770439 -5.23 -0.3912 -7.4 28-Feb-06 -0.88453 -13.86 2.157417 -6.85 -0.86372 -6.52 -0.06321 -5.31 -1.26215 -7.17 1-Mar-06 -0.92301 -13.52 0.716889 -7.18 -1.50801 -6.81 -0.67383 -5.33 -0.51283 -7.04 2-Mar-06 2.942694 -13.07 1.542576 -6.95 2.041461 -6.6 1.870035 -5.16 -0.11907 -6.81 3-Mar-06 2.403247 -12.95 -1.14453 -6.76 -0.34352 -6.65 0.427267 -5.19 -1.35487 -6.59 6-Mar-06 -2.06477 -12.55 -0.14317 -6.67 0.345127 -6.46 0.02026 -5.01 -1.23183 -6.42 7-Mar-06 -2.23182 -12.25 -1.99967 -6.45 -0.52314 -6.31 -0.2366 -4.87 -1.88947 -6.49 8-Mar-06 -1.16881 -11.93 -1.31107 -6.53 0.128701 -6.13 0.593002 -4.78 -1.16877 -6.5 9-Mar-06 -3.46373 -11.83 -0.51424 -6.49 -0.45261 -5.95 -1.13889 -4.87 -2.78328 -6.88 10-Mar-06 2.842111 -11.58 3.234562 -6.48 2.883356 -5.78 3.051563 -5.02 1.846467 -6.75 13-Mar-06 0.962302 -11.46 -0.24881 -6.53 0.151475 -6.2 1.045606 -5.06 1.31137 -7.07 14-Mar-06 0.733672 -11.12 0.211664 -6.48 1.120392 -6.06 2.898464 -4.96 -0.08327 -6.88 16-Mar-06 -1.02156 -10.76 -0.40585 -6.27 -1.4619 -5.93 0.689832 -5.38 0.072862 -6.66 17-Mar-06 -0.18624 -10.42 0.13521 -6.11 1.693 -5.82 0.406135 -5.28 -0.36015 -6.44 20-Mar-06 -1.44372 -10.11 -0.4699 -5.94 0.389839 -6.01 0.035117 -5.12 -0.84317 -6.23 21-Mar-06 0.208125 -10.42 -0.48482 -6.11 0.023063 -5.82 0.899613 -5.28 -0.2294 -6.44 22-Mar-06 -1.11221 -9.53 -1.67823 -5.71 -2.28018 -5.71 -1.9289 -4.87 0.957718 -6.08 23-Mar-06 0.737404 -9.25 0.225161 -5.6 0.092645 -5.64 1.130563 -5.06 -1.28836 -6.01 24-Mar-06 1.224035 -8.97 0.350715 -5.44 0.996212 -5.53 1.58131 -5.47 -1.27703 -5.84 27-Mar-06 2.543212 -8.81 0.697245 -5.34 2.343928 -5.84 0.593051 -5.33 -1.104 -5.72 28-Mar-06 -1.52177 -8.76 -1.00807 -5.19 -0.10129 -5.97 -0.5799 -5.18 -0.996 -5.56 29-Mar-06 -1.07513 -8.73 -0.17179 -5.1 -0.83691 -5.84 -0.16158 -5.03 0.687156 -5.41 30-Mar-06 -0.3929 -8.46 -0.00881 -5.01 0.38456 -5.66 -1.32263 -4.87 -0.53186 -5.27 31-Mar-06 0.23814 -8.29 -0.36547 -5.08 1.531542 -5.59 0.041551 -5.01 1.046273 -5.12 3-Apr-06 -0.34125 -8.18 2.033094 -4.94 -2.14306 -5.56 0.468975 -4.87 1.374312 -4.97 4-Apr-06 0.766477 -7.97 2.443133 -5.29 0.095531 -5.45 2.045691 -4.91 0.497756 -5.13 5-Apr-06 2.825959 -7.72 0.223564 -5.31 0.911995 -5.32 0.73204 -4.91 1.841268 -5.04 7-Apr-06 -3.7089 -8.04 -1.68278 -5.28 -1.20582 -5.15 -0.9231 -4.85 -0.88703 -5.03 10-Apr-06 -1.28381 -8.97 -2.58378 -6.06 -3.17342 -5.4 -3.07286 -5.29 -2.30481 -5.2 12-Apr-06 -1.21136 -8.67 -0.70726 -5.88 -0.67551 -5.3 -1.53811 -5.3 0.271338 -5.13 13-Apr-06 -4.36945 -9.21 -3.60524 -6.12 -1.48597 -5.38 -3.2226 -5.72 -2.20456 -4.97 17-Apr-06 1.51132 -8.97 0.751158 -6.66 -1.56937 -5.46 0.295008 -5.85 -0.01846 -5.16 18-Apr-06 2.198939 -8.76 2.478136 -7 2.288331 -5.29 2.66519 -5.83 0.657759 -5.01 19-Apr-06 -0.81601 -8.5 0.19047 -6.83 -0.68901 -5.27 -0.20611 -5.76 -1.66361 -4.87 20-Apr-06 -0.71705 -8.24 -0.42278 -6.63 -0.43281 -5.27 -0.85301 -5.6 -0.08225 -4.91 21-Apr-06 -1.14371 -7.97 0.512216 -6.41 -0.26266 -5.21 -1.37191 -5.44 -1.03912 -4.8 24-Apr-06 -0.44524 -7.79 -2.20202 -6.21 -0.59592 -5.06 -1.00726 -5.47 -0.1545 -4.72 25-Apr-06 -1.16679 -7.54 -1.85156 -6.95 -2.04762 -4.96 0.122059 -5.33 4.671256 -4.62 26-Apr-06 0.085695 -7.4 0.071358 -6.89 -0.7525 -5.67 -1.16711 -5.33 -1.75719 -5.1 27-Apr-06 -1.18351 -7.24 0.679392 -6.77 -0.12072 -5.53 -0.3722 -5.22 -0.5085 -4.94 28-Apr-06 0.128863 -7.41 -0.95197 -6.55 -1.75908 -5.49 -2.60156 -5.36 1.839992 -4.8 29-Apr-06 1.986722 -7.2 4.28043 -6.55 2.776449 -5.34 3.027385 -5.26 5.080754 -5.66 2-May-06 5.319555 -7.25 4.281045 -6.74 3.547727 -6.02 2.668649 -5.9 4.291622 -6.27 3-May-06 4.894415 -9.97 3.336726 -7.92 4.142061 -6.82 2.51392 -6.2 1.061438 -6.63



4-May-06 4.500816 -10.1 2.956532 -8.61 1.390933 -7.67 0.786134 -6.43 -2.47985 -6.49 5-May-06 2.76186 -10.71 -1.34889 -8.47 -1.87156 -7.46 -0.32438 -6.23 0.064078 -6.67 8-May-06 2.020258 -10.95 -1.45691 -8.74 0.288284 -7.34 -0.09729 -6.07 2.964508 -6.62 9-May-06 -0.40135 -10.61 -0.17516 -8.46 1.743953 -7.1 0.793666 -5.87 -0.76022 -6.53 10-May-06 1.717373 -10.27 3.753576 -8.22 3.55342 -7.31 3.295953 -5.96 3.196705 -6.34 11-May-06 0.69492 -10.03 0.566498 -8.53 -1.66238 -7.43 -1.1191 -6.22 1.255739 -6.7 12-May-06 -4.46065 -9.71 -3.07011 -8.27 -2.48572 -7.67 -2.25539 -6.48 -0.86991 -6.52 15-May-06 -5.16083 -10.59 -2.96516 -8.83 0.210823 -7.44 -2.11222 -6.48 -1.92239 -6.39 16-May-06 -3.49808 -11.29 -2.70321 -8.9 -2.82284 -7.2 -3.46787 -7.09 -3.02252 -7.21 17-May-06 4.942233 -10.94 2.9352 -8.63 3.743602 -7.61 5.732963 -6.88 3.229712 -7.11 18-May-06 -3.20108 -11.47 -4.29215 -8.45 -3.48427 -9.4 -2.98864 -9.13 -3.87347 -7.04 19-May-06 -2.75644 -13.77 -4.5414 -9.51 -4.55665 -11.59 -4.92072 -12.02 -3.19799 -7.98 22-May-06 -11.1766 -13.65 -4.94363 -11.09 -4.22063 -12.33 -5.64092 -12.26 -7.70304 -8.84 23-May-06 2.029823 -15 1.800116 -10.72 -2.21159 -12.17 2.560662 -11.93 2.321248 -10.2424-May-06 2.935184 -15.65 5.620211 -11.11 3.944293 -11.8 1.909854 -11.63 5.087812 -10.8725-May-06 -3.81049 -15.83 -4.96295 -10.84 -0.33416 -11.43 -2.92737 -11.25 -0.04276 -10.9626-May-06 2.666184 -15.33 1.539312 -10.62 2.286506 -11.39 2.880188 -10.91 3.567663 -10.7 29-May-06 -0.83236 -15.04 -0.0545 -10.3 -0.93016 -11.02 -0.36441 -10.57 -1.28029 -10.5630-May-06 -1.69858 -14.54 0.386563 -10.01 -2.30753 -10.68 -1.25093 -10.26 -1.40325 -10.5431-May-06 -5.69252 -14.2 -5.66338 -9.71 -3.97369 -10.83 -4.496 -10.19 -4.34805 -10.291-Jun-06 0.801635 -14.63 0.351037 -10.85 -0.92302 -10.73 0.144364 -10.3 1.42423 -9.98 2-Jun-06 -1.69101 -14.15 0.878168 -10.51 0.404849 -10.65 -0.28484 -10.09 -1.3925 -10 5-Jun-06 0.972148 -13.69 -0.26902 -10.59 -0.82037 -10.83 -0.18213 -10.03 0.642657 -10.056-Jun-06 -0.92053 -13.29 -0.60621 -10.53 -2.45469 -11.35 0.69153 -10.09 -3.59258 -10.037-Jun-06 -3.21155 -13.06 -1.46493 -10.22 -1.65592 -10.98 -2.4194 -10.21 -2.33371 -9.96 8-Jun-06 -10.6688 -14.45 -4.12422 -10.02 -3.89718 -11.09 -4.21966 -10.58 -7.13107 -10.019-Jun-06 9.54398 -16.22 -2.77013 -11.5 -2.57936 -11.34 -0.58859 -11.17 3.048249 -10.4

12-Jun-06 -0.5597 -20.03 -3.0551 -11.13 -1.67228 -11 -1.12538 -10.84 -0.10864 -10.1413-Jun-06 -9.14265 -20.78 -6.57888 -11.89 -9.64344 -11.64 -3.4248 -10.93 -2.38355 -9.87 14-Jun-06 1.438267 -20.51 2.222208 -11.87 -1.37436 -13.81 1.811753 -10.58 0.409254 -9.59 15-Jun-06 -0.3171 -20.13 2.987713 -11.6 -0.45951 -13.58 1.534972 -10.29 0.62137 -9.41 16-Jun-06 3.580201 -19.93 6.19741 -12.88 4.334621 -13.37 2.896883 -10.66 1.556412 -9.17 19-Jun-06 -1.50659 -19.26 -1.19668 -13.28 0.014887 -13.5 -4.90981 -10.32 -1.79898 -8.89 20-Jun-06 -0.03877 -18.76 -2.53716 -12.88 -4.05185 -13.09 -0.3646 -10 0.236988 -8.6 21-Jun-06 2.235682 -18.13 1.547857 -12.62 0.484411 -13.82 -0.94816 -9.88 0.24144 -8.34 22-Jun-06 4.75685 -17.76 3.486399 -12.21 3.897674 -13.45 3.175139 -9.57 0.605546 -8.08 23-Jun-06 -2.40249 -17.45 -1.66222 -12.27 -1.48649 -14.46 -0.37264 -10.12 -2.1148 -7.83 25-Jun-06 0.031278 -17.07 0.735728 -11.91 -0.58215 -14.33 -0.61092 -9.87 1.262923 -7.57 26-Jun-06 -2.88955 -16.5 -2.22036 -11.55 -1.72852 -13.9 -1.87553 -9.61 -0.94821 -7.31 27-Jun-06 -3.2064 -16.61 -0.94008 -11.58 -1.47677 -13.83 -1.98632 -9.82 -2.56792 -7.38 28-Jun-06 -2.03561 -16.09 -0.01285 -11.3 -0.02992 -13.41 -1.58572 -9.52 -0.3382 -7.25 29-Jun-06 0.122478 -15.76 -1.44133 -11.09 1.016847 -12.96 -0.17736 -9.43 -0.27341 -7.03 30-Jun-06 3.942798 -15.24 1.760573 -10.92 3.242068 -12.55 1.954531 -9.14 0.443811 -7.06 3-Jul-06 -1.56259 -15.5 -0.87808 -10.7 -0.98372 -12.53 0.929089 -9.18 0.193823 -6.91 4-Jul-06 -0.90211 -15.12 0.418166 -10.34 2.857947 -12.14 2.367857 -9.08 -0.81141 -6.73 5-Jul-06 2.088268 -14.8 0.903776 -10.01 2.588826 -12.32 0.402228 -8.93 -0.21843 -6.53 6-Jul-06 0.160409 -14.41 -1.95757 -9.87 -1.71217 -11.93 -0.94546 -8.63 -0.05488 -6.34 7-Jul-06 -1.78481 -13.96 2.292824 -9.62 -1.47679 -11.57 -1.70091 -8.41 0.784791 -6.15 10-Jul-06 -2.28504 -13.81 -1.37402 -9.63 -1.07247 -11.48 -1.7556 -8.79 8.69603 -6.38 11-Jul-06 0.768643 -13.38 -0.38213 -9.4 1.776122 -11.25 0.742446 -8.58 8.191956 -10.4812-Jul-06 -0.96244 -13.03 -0.91722 -9.16 -1.1929 -10.91 0.22547 -8.3 -2.04585 -12.1913-Jul-06 -0.70713 -12.71 1.642748 -8.85 -0.79095 -10.64 0.377743 -8.1 3.447123 -12.1814-Jul-06 -5.69126 -12.54 -1.31645 -8.67 -2.829 -10.38 -0.88143 -7.85 -2.06416 -12.4 17-Jul-06 -4.48364 -12.71 -1.4489 -8.61 -1.54664 -10.06 -1.02218 -7.64 -0.27972 -12.1918-Jul-06 -6.61925 -13.91 -1.49596 -8.5 -2.16578 -10.36 -3.01755 -8.24 -2.82658 -11.83



19-Jul-06 -1.32444 -13.94 -0.2464 -8.28 -0.18172 -10.2 -0.69251 -8.02 -3.79051 -12.1 20-Jul-06 5.584618 -13.73 4.241044 -8.06 4.132588 -9.86 4.017686 -7.91 0.453018 -12.5521-Jul-06 2.277213 -15.22 -1.7181 -9.08 -0.68547 -11.15 -1.35246 -8.93 -2.40124 -12.3924-Jul-06 7.008124 -14.97 5.356063 -8.89 3.796708 -11.01 2.457449 -8.73 2.29069 -12.2125-Jul-06 3.932858 -16.22 4.805947 -10.22 4.632128 -11.42 2.274128 -9 3.010569 -12.1926-Jul-06 4.291705 -15.92 0.697796 -11 0.440419 -11.88 0.343711 -8.76 -2.70382 -11.8227-Jul-06 3.189541 -15.87 0.816224 -10.65 2.799173 -11.52 -0.47955 -8.52 -0.23275 -11.5 28-Jul-06 4.571468 -16.2 -0.19043 -10.32 2.927392 -11.64 5.260766 -8.3 1.110961 -11.1331-Jul-06 1.916201 -15.73 2.905872 -10.01 3.912078 -11.52 3.01767 -8.91 2.458518 -10.911-Aug-06 -3.51895 -15.22 -1.70433 -9.85 -2.66589 -11.44 -0.90264 -8.77 -2.23278 -10.722-Aug-06 5.053056 -14.75 -0.07592 -9.58 1.759121 -11.44 2.010726 -8.49 0.201789 -10.543-Aug-06 3.874765 -14.91 2.104285 -9.26 2.900734 -11.41 1.611561 -8.39 0.684974 -10.2 4-Aug-06 -1.52263 -14.82 -1.08201 -9.1 -3.42741 -11.1 -2.09139 -8.13 3.701908 -9.89 7-Aug-06 -1.23873 -14.53 1.401235 -8.99 -2.29105 -11.46 -1.13367 -8.26 -0.17814 -10.428-Aug-06 2.613436 -14.07 5.094237 -9.35 6.313018 -11.1 2.252426 -8.01 1.002067 -10.119-Aug-06 4.574678 -13.74 1.179455 -10.07 1.706544 -12.8 3.174617 -8.1 0.422646 -9.86

10-Aug-06 3.206569 -14.58 -0.62397 -9.78 3.120456 -12.39 1.152917 -8.6 -0.52238 -9.57 11-Aug-06 0.185235 -14.23 -0.71804 -9.58 1.495889 -12.91 -0.05487 -8.34 0.355539 -9.28 14-Aug-06 0.47088 -13.84 -1.47557 -9.54 -0.09696 -12.64 0.433107 -8.09 0.488615 -9 16-Aug-06 1.03473 -13.47 1.514965 -9.3 2.302449 -12.27 2.795489 -7.92 2.317093 -8.78 17-Aug-06 -1.59091 -13.04 0.671362 -9.26 -0.19999 -12.27 -0.52687 -7.88 1.512906 -8.85 18-Aug-06 -1.69634 -12.68 -0.87444 -8.97 -2.51871 -12.05 -0.83947 -7.67 -0.17716 -8.59 21-Aug-06 5.322304 -12.36 0.507172 -8.68 4.338617 -11.71 0.278586 -7.43 2.607055 -8.31 22-Aug-06 1.037266 -13.99 1.411851 -8.47 2.43195 -12.8 0.704398 -7.22 3.845172 -8.26 23-Aug-06 -2.95266 -13.77 -1.25543 -8.19 -2.53677 -12.41 -1.60673 -7 -0.45114 -9.14 24-Aug-06 0.685423 -13.66 -1.39634 -7.96 1.482376 -12.2 -0.66647 -6.95 -1.77224 -9.43 25-Aug-06 1.924043 -13.71 1.467508 -7.72 3.191348 -12.44 4.527962 -6.84 3.186368 -9.14 28-Aug-06 2.619543 -13.3 -0.81812 -7.46 1.209179 -12.16 0.87305 -7.31 -0.91709 -9.17 29-Aug-06 3.357374 -13.04 1.07217 -7.24 1.77233 -11.81 1.05552 -7.23 -0.89527 -8.98 30-Aug-06 1.64105 -13.22 0.020264 -7.12 0.539704 -11.48 0.22733 -6.99 -1.09912 -8.74 31-Aug-06 -0.9284 -12.82 0.817226 -6.88 1.079247 -11.22 0.804084 -6.82 -1.40715 -8.49 1-Sep-06 0.025208 -12.48 1.324939 -6.68 -0.4835 -10.87 -0.1937 -6.62 -0.78193 -8.31 4-Sep-06 -1.92617 -12.08 1.905225 -6.73 0.32157 -10.53 0.539042 -6.41 0.031388 -8.08 5-Sep-06 0.933129 -11.93 -0.50249 -6.79 0.940205 -10.2 0.912669 -6.2 -2.98621 -7.84 6-Sep-06 0.025953 -11.87 -0.53767 -6.73 -1.1449 -9.93 0.200957 -6.08 0.124167 -8.1 7-Sep-06 -0.59463 -11.52 -1.10634 -6.53 -1.54744 -9.64 -0.78003 -5.91 -0.27348 -7.94 8-Sep-06 -0.0534 -11.18 0.258084 -6.35 0.293323 -9.41 -0.06252 -5.79 0.420827 -7.69

11-Sep-06 -2.59852 -10.86 -1.36832 -6.16 -0.4206 -9.17 -1.13624 -5.64 -1.90886 -7.46 12-Sep-06 -0.5891 -11.43 0.302371 -6.14 2.454259 -8.99 -0.16989 -6.01 0.470059 -7.4 13-Sep-06 7.708783 -11.67 3.443768 -6.06 3.343636 -9.21 3.523055 -5.99 1.880109 -7.25 14-Sep-06 3.046595 -13.07 3.407371 -7.06 0.747936 -9.58 1.473115 -6.78 0.283103 -7.11 15-Sep-06 1.022624 -13.03 0.232931 -7.33 0.416279 -9.28 0.091481 -6.58 -0.59182 -6.88 18-Sep-06 -0.56841 -12.64 -0.09329 -7.11 1.197781 -9.03 1.389244 -6.38 4.821108 -6.67 19-Sep-06 -1.12016 -12.25 0.319925 -6.89 -1.95558 -8.76 -0.34336 -6.27 -0.95857 -7.64 20-Sep-06 -0.40756 -11.89 -0.32527 -6.67 -1.95561 -8.93 -1.25611 -6.2 -3.66796 -8.07 21-Sep-06 0.36448 -11.52 2.364043 -6.51 2.292361 -8.67 1.13955 -6.02 0.412689 -7.87 22-Sep-06 -1.35244 -11.22 -1.03957 -6.52 -0.82068 -8.44 -0.34011 -5.9 2.155519 -7.67 25-Sep-06 -0.32116 -10.88 1.639176 -6.4 0.742396 -8.28 -0.59362 -5.78 -1.7579 -7.76 26-Sep-06 0.14105 -10.57 0.723623 -6.21 1.010955 -8.11 1.396718 -5.63 0.271002 -7.89 27-Sep-06 2.737385 -10.5 3.016649 -6.56 1.819848 -8.03 1.56158 -6.04 0.500055 -7.71 28-Sep-06 5.364628 -10.36 2.262119 -6.5 2.480037 -7.81 1.490629 -5.83 2.772552 -7.47 29-Sep-06 1.208983 -11.6 -0.56334 -6.83 0.845581 -8.34 0.787204 -6.18 -0.35548 -7.64 3-Oct-06 -0.72578 -11.29 -0.038 -6.73 -0.09187 -8.08 0.35387 -5.97 0.926509 -7.39 4-Oct-06 -2.28572 -10.94 -1.0612 -6.52 -0.68837 -7.83 -1.07626 -5.81 -1.70058 -7.18 5-Oct-06 3.450912 -11.1 1.782774 -6.31 2.88634 -7.59 1.734512 -5.83 0.274732 -7.19



6-Oct-06 0.588265 -12.35 -0.2064 -6.27 -0.09778 -7.87 -0.27414 -6.04 0.005325 -7 9-Oct-06 1.145058 -12 -0.64134 -6.1 -0.67458 -7.62 -0.23634 -5.86 1.629219 -6.77 10-Oct-06 -0.10828 -11.64 -0.48869 -5.92 -0.39857 -7.41 -0.05329 -5.69 -0.47765 -6.8 11-Oct-06 -1.91257 -11.32 -0.85342 -5.74 -1.58164 -7.21 -1.67086 -5.56 -1.22366 -6.61 12-Oct-06 -0.87794 -11.05 -0.84734 -5.65 0.334701 -7.06 -0.22901 -5.74 -0.00473 -6.51 13-Oct-06 0.073669 -10.73 1.670628 -5.49 1.0661 -6.94 1.335645 -5.96 1.895031 -6.3 16-Oct-06 -1.60979 -10.51 2.105055 -5.36 -0.59067 -6.74 0.000428 -5.79 4.541596 -6.38 17-Oct-06 0.803626 -10.23 1.127423 -6.1 0.204663 -6.52 0.814149 -5.63 5.770334 -8.18 18-Oct-06 0.687561 -10.06 2.482791 -5.95 -0.50096 -6.3 0.952445 -5.51 -2.0192 -8.27 19-Oct-06 -5.69972 -9.8 0.210703 -6.17 -0.86241 -6.12 -0.39227 -5.4 -0.80256 -8.03 20-Oct-06 0.011743 -10.83 0.231439 -5.98 0.176855 -5.97 0.275706 -5.26 -0.11671 -8.03 21-Oct-06 -0.10381 -10.52 0.008236 -5.79 -1.61923 -5.87 -0.14823 -5.09 -0.86609 -7.83 23-Oct-06 -2.03593 -10.19 -1.92389 -5.62 -2.41081 -5.71 -1.19665 -4.94 -0.71924 -7.57 26-Oct-06 1.100406 -10.23 3.058638 -5.9 0.627715 -5.9 1.617979 -4.97 0.027078 -7.32 27-Oct-06 7.255971 -11.05 1.166378 -7.42 3.176482 -5.79 3.401611 -5.98 0.640231 -7.1 30-Oct-06 2.02218 -11.78 2.419703 -7.17 0.917896 -6.5 0.708812 -6.23 2.5755 -6.93 31-Oct-06 3.205938 -11.44 0.697506 -7.75 -0.51955 -6.35 0.746478 -6.05 -1.49154 -6.9 1-Nov-06 2.812176 -11.72 -0.63355 -7.6 -0.09811 -6.15 0.749841 -5.87 -2.34394 -7.17 2-Nov-06 0.562162 -11.46 0.215996 -7.35 0.488927 -5.98 1.440903 -5.87 -1.42835 -7.07 3-Nov-06 -0.37802 -11.1 -0.46598 -7.13 -0.82596 -5.83 0.188438 -5.76 -1.10691 -6.97 6-Nov-06 0.936504 -10.75 -0.80881 -6.96 0.147851 -5.7 -0.67521 -5.58 -1.23402 -6.78 7-Nov-06 -0.81673 -10.43 0.216225 -6.76 -1.06986 -5.55 -1.09928 -5.53 0.626736 -6.68 8-Nov-06 -1.26257 -10.12 0.530062 -6.56 -1.51822 -5.39 0.985248 -5.38 -0.16284 -6.71 9-Nov-06 -0.01096 -9.8 2.935249 -6.58 1.399546 -5.25 1.277696 -5.59 1.736981 -6.66

10-Nov-06 0.575348 -9.49 3.208255 -6.6 0.519798 -5.2 0.566145 -5.4 -1.44041 -6.66 13-Nov-06 0.005611 -9.22 2.046483 -7.24 0.367421 -5.04 -0.00208 -5.23 -0.51583 -6.61 14-Nov-06 -1.17517 -8.93 1.330643 -7.11 0.094319 -4.92 -0.37545 -5.08 -0.7418 -6.43 15-Nov-06 4.59086 -8.73 2.615941 -7.08 3.290343 -4.79 2.24562 -4.99 0.222652 -6.23 16-Nov-06 5.831586 -10.82 3.322706 -7.27 3.680267 -6.87 4.842604 -6.25 0.827741 -6.07 17-Nov-06 -1.33275 -10.86 -2.53201 -7.06 -2.95223 -6.77 0.699265 -6.87 -1.50066 -5.87 20-Nov-06 -2.4958 -10.55 -3.38283 -6.93 -2.03742 -7.35 -1.56823 -6.67 -2.06245 -5.84 21-Nov-06 2.677697 -10.41 2.098786 -6.93 2.209507 -7.17 1.778895 -6.55 3.40333 -5.66 22-Nov-06 2.12642 -10.2 1.320179 -6.87 0.378861 -6.95 1.659121 -6.55 1.760831 -5.71 23-Nov-06 0.819772 -10.06 -0.51443 -6.71 -0.91923 -6.75 0.370024 -6.43 1.546933 -6.34 24-Nov-06 2.193132 -9.89 -0.33233 -6.49 1.667615 -6.55 0.339731 -6.24 0.207522 -6.16 27-Nov-06 0.855567 -9.64 0.702334 -6.31 -0.16336 -6.4 1.116269 -6.05 0.325292 -6 28-Nov-06 -2.05101 -9.37 -1.97695 -6.21 -2.24492 -6.19 0.57919 -6 -1.30974 -5.83 29-Nov-06 1.38575 -9.34 -0.07705 -6.41 1.535102 -6.27 2.551465 -5.96 2.149892 -5.9 30-Nov-06 -0.32241 -9.14 0.51652 -6.23 0.557717 -6.28 0.269408 -5.78 1.136431 -6.31 1-Dec-06 3.432155 -8.86 1.41145 -6.21 1.648665 -6.08 2.745916 -5.73 3.353457 -6.12 4-Dec-06 0.912981 -9.28 -0.67205 -6.04 2.70715 -6.13 0.786524 -6.33 1.376035 -7.65 5-Dec-06 -0.59873 -7.72 -0.71965 -5.31 0.206251 -5.32 -1.09073 -4.91 2.346815 -5.04 6-Dec-06 -1.11884 -8.74 0.272405 -5.77 -1.60391 -6.72 -0.29598 -6.03 -0.436 -7.28 7-Dec-06 0.14996 -8.49 0.612616 -5.6 -1.60447 -6.97 0.232294 -5.83 -1.07887 -7.06 8-Dec-06 0.234302 -8.24 1.034242 -5.55 1.016482 -6.77 1.105182 -5.69 -0.83918 -6.86

11-Dec-06 -10.7369 -7.98 -6.49365 -5.37 -7.91384 -6.55 -6.6888 -5.53 -3.3382 -6.68 12-Dec-06 -6.59921 -12.53 -2.07957 -8.16 -5.96947 -10.23 -5.0965 -9.29 -3.99726 -7.37 13-Dec-06 -0.75638 -16.2 1.237627 -8.12 1.521398 -10.65 0.208228 -10.24 0.376741 -8.14 14-Dec-06 5.150175 -16.37 4.65966 -8.41 1.48195 -10.54 1.547583 -10.48 3.46989 -8.23 15-Dec-06 5.473298 -17.13 1.445456 -9.19 1.674439 -10.21 1.565421 -10.16 1.577583 -8.16 18-Dec-06 0.045622 -17.05 0.251734 -8.89 -0.59616 -9.97 0.183503 -10.27 0.997556 -7.96 19-Dec-06 -0.13556 -16.62 -0.80177 -8.76 -1.2906 -9.65 -0.40722 -9.94 2.505583 -8.12 20-Dec-06 0.050773 -16.25 -0.42058 -8.71 -0.01771 -9.64 -1.0474 -10.06 0.175315 -7.88 21-Dec-06 -0.87788 -15.71 -1.65751 -8.57 -1.3862 -9.34 -1.71742 -9.79 3.423979 -7.65 22-Dec-06 0.423806 -15.2 0.887393 -8.3 0.372756 -9.13 0.213055 -9.49 1.588465 -8.15



26-Dec-06 0.205846 -14.69 0.686051 -8.05 1.506852 -8.9 1.721924 -9.19 0.30255 -8.18 27-Dec-06 2.022822 -14.25 3.644833 -7.97 3.068224 -8.87 1.753325 -9.2 -0.13704 -7.94 28-Dec-06 2.227806 -13.9 0.799551 -8.02 -0.94175 -8.72 -0.73087 -8.93 -0.16666 -7.79 29-Dec-06 2.744826 -14.34 -0.39082 -7.8 -0.0321 -8.45 -0.37686 -8.71 0.000582 -7.57 2-Jan-07 2.031924 -10.11 -0.01721 -8.79 -0.92173 -6.96 0.565295 -8.1 1.144526 -7.35 3-Jan-07 -0.25103 -13.91 -0.52172 -7.66 1.508906 -8.28 0.815009 -8.48 3.781762 -7.42 4-Jan-07 1.311417 -13.03 0.400545 -7.21 0.206986 -7.82 -0.21114 -8.01 0.710999 -8.17 5-Jan-07 -1.9809 -12.65 1.360707 -7 -1.32569 -7.61 -1.18641 -7.91 1.152229 -8.08 8-Jan-07 -3.04892 -12.5 -0.63849 -7.05 -0.45827 -7.39 -1.76488 -7.68 1.960118 -8.26 9-Jan-07 -2.32775 -12.26 0.318608 -6.85 -1.08434 -7.17 -2.26026 -7.75 1.014442 -8.15

10-Jan-07 -2.97472 -12.51 -1.84807 -6.65 -2.93775 -7.43 -3.69529 -8.05 -1.47974 -7.94 11-Jan-07 0.383994 -12.31 -0.89484 -7.05 -0.88358 -7.35 -0.56505 -8.36 4.846222 -7.98 12-Jan-07 7.175082 -11.77 7.114776 -6.9 5.551693 -7.15 6.180999 -8.13 3.872411 -10.4415-Jan-07 -0.07488 -13.25 1.741334 -10.3 1.46194 -8.83 0.278155 -9.9 0.334299 -10.1216-Jan-07 -1.1635 -12.91 -0.76641 -10.06 -0.08405 -8.58 -0.33004 -9.6 -4.16046 -10.1317-Jan-07 0.165455 -12.52 1.923554 -9.75 0.621606 -8.31 0.397885 -9.35 1.883871 -9.82 18-Jan-07 1.735871 -12.12 0.423407 -9.78 1.168892 -8.16 1.244052 -9.09 1.326145 -9.61 19-Jan-07 -1.50032 -11.83 -0.3705 -9.6 -1.47732 -7.9 -1.29278 -8.83 -1.67881 -9.39 22-Jan-07 0.171305 -11.48 0.254256 -9.39 0.509454 -7.73 0.114908 -8.58 -0.44749 -9.24 23-Jan-07 -2.43236 -11.1 -1.39103 -9.11 -1.32527 -7.67 -2.8146 -8.31 -0.27247 -8.93 24-Jan-07 -1.34443 -11.34 0.642218 -8.9 -0.32904 -7.7 -2.12347 -8.91 -0.54888 -8.68 25-Jan-07 -0.07457 -10.98 1.169573 -8.69 -0.36623 -7.49 0.576401 -8.63 1.620943 -8.41 29-Jan-07 -0.68013 -10.65 -1.82142 -8.56 -0.92971 -7.24 -0.58184 -8.38 1.088678 -8.66 31-Jan-07 -1.46899 -10.32 -1.21781 -8.94 0.708433 -7.16 -1.00926 -8.27 -1.90817 -8.47 1-Feb-07 1.186629 -10.11 -0.43477 -8.79 2.098951 -6.96 3.281928 -8.1 -0.30787 -8.22 2-Feb-07 0.124086 -10.07 0.335196 -8.59 -0.21879 -7.67 0.241236 -9.25 1.022354 -7.97 5-Feb-07 0.055665 -9.79 -0.61307 -8.37 -0.01467 -7.66 0.066032 -9.12 1.294142 -7.72 6-Feb-07 -0.49709 -9.48 1.809907 -8.12 0.545917 -7.46 0.442836 -8.9 0.787121 -7.96 7-Feb-07 -0.58297 -9.25 1.018282 -7.93 -0.71176 -7.24 -0.48653 -8.63 -1.8652 -7.93 8-Feb-07 -0.05114 -8.97 2.080616 -8.03 -0.31661 -7.03 0.854795 -8.38 0.905798 -7.68 9-Feb-07 -2.10841 -8.67 0.08978 -7.93 -1.99545 -6.81 -0.7581 -8.15 -1.16911 -7.43 12-Feb-07 -4.90528 -8.74 -3.38327 -7.68 -2.84102 -6.86 -0.8658 -7.91 -1.16682 -7.29 13-Feb-07 0.155339 -9.48 1.013416 -7.96 -0.40522 -7.12 -0.02456 -7.74 0.002616 -7.09 14-Feb-07 -7.50745 -9.22 -6.50832 -7.77 -7.25037 -7.04 -7.39696 -7.54 -1.45383 -6.9 15-Feb-07 6.064748 -9.92 3.30516 -8.54 2.295408 -7.69 1.689718 -9.27 2.387565 -6.7 19-Feb-07 1.083267 -9.27 3.323792 -8.95 0.208574 -7.51 1.035955 -9.12 -0.85594 -6.54 20-Feb-07 -0.87968 -10.42 0.009947 -9.14 -0.58731 -7.28 -0.78633 -8.85 2.905377 -6.36 21-Feb-07 -2.54598 -10.16 -0.26061 -8.91 -0.17741 -7.06 -1.4509 -8.79 -0.60638 -6.69 22-Feb-07 -3.67398 -9.96 -1.04736 -8.63 -2.80198 -6.84 -1.74009 -8.52 -1.25837 -6.49 23-Feb-07 -4.15974 -10.75 -5.11795 -8.66 -3.16695 -7.67 -2.31633 -8.58 -0.49061 -6.41 26-Feb-07 0.031493 -11.06 -1.55902 -9.22 1.838823 -7.83 0.600619 -8.47 3.67331 -6.19 27-Feb-07 4.030442 -11.32 -2.20194 -8.93 0.035461 -8.87 1.020166 -8.58 1.031385 -6.65 28-Feb-07 -3.34168 -11.15 -4.44524 -9.11 -3.5422 -8.76 -2.28328 -8.46 -6.13961 -6.45 1-Mar-07 1.375568 -11 0.036815 -10.13 -0.07973 -9.98 -1.57175 -8.52 0.342081 -7.78 2-Mar-07 0.878679 -10.67 0.460179 -10.22 1.066271 -10.5 0.48046 -8.35 -0.79158 -7.53 5-Mar-07 -3.70668 -10.4 -4.04983 -9.98 -6.02656 -10.71 -6.68317 -9.25 -6.44665 -7.5 6-Mar-07 -2.37095 -10.21 4.11563 -9.95 2.974171 -10.87 0.643668 -9.8 1.129172 -9.22 7-Mar-07 -2.00731 -10.71 -0.3603 -10.06 0.052978 -11.01 -0.47572 -9.78 -0.71335 -9.16 8-Mar-07 0.204143 -11.15 0.964465 -9.97 2.52502 -10.68 1.297209 -9.74 -0.89916 -9.83 9-Mar-07 2.670749 -12.77 1.423675 -10.37 -0.41444 -10.62 0.59174 -10 1.928184 -10.2412-Mar-07 -3.9808 -12.7 0.674802 -10.05 -0.61986 -10.37 -1.09911 -9.79 -0.14639 -9.95 13-Mar-07 -1.59815 -12.54 0.461011 -9.8 1.059522 -10.05 -0.8242 -9.52 -1.91325 -9.67 14-Mar-07 -4.36952 -12.12 -4.39657 -9.53 -1.15091 -9.84 -2.46521 -9.24 -1.40573 -9.65 15-Mar-07 -0.88642 -12.95 -0.91203 -10.59 -0.61884 -9.79 -1.32447 -9.48 0.920714 -9.34 16-Mar-07 -4.14854 -12.68 -1.70074 -10.28 -2.18647 -9.6 -3.05739 -9.53 -0.45429 -9.04



19-Mar-07 5.320088 -12.28 -0.10293 -10.09 1.681569 -9.33 0.693519 -9.26 1.186375 -8.76 20-Mar-07 5.52916 -12.37 2.000884 -9.88 1.55656 -9.14 2.752414 -9.06 0.937498 -8.55 21-Mar-07 3.890768 -13.25 2.975415 -9.56 4.1835 -9.19 2.476355 -9.13 0.335587 -8.27 22-Mar-07 9.55252 -13.11 4.676264 -10.55 6.126672 -9.45 4.946258 -9.31 2.436391 -8.12 23-Mar-07 1.082862 -17.07 0.269428 -10.67 0.743626 -11.06 0.925174 -9.95 2.254997 -7.91 26-Mar-07 -0.18505 -16.56 -1.30198 -10.37 0.573634 -10.73 -0.58902 -9.64 2.980055 -8.31 28-Mar-07 -2.00152 -16.09 -3.24692 -10.18 -3.83988 -10.43 -3.22712 -9.4 -1.56522 -8.13 29-Mar-07 -1.51689 -15.56 -0.92719 -10.04 0.714404 -10.31 -1.78476 -9.83 0.81304 -7.87 30-Mar-07 0.547989 -15.35 0.639419 -9.71 0.941323 -10.15 2.426687 -9.59 0.73091 -7.69 2-Apr-07 -8.02784 -14.87 -5.58211 -9.41 -9.44712 -9.82 -6.36989 -9.33 -5.39874 -7.49 3-Apr-07 3.101221 -16.48 -0.47679 -10.64 -0.59871 -13.69 -0.38524 -10.92 -0.69124 -9.57 4-Apr-07 -0.28591 -16.76 2.193782 -10.31 0.488311 -13.26 0.89036 -10.57 1.975645 -9.3 5-Apr-07 0.210079 -16.48 0.520637 -10.08 0.862288 -12.85 0.57676 -10.27 0.556227 -9.21 9-Apr-07 3.757926 -16.11 3.357718 -9.94 4.405716 -12.86 3.948135 -10.01 0.37649 -8.93 10-Apr-07 1.135599 -15.71 -0.67033 -9.86 -0.33941 -12.94 -0.19099 -10.41 -0.68354 -8.63 11-Apr-07 2.27651 -15.75 1.638523 -9.56 -0.42303 -12.59 1.231698 -10.08 0.511037 -8.38 12-Apr-07 -0.7047 -15.4 -1.72772 -9.26 -2.35247 -12.23 -2.48663 -9.79 -1.19012 -8.15 13-Apr-07 5.38474 -15.1 2.306017 -9.03 3.968932 -11.89 3.195698 -9.57 0.20912 -7.9 16-Apr-07 2.578387 -15.16 2.207704 -9.11 1.784191 -11.94 1.283458 -9.67 -0.20661 -7.64 17-Apr-07 0.581479 -14.9 0.30531 -8.95 1.215624 -11.78 0.20899 -9.48 0.567552 -7.39 18-Apr-07 0.881805 -14.46 1.284277 -8.69 1.526501 -11.39 1.09523 -9.19 0.242517 -7.23 19-Apr-07 -0.07166 -14.18 -0.49074 -8.43 -0.02628 -11.1 1.789471 -9.14 -0.24527 -6.99 20-Apr-07 0.822477 -13.73 1.552465 -8.18 1.041273 -10.8 1.910618 -9.01 1.048046 -6.77 23-Apr-07 -0.70613 -13.31 0.051263 -8.02 -0.86917 -10.45 0.053768 -8.92 0.537504 -6.56 24-Apr-07 3.798044 -13.06 3.391908 -7.75 4.863368 -10.21 4.634411 -8.71 2.323621 -6.55 25-Apr-07 2.91314 -14.28 0.95903 -8.14 0.812097 -11.62 2.274744 -10.43 4.306854 -8.45 26-Apr-07 -0.88216 -13.83 2.613977 -7.95 0.960073 -11.25 0.923222 -10.09 -1.81049 -8.59 27-Apr-07 0.654949 -13.38 -4.12989 -7.72 -1.38459 -10.92 -3.03177 -9.79 0.3798 -8.72 30-Apr-07 -3.98777 -13.1 -8.75284 -7.87 -2.54427 -10.72 -2.55132 -10.13 1.830076 -8.65

Documents

Accuracy of Value-At-Risk Model in Commercial Banks