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Date RIL RIL_Ret Weight Day EW-Ret 8/10/2012 782.05 8/9/2012 780.30 0.22427 0.020149 1 0.001013 8/8/2012 790.65 -1.30905 0.019746 2 0.033836 8/7/2012 783.70 0.88682 0.019351 3 0.015218 8/6/2012 785.30 -0.20374 0.018964 4 0.000787 8/3/2012 742.90 5.70736 0.018584 5 0.605371 8/2/2012 739.45 0.46656 0.018213 6 0.003965 8/1/2012 745.45 -0.80488 0.017849 7 0.011563 7/31/2012 742.85 0.35000 0.017492 8 0.002143 7/27/2012 720.40 3.11632 0.017142 9 0.166472 7/26/2012 710.30 1.42193 0.016799 10 0.033966 7/25/2012 718.70 -1.16878 0.016463 11 0.022489 7/24/2012 724.55 -0.80740 0.016134 12 0.010517 7/23/2012 718.75 0.80696 0.015811 13 0.010296 7/20/2012 722.65 -0.53968 0.015495 14 0.004513 7/19/2012 727.75 -0.70079 0.015185 15 0.007457 7/18/2012 715.35 1.73342 0.014881 16 0.044714 7/17/2012 719.15 -0.52840 0.014584 17 0.004072 7/16/2012 720.30 -0.15966 0.014292 18 0.000364 7/13/2012 718.75 0.21565 0.014006 19 0.000651 7/12/2012 721.20 -0.33971 0.013726 20 0.001584 7/11/2012 725.70 -0.62009 0.013451 21 0.005172 7/10/2012 739.50 -1.86613 0.013182 22 0.045907 7/9/2012 732.05 1.01769 0.012919 23 0.013380 7/6/2012 734.30 -0.30641 0.012660 24 0.001189 7/5/2012 738.50 -0.56872 0.012407 25 0.004013 7/4/2012 734.05 0.60623 0.012159 26 0.004469 7/3/2012 736.00 -0.26495 0.011916 27 0.000836 7/2/2012 737.45 -0.19662 0.011678 28 0.000451 6/29/2012 737.45 0.00000 0.011444 29 0.000000 6/28/2012 719.35 2.51616 0.011215 30 0.071003 6/27/2012 722.90 -0.49108 0.010991 31 0.002651 6/26/2012 723.75 -0.11744 0.010771 32 0.000149 6/25/2012 716.20 1.05417 0.010556 33 0.011730 6/22/2012 711.05 0.72428 0.010344 34 0.005427 6/21/2012 718.60 -1.05065 0.010138 35 0.011191 6/20/2012 737.60 -2.57592 0.009935 36 0.065921 6/19/2012 737.25 0.04747 0.009736 37 0.000022 6/18/2012 718.70 2.58105 0.009541 38 0.063563 6/15/2012 726.60 -1.08726 0.009351 39 0.011054 6/14/2012 715.55 1.54427 0.009164 40 0.021853 6/13/2012 716.50 -0.13259 0.008980 41 0.000158 6/12/2012 722.60 -0.84417 0.008801 42 0.006272 6/11/2012 721.50 0.15246 0.008625 43 0.000200 6/8/2012 729.40 -1.08308 0.008452 44 0.009915 6/7/2012 720.70 1.20716 0.008283 45 0.012070 6/6/2012 714.10 0.92424 0.008117 46 0.006934 6/5/2012 702.25 1.68743 0.007955 47 0.022652 6/1/2012 683.70 2.71318 0.007796 48 0.057389 5/31/2012 706.00 -3.15864 0.007640 49 0.076225 5/30/2012 706.20 -0.02832 0.007487 50 0.000006 5/29/2012 701.75 0.63413 0.007338 51 0.002951

VaR Parametric

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VaR Parametric

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Page 1: VaR Parametric

Date RIL RIL_Ret Weight Day EW-Ret Lambda8/10/2012 782.05 Simple Stdev8/9/2012 780.30 0.22427 0.020149 1 0.001013 EW_Stdev8/8/2012 790.65 -1.30905 0.019746 2 0.033836 Sum of Weights8/7/2012 783.70 0.88682 0.019351 3 0.0152188/6/2012 785.30 -0.20374 0.018964 4 0.000787 1-Day VaR8/3/2012 742.90 5.70736 0.018584 5 0.605371 1-Day VaR EW8/2/2012 739.45 0.46656 0.018213 6 0.0039658/1/2012 745.45 -0.80488 0.017849 7 0.0115637/31/2012 742.85 0.35000 0.017492 8 0.0021437/27/2012 720.40 3.11632 0.017142 9 0.1664727/26/2012 710.30 1.42193 0.016799 10 0.0339667/25/2012 718.70 -1.16878 0.016463 11 0.0224897/24/2012 724.55 -0.80740 0.016134 12 0.0105177/23/2012 718.75 0.80696 0.015811 13 0.0102967/20/2012 722.65 -0.53968 0.015495 14 0.0045137/19/2012 727.75 -0.70079 0.015185 15 0.0074577/18/2012 715.35 1.73342 0.014881 16 0.0447147/17/2012 719.15 -0.52840 0.014584 17 0.0040727/16/2012 720.30 -0.15966 0.014292 18 0.0003647/13/2012 718.75 0.21565 0.014006 19 0.0006517/12/2012 721.20 -0.33971 0.013726 20 0.0015847/11/2012 725.70 -0.62009 0.013451 21 0.0051727/10/2012 739.50 -1.86613 0.013182 22 0.0459077/9/2012 732.05 1.01769 0.012919 23 0.0133807/6/2012 734.30 -0.30641 0.012660 24 0.0011897/5/2012 738.50 -0.56872 0.012407 25 0.0040137/4/2012 734.05 0.60623 0.012159 26 0.0044697/3/2012 736.00 -0.26495 0.011916 27 0.0008367/2/2012 737.45 -0.19662 0.011678 28 0.0004516/29/2012 737.45 0.00000 0.011444 29 0.0000006/28/2012 719.35 2.51616 0.011215 30 0.0710036/27/2012 722.90 -0.49108 0.010991 31 0.0026516/26/2012 723.75 -0.11744 0.010771 32 0.0001496/25/2012 716.20 1.05417 0.010556 33 0.0117306/22/2012 711.05 0.72428 0.010344 34 0.0054276/21/2012 718.60 -1.05065 0.010138 35 0.0111916/20/2012 737.60 -2.57592 0.009935 36 0.0659216/19/2012 737.25 0.04747 0.009736 37 0.0000226/18/2012 718.70 2.58105 0.009541 38 0.0635636/15/2012 726.60 -1.08726 0.009351 39 0.0110546/14/2012 715.55 1.54427 0.009164 40 0.0218536/13/2012 716.50 -0.13259 0.008980 41 0.0001586/12/2012 722.60 -0.84417 0.008801 42 0.0062726/11/2012 721.50 0.15246 0.008625 43 0.0002006/8/2012 729.40 -1.08308 0.008452 44 0.0099156/7/2012 720.70 1.20716 0.008283 45 0.0120706/6/2012 714.10 0.92424 0.008117 46 0.0069346/5/2012 702.25 1.68743 0.007955 47 0.0226526/1/2012 683.70 2.71318 0.007796 48 0.0573895/31/2012 706.00 -3.15864 0.007640 49 0.0762255/30/2012 706.20 -0.02832 0.007487 50 0.0000065/29/2012 701.75 0.63413 0.007338 51 0.0029515/28/2012 701.20 0.07844 0.007191 52 0.0000445/25/2012 692.00 1.32948 0.007047 53 0.0124565/24/2012 696.45 -0.63895 0.006906 54 0.0028195/23/2012 687.20 1.34604 0.006768 55 0.012262

Page 2: VaR Parametric

5/22/2012 691.20 -0.57870 0.006633 56 0.0022215/21/2012 695.50 -0.61826 0.006500 57 0.0024855/18/2012 688.65 0.99470 0.006370 58 0.0063035/17/2012 685.10 0.51817 0.006242 59 0.0016765/16/2012 676.20 1.31618 0.006118 60 0.0105985/14/2012 681.15 -0.72671 0.005995 61 0.0031665/11/2012 697.30 -2.31608 0.005875 62 0.0315175/10/2012 694.65 0.38149 0.005758 63 0.0008385/9/2012 695.10 -0.06474 0.005643 64 0.0000245/8/2012 708.65 -1.91209 0.005530 65 0.0202185/7/2012 715.30 -0.92968 0.005419 66 0.0046845/4/2012 726.45 -1.53486 0.005311 67 0.0125115/3/2012 738.85 -1.67828 0.005205 68 0.0146605/2/2012 743.35 -0.60537 0.005101 69 0.0018694/30/2012 745.20 -0.24826 0.004999 70 0.0003084/27/2012 742.10 0.41773 0.004899 71 0.0008554/26/2012 745.45 -0.44939 0.004801 72 0.0009704/25/2012 736.35 1.23583 0.004705 73 0.0071854/24/2012 734.70 0.22458 0.004611 74 0.0002334/23/2012 736.10 -0.19019 0.004518 75 0.0001634/20/2012 731.45 0.63572 0.004428 76 0.0017904/19/2012 741.75 -1.38861 0.004339 77 0.0083674/18/2012 749.35 -1.01421 0.004253 78 0.0043744/17/2012 746.40 0.39523 0.004168 79 0.0006514/16/2012 748.30 -0.25391 0.004084 80 0.0002634/13/2012 751.25 -0.39268 0.004003 81 0.0006174/12/2012 742.90 1.12397 0.003922 82 0.0049554/11/2012 732.90 1.36444 0.003844 83 0.0071564/10/2012 743.00 -1.35935 0.003767 84 0.0069614/9/2012 742.60 0.05386 0.003692 85 0.0000114/4/2012 747.10 -0.60233 0.003618 86 0.0013134/3/2012 752.45 -0.71101 0.003546 87 0.0017924/2/2012 740.80 1.57262 0.003475 88 0.0085933/30/2012 748.25 -0.99566 0.003405 89 0.0033763/29/2012 724.85 3.22825 0.003337 90 0.0347783/28/2012 725.95 -0.15153 0.003270 91 0.0000753/27/2012 730.70 -0.65006 0.003205 92 0.0013543/26/2012 729.80 0.12332 0.003141 93 0.0000483/23/2012 744.00 -1.90860 0.003078 94 0.0112123/22/2012 736.50 1.01833 0.003016 95 0.0031283/21/2012 768.35 -4.14525 0.002956 96 0.0507953/20/2012 760.40 1.04550 0.002897 97 0.0031673/19/2012 754.90 0.72857 0.002839 98 0.0015073/16/2012 771.95 -2.20869 0.002782 99 0.0135733/15/2012 798.05 -3.27047 0.002727 100 0.0291643/14/2012 814.30 -1.99558 0.002672 101 0.0106413/13/2012 818.65 -0.53136 0.002619 102 0.0007393/12/2012 789.50 3.69221 0.002566 103 0.0349853/9/2012 773.60 2.05533 0.002515 104 0.0106243/7/2012 761.45 1.59564 0.002465 105 0.0062753/6/2012 776.50 -1.93818 0.002415 106 0.0090733/5/2012 797.90 -2.68204 0.002367 107 0.0170273/2/2012 814.35 -2.02002 0.002320 108 0.0094663/1/2012 810.35 0.49361 0.002273 109 0.0005542/29/2012 818.65 -1.01386 0.002228 110 0.0022902/28/2012 796.05 2.83902 0.002183 111 0.0175972/27/2012 781.20 1.90092 0.002140 112 0.007732

Page 3: VaR Parametric

2/24/2012 820.35 -4.77235 0.002097 113 0.0477562/23/2012 838.10 -2.11789 0.002055 114 0.0092172/22/2012 833.20 0.58809 0.002014 115 0.0006962/21/2012 841.80 -1.02162 0.001974 116 0.0020602/17/2012 817.90 2.92212 0.001934 117 0.0165152/16/2012 812.15 0.70800 0.001895 118 0.0009502/15/2012 836.05 -2.85868 0.001857 119 0.0151792/14/2012 848.15 -1.42663 0.001820 120 0.0037052/13/2012 848.15 0.00000 0.001784 121 0.0000002/10/2012 842.15 0.71246 0.001748 122 0.0008872/9/2012 852.65 -1.23145 0.001713 123 0.0025982/8/2012 858.05 -0.62933 0.001679 124 0.0006652/7/2012 844.75 1.57443 0.001645 125 0.0040792/6/2012 832.75 1.44101 0.001613 126 0.0033482/3/2012 837.75 -0.59684 0.001580 127 0.0005632/2/2012 828.60 1.10427 0.001549 128 0.0018882/1/2012 830.30 -0.20475 0.001518 129 0.0000641/31/2012 815.45 1.82108 0.001487 130 0.0049331/30/2012 795.45 2.51430 0.001458 131 0.0092141/27/2012 817.60 -2.70915 0.001428 132 0.0104841/25/2012 790.10 3.48057 0.001400 133 0.0169591/24/2012 783.15 0.88744 0.001372 134 0.0010801/23/2012 771.00 1.57588 0.001344 135 0.0033391/20/2012 793.35 -2.81717 0.001318 136 0.0104571/19/2012 785.15 1.04439 0.001291 137 0.0014081/18/2012 776.90 1.06191 0.001265 138 0.0014271/17/2012 740.35 4.93685 0.001240 139 0.0302241/16/2012 713.40 3.77768 0.001215 140 0.0173431/13/2012 732.05 -2.54764 0.001191 141 0.0077301/12/2012 737.55 -0.74571 0.001167 142 0.0006491/11/2012 748.35 -1.44317 0.001144 143 0.0023821/10/2012 735.15 1.79555 0.001121 144 0.0036141/6/2012 716.90 2.54568 0.001099 145 0.0071191/5/2012 699.25 2.52413 0.001077 146 0.0068591/4/2012 716.00 -2.33939 0.001055 147 0.0057741/3/2012 723.70 -1.06398 0.001034 148 0.0011701/2/2012 706.95 2.36933 0.001013 149 0.005688

12/30/2011 692.90 2.02771 0.000993 150 0.00408312/29/2011 712.90 -2.80544 0.000973 151 0.00765912/28/2011 738.55 -3.47302 0.000954 152 0.01150312/27/2011 753.25 -1.95154 0.000935 153 0.00355912/26/2011 760.95 -1.01189 0.000916 154 0.00093812/23/2011 746.45 1.94253 0.000898 155 0.00338712/22/2011 754.75 -1.09970 0.000880 156 0.00106412/21/2011 747.25 1.00368 0.000862 157 0.00086812/20/2011 713.55 4.72286 0.000845 158 0.01884312/19/2011 735.85 -3.03051 0.000828 159 0.00760312/16/2011 723.00 1.77732 0.000811 160 0.00256312/15/2011 748.70 -3.43262 0.000795 161 0.00936812/14/2011 741.70 0.94378 0.000779 162 0.00069412/13/2011 742.60 -0.12120 0.000764 163 0.00001112/12/2011 727.90 2.01951 0.000748 164 0.00305212/9/2011 755.45 -3.64683 0.000733 165 0.00975312/8/2011 779.20 -3.04800 0.000719 166 0.00667712/7/2011 809.20 -3.70737 0.000704 167 0.00968112/5/2011 807.35 0.22914 0.000690 168 0.00003612/2/2011 810.80 -0.42551 0.000676 169 0.000122

Page 4: VaR Parametric

12/1/2011 798.50 1.54039 0.000663 170 0.00157311/30/2011 778.80 2.52953 0.000650 171 0.00415711/29/2011 765.00 1.80392 0.000637 172 0.00207211/28/2011 783.00 -2.29885 0.000624 173 0.00329711/25/2011 754.00 3.84615 0.000611 174 0.00904511/24/2011 774.20 -2.60914 0.000599 175 0.00407911/23/2011 773.75 0.05816 0.000587 176 0.00000211/22/2011 795.05 -2.67908 0.000575 177 0.00413111/21/2011 786.85 1.04213 0.000564 178 0.00061211/18/2011 808.05 -2.62360 0.000553 179 0.00380411/17/2011 810.65 -0.32073 0.000542 180 0.00005611/16/2011 848.95 -4.51146 0.000531 181 0.01080411/15/2011 862.70 -1.59383 0.000520 182 0.00132111/14/2011 875.15 -1.42261 0.000510 183 0.00103211/11/2011 883.85 -0.98433 0.000500 184 0.00048411/9/2011 864.55 2.23238 0.000490 185 0.00244011/8/2011 881.85 -1.96178 0.000480 186 0.00184711/4/2011 879.60 0.25580 0.000470 187 0.00003111/3/2011 884.60 -0.56523 0.000461 188 0.00014711/2/2011 871.45 1.50898 0.000452 189 0.00102811/1/2011 860.55 1.26663 0.000443 190 0.00071010/31/2011 877.75 -1.95956 0.000434 191 0.00166510/28/2011 898.00 -2.25501 0.000425 192 0.00216110/26/2011 873.35 2.82247 0.000417 193 0.00331810/25/2011 875.00 -0.18857 0.000408 194 0.00001510/24/2011 846.25 3.39734 0.000400 195 0.00461710/21/2011 835.40 1.29878 0.000392 196 0.00066110/20/2011 838.40 -0.35782 0.000384 197 0.00004910/19/2011 842.30 -0.46302 0.000377 198 0.00008110/18/2011 820.00 2.71951 0.000369 199 0.00272910/17/2011 833.20 -1.58425 0.000362 200 0.00090810/14/2011 866.80 -3.87633 0.000354 201 0.00532510/13/2011 846.85 2.35579 0.000347 202 0.00192710/12/2011 849.50 -0.31195 0.000340 203 0.00003310/11/2011 825.85 2.86372 0.000334 204 0.00273510/10/2011 827.90 -0.24761 0.000327 205 0.00002010/7/2011 801.45 3.30027 0.000320 206 0.00348910/5/2011 767.25 4.45748 0.000314 207 0.00623710/4/2011 772.40 -0.66675 0.000308 208 0.00013710/3/2011 788.20 -2.00457 0.000301 209 0.0012119/30/2011 808.30 -2.48670 0.000295 210 0.0018279/29/2011 808.10 0.02475 0.000290 211 0.0000009/28/2011 797.00 1.39272 0.000284 212 0.0005509/27/2011 797.85 -0.10654 0.000278 213 0.0000039/26/2011 759.20 5.09089 0.000273 214 0.0070639/23/2011 770.75 -1.49854 0.000267 215 0.0006009/22/2011 786.45 -1.99631 0.000262 216 0.0010439/21/2011 838.10 -6.16275 0.000256 217 0.0097429/20/2011 851.50 -1.57369 0.000251 218 0.0006239/19/2011 820.85 3.73393 0.000246 219 0.0034359/16/2011 827.45 -0.79763 0.000241 220 0.0001549/15/2011 835.15 -0.92199 0.000237 221 0.0002019/14/2011 825.30 1.19351 0.000232 222 0.0003309/13/2011 810.80 1.78836 0.000227 223 0.0007279/12/2011 805.85 0.61426 0.000223 224 0.0000849/9/2011 825.10 -2.33305 0.000218 225 0.0011889/8/2011 853.50 -3.32748 0.000214 226 0.002368

Page 5: VaR Parametric

9/7/2011 831.70 2.62114 0.000210 227 0.0014409/6/2011 820.85 1.32180 0.000205 228 0.0003599/5/2011 788.90 4.04994 0.000201 229 0.0033019/2/2011 805.40 -2.04867 0.000197 230 0.0008288/30/2011 781.50 3.05822 0.000193 231 0.0018088/29/2011 754.05 3.64034 0.000189 232 0.0025108/26/2011 719.50 4.80195 0.000186 233 0.0042818/25/2011 754.30 -4.61355 0.000182 234 0.0038738/24/2011 760.95 -0.87391 0.000178 235 0.0001368/23/2011 765.55 -0.60088 0.000175 236 0.0000638/22/2011 756.25 1.22975 0.000171 237 0.0002598/19/2011 731.20 3.42588 0.000168 238 0.0019708/18/2011 739.95 -1.18251 0.000164 239 0.0002308/17/2011 754.80 -1.96741 0.000161 240 0.0006248/16/2011 759.00 -0.55336 0.000158 241 0.0000488/12/2011 760.80 -0.23659 0.000155 242 0.0000098/11/2011 773.40 -1.62917 0.000152 243 0.000403

Page 6: VaR Parametric

0.982.0175911.5790471.000000

4.7009883.679178

Page 7: VaR Parametric

Date RIL RIL Ret Tata Steel Tata Ret SBI SBI Ret VaR8/10/2012 782.05 400.40 1887.958/9/2012 780.30 0.2243 406.30 -1.4521 1971.95 -4.2597 WEIGHT8/8/2012 790.65 -1.3090 408.35 -0.5020 2061.10 -4.3254 STDEV8/7/2012 783.70 0.8868 406.05 0.5664 2059.30 0.0874 STDEV P8/6/2012 785.30 -0.2037 404.30 0.4328 2018.20 2.03658/3/2012 742.90 5.7074 396.95 1.8516 2005.55 0.6307 1-day 99% VaR8/2/2012 739.45 0.4666 405.90 -2.2050 2014.65 -0.4517 10-day 99% VaR8/1/2012 745.45 -0.8049 409.35 -0.8428 2032.70 -0.88807/31/2012 742.85 0.3500 413.60 -1.0276 2005.20 1.3714 Portfolio VaR7/27/2012 720.40 3.1163 399.30 3.5813 1941.20 3.2969 WEIGHT7/26/2012 710.30 1.4219 384.15 3.9438 2017.15 -3.7652 Cov Matrix7/25/2012 718.70 -1.1688 387.45 -0.8517 2070.65 -2.58377/24/2012 724.55 -0.8074 397.00 -2.4055 2094.80 -1.15297/23/2012 718.75 0.8070 399.50 -0.6258 2092.55 0.10757/20/2012 722.65 -0.5397 415.80 -3.9202 2134.55 -1.9676 STDEV7/19/2012 727.75 -0.7008 414.65 0.2773 2157.75 -1.07527/18/2012 715.35 1.7334 411.15 0.8513 2185.95 -1.2901 Portfolio Var7/17/2012 719.15 -0.5284 406.20 1.2186 2198.85 -0.5867 Portfolio STDEV7/16/2012 720.30 -0.1597 408.85 -0.6482 2194.45 0.20057/13/2012 718.75 0.2157 425.65 -3.9469 2179.30 0.6952 1-day 99% VaR7/12/2012 721.20 -0.3397 429.45 -0.8849 2216.85 -1.6938 10-day 99% VaR7/11/2012 725.70 -0.6201 436.35 -1.5813 2216.00 0.03847/10/2012 739.50 -1.8661 438.95 -0.5923 2222.20 -0.27907/9/2012 732.05 1.0177 437.05 0.4347 2206.50 0.71157/6/2012 734.30 -0.3064 447.45 -2.3243 2218.00 -0.5185 Portfolio Var7/5/2012 738.50 -0.5687 451.25 -0.8421 2232.20 -0.6361 Portfolio STDEV7/4/2012 734.05 0.6062 452.10 -0.1880 2224.25 0.35747/3/2012 736.00 -0.2649 445.65 1.4473 2183.95 1.8453 1-day 99% VaR7/2/2012 737.45 -0.1966 447.00 -0.3020 2179.60 0.1996 10-day 99% VaR6/29/2012 737.45 0.0000 441.30 1.2916 2159.15 0.94716/28/2012 719.35 2.5162 428.40 3.0112 2095.45 3.03996/27/2012 722.90 -0.4911 420.70 1.8303 2113.40 -0.84936/26/2012 723.75 -0.1174 410.40 2.5097 2116.10 -0.12766/25/2012 716.20 1.0542 414.55 -1.0011 2114.90 0.05676/22/2012 711.05 0.7243 418.65 -0.9793 2156.75 -1.94046/21/2012 718.60 -1.0507 430.25 -2.6961 2177.95 -0.97346/20/2012 737.60 -2.5759 426.85 0.7965 2116.70 2.89376/19/2012 737.25 0.0475 420.20 1.5826 2103.10 0.64676/18/2012 718.70 2.5810 418.75 0.3463 2087.65 0.74016/15/2012 726.60 -1.0873 413.40 1.2941 2182.80 -4.35916/14/2012 715.55 1.5443 406.60 1.6724 2154.25 1.32536/13/2012 716.50 -0.1326 411.40 -1.1667 2222.25 -3.06006/12/2012 722.60 -0.8442 412.60 -0.2908 2206.90 0.69556/11/2012 721.50 0.1525 409.85 0.6710 2164.55 1.95656/8/2012 729.40 -1.0831 410.50 -0.1583 2180.05 -0.71106/7/2012 720.70 1.2072 411.60 -0.2672 2167.85 0.56286/6/2012 714.10 0.9242 409.65 0.4760 2159.45 0.38906/5/2012 702.25 1.6874 398.50 2.7980 2080.25 3.80726/1/2012 683.70 2.7132 398.00 0.1256 2026.20 2.6676

Page 8: VaR Parametric

5/31/2012 706.00 -3.1586 402.85 -1.2039 2055.60 -1.43025/30/2012 706.20 -0.0283 410.25 -1.8038 2097.50 -1.99765/29/2012 701.75 0.6341 415.80 -1.3348 2120.30 -1.07535/28/2012 701.20 0.0784 411.75 0.9836 2100.35 0.94985/25/2012 692.00 1.3295 408.25 0.8573 2005.00 4.75565/24/2012 696.45 -0.6390 398.55 2.4338 1970.80 1.73535/23/2012 687.20 1.3460 396.15 0.6058 1956.45 0.73355/22/2012 691.20 -0.5787 399.35 -0.8013 1938.50 0.92605/21/2012 695.50 -0.6183 402.20 -0.7086 2007.40 -3.43235/18/2012 688.65 0.9947 399.85 0.5877 1942.00 3.36775/17/2012 685.10 0.5182 405.85 -1.4784 1848.10 5.08095/16/2012 676.20 1.3162 401.55 1.0709 1829.20 1.03325/14/2012 681.15 -0.7267 408.05 -1.5929 1840.20 -0.59785/11/2012 697.30 -2.3161 411.75 -0.8986 1852.20 -0.64795/10/2012 694.65 0.3815 415.35 -0.8667 1843.75 0.45835/9/2012 695.10 -0.0647 417.35 -0.4792 1887.60 -2.32315/8/2012 708.65 -1.9121 427.35 -2.3400 1958.95 -3.64235/7/2012 715.30 -0.9297 441.60 -3.2269 2026.15 -3.31665/4/2012 726.45 -1.5349 433.55 1.8568 1993.60 1.63275/3/2012 738.85 -1.6783 448.30 -3.2902 2085.20 -4.39295/2/2012 743.35 -0.6054 462.15 -2.9969 2139.45 -2.53574/30/2012 745.20 -0.2483 463.65 -0.3235 2137.95 0.07024/27/2012 742.10 0.4177 461.85 0.3897 2125.70 0.57634/26/2012 745.45 -0.4494 465.90 -0.8693 2159.20 -1.55154/25/2012 736.35 1.2358 465.90 0.0000 2171.70 -0.57564/24/2012 734.70 0.2246 468.70 -0.5974 2188.45 -0.76544/23/2012 736.10 -0.1902 462.95 1.2420 2192.10 -0.16654/20/2012 731.45 0.6357 470.40 -1.5838 2260.45 -3.02374/19/2012 741.75 -1.3886 467.00 0.7281 2271.30 -0.47774/18/2012 749.35 -1.0142 463.70 0.7117 2289.60 -0.79934/17/2012 746.40 0.3952 461.30 0.5203 2299.95 -0.45004/16/2012 748.30 -0.2539 454.10 1.5856 2265.40 1.52514/13/2012 751.25 -0.3927 449.75 0.9672 2211.45 2.43964/12/2012 742.90 1.1240 452.60 -0.6297 2224.10 -0.56884/11/2012 732.90 1.3644 447.05 1.2415 2160.30 2.95334/10/2012 743.00 -1.3594 453.15 -1.3461 2151.00 0.43244/9/2012 742.60 0.0539 459.45 -1.3712 2101.30 2.36524/4/2012 747.10 -0.6023 474.70 -3.2126 2164.30 -2.91094/3/2012 752.45 -0.7110 477.95 -0.6800 2170.90 -0.30404/2/2012 740.80 1.5726 471.85 1.2928 2129.40 1.94893/30/2012 748.25 -0.9957 470.40 0.3082 2095.00 1.64203/29/2012 724.85 3.2283 452.15 4.0363 2061.60 1.62013/28/2012 725.95 -0.1515 455.50 -0.7355 2081.15 -0.93943/27/2012 730.70 -0.6501 446.50 2.0157 2129.80 -2.28433/26/2012 729.80 0.1233 440.45 1.3736 2118.30 0.54293/23/2012 744.00 -1.9086 449.00 -1.9042 2165.25 -2.16833/22/2012 736.50 1.0183 450.40 -0.3108 2160.60 0.21523/21/2012 768.35 -4.1452 471.85 -4.5459 2233.55 -3.26613/20/2012 760.40 1.0455 453.70 4.0004 2184.15 2.26173/19/2012 754.90 0.7286 447.90 1.2949 2159.65 1.1344

Page 9: VaR Parametric

3/16/2012 771.95 -2.2087 454.35 -1.4196 2227.95 -3.06563/15/2012 798.05 -3.2705 462.30 -1.7197 2299.45 -3.10943/14/2012 814.30 -1.9956 462.00 0.0649 2351.50 -2.21353/13/2012 818.65 -0.5314 467.15 -1.1024 2327.65 1.02463/12/2012 789.50 3.6922 461.00 1.3341 2305.10 0.97833/9/2012 773.60 2.0553 453.70 1.6090 2222.30 3.72593/7/2012 761.45 1.5956 425.05 6.7404 2141.05 3.79493/6/2012 776.50 -1.9382 426.20 -0.2698 2151.00 -0.46263/5/2012 797.90 -2.6820 450.55 -5.4045 2174.15 -1.06483/2/2012 814.35 -2.0200 465.95 -3.3051 2245.70 -3.18613/1/2012 810.35 0.4936 462.15 0.8222 2219.75 1.16912/29/2012 818.65 -1.0139 471.75 -2.0350 2243.40 -1.05422/28/2012 796.05 2.8390 458.45 2.9011 2229.55 0.62122/27/2012 781.20 1.9009 442.25 3.6631 2125.10 4.91512/24/2012 820.35 -4.7724 475.70 -7.0317 2206.80 -3.70222/23/2012 838.10 -2.1179 471.50 0.8908 2261.25 -2.40802/22/2012 833.20 0.5881 470.45 0.2232 2257.80 0.15282/21/2012 841.80 -1.0216 491.35 -4.2536 2451.75 -7.91072/17/2012 817.90 2.9221 478.00 2.7929 2416.75 1.44822/16/2012 812.15 0.7080 479.15 -0.2400 2349.05 2.88202/15/2012 836.05 -2.8587 495.15 -3.2313 2250.50 4.37902/14/2012 848.15 -1.4266 487.55 1.5588 2198.45 2.36762/13/2012 848.15 0.0000 485.10 0.5051 2129.00 3.26212/10/2012 842.15 0.7125 475.00 2.1263 2172.50 -2.00232/9/2012 852.65 -1.2315 451.10 5.2982 2181.95 -0.43312/8/2012 858.05 -0.6293 450.65 0.0999 2175.40 0.30112/7/2012 844.75 1.5744 452.35 -0.3758 2152.05 1.08502/6/2012 832.75 1.4410 467.80 -3.3027 2163.05 -0.50852/3/2012 837.75 -0.5968 467.25 0.1177 2103.10 2.85062/2/2012 828.60 1.1043 474.65 -1.5590 2072.65 1.46912/1/2012 830.30 -0.2047 469.55 1.0861 2077.10 -0.21421/31/2012 815.45 1.8211 451.00 4.1131 2061.05 0.77871/30/2012 795.45 2.5143 442.45 1.9324 1990.70 3.53391/27/2012 817.60 -2.7091 458.75 -3.5531 2042.60 -2.54091/25/2012 790.10 3.4806 445.00 3.0899 2056.60 -0.68071/24/2012 783.15 0.8874 432.15 2.9735 2041.30 0.74951/23/2012 771.00 1.5759 426.70 1.2772 1940.65 5.18641/20/2012 793.35 -2.8172 436.60 -2.2675 1931.80 0.45811/19/2012 785.15 1.0444 435.20 0.3217 1883.70 2.55351/18/2012 776.90 1.0619 424.85 2.4362 1863.60 1.07861/17/2012 740.35 4.9369 442.80 -4.0537 1842.85 1.12601/16/2012 713.40 3.7777 421.70 5.0036 1816.65 1.44221/13/2012 732.05 -2.5476 415.70 1.4433 1777.15 2.22271/12/2012 737.55 -0.7457 388.10 7.1116 1760.70 0.93431/11/2012 748.35 -1.4432 382.50 1.4641 1725.75 2.02521/10/2012 735.15 1.7956 371.80 2.8779 1702.05 1.39241/6/2012 716.90 2.5457 363.20 2.3678 1676.15 1.54521/5/2012 699.25 2.5241 362.30 0.2484 1691.70 -0.91921/4/2012 716.00 -2.3394 363.65 -0.3712 1695.15 -0.20351/3/2012 723.70 -1.0640 361.20 0.6783 1706.50 -0.6651

Page 10: VaR Parametric

1/2/2012 706.95 2.3693 340.55 6.0637 1629.65 4.715712/30/2011 692.90 2.0277 335.25 1.5809 1619.50 0.626712/29/2011 712.90 -2.8054 342.10 -2.0023 1627.05 -0.464012/28/2011 738.55 -3.4730 345.75 -1.0557 1609.70 1.077812/27/2011 753.25 -1.9515 349.05 -0.9454 1642.90 -2.020812/26/2011 760.95 -1.0119 357.70 -2.4182 1664.65 -1.306612/23/2011 746.45 1.9425 347.25 3.0094 1648.35 0.988912/22/2011 754.75 -1.0997 353.65 -1.8097 1668.45 -1.204712/21/2011 747.25 1.0037 350.15 0.9996 1623.10 2.794012/20/2011 713.55 4.7229 344.20 1.7286 1582.80 2.546112/19/2011 735.85 -3.0305 363.35 -5.2704 1631.55 -2.988012/16/2011 723.00 1.7773 364.95 -0.4384 1680.45 -2.909912/15/2011 748.70 -3.4326 375.15 -2.7189 1744.50 -3.671512/14/2011 741.70 0.9438 376.50 -0.3586 1784.65 -2.249712/13/2011 742.60 -0.1212 391.95 -3.9418 1787.20 -0.142712/12/2011 727.90 2.0195 385.75 1.6073 1773.10 0.795212/9/2011 755.45 -3.6468 398.25 -3.1387 1863.95 -4.874112/8/2011 779.20 -3.0480 403.80 -1.3744 1865.85 -0.101812/7/2011 809.20 -3.7074 416.55 -3.0609 1936.70 -3.658312/5/2011 807.35 0.2291 411.60 1.2026 1908.60 1.472312/2/2011 810.80 -0.4255 418.85 -1.7309 1886.50 1.171512/1/2011 798.50 1.5404 402.60 4.0363 1819.25 3.696611/30/2011 778.80 2.5295 384.90 4.5986 1762.85 3.199411/29/2011 765.00 1.8039 387.05 -0.5555 1756.50 0.361511/28/2011 783.00 -2.2989 386.90 0.0388 1776.90 -1.148111/25/2011 754.00 3.8462 374.10 3.4215 1690.70 5.098511/24/2011 774.20 -2.6091 384.95 -2.8185 1653.25 2.265211/23/2011 773.75 0.0582 382.50 0.6405 1654.30 -0.063511/22/2011 795.05 -2.6791 391.15 -2.2114 1688.65 -2.034211/21/2011 786.85 1.0421 380.60 2.7719 1673.05 0.932411/18/2011 808.05 -2.6236 392.50 -3.0318 1725.50 -3.039711/17/2011 810.65 -0.3207 400.00 -1.8750 1757.50 -1.820811/16/2011 848.95 -4.5115 406.00 -1.4778 1764.90 -0.419311/15/2011 862.70 -1.5938 401.50 1.1208 1729.90 2.023211/14/2011 875.15 -1.4226 412.65 -2.7020 1753.05 -1.320611/11/2011 883.85 -0.9843 430.00 -4.0349 1797.65 -2.481011/9/2011 864.55 2.2324 448.80 -4.1889 1862.50 -3.481911/8/2011 881.85 -1.9618 467.90 -4.0821 1997.55 -6.760811/4/2011 879.60 0.2558 467.90 0.0000 1964.25 1.695311/3/2011 884.60 -0.5652 462.00 1.2771 1934.50 1.537911/2/2011 871.45 1.5090 467.75 -1.2293 1908.95 1.338411/1/2011 860.55 1.2666 471.65 -0.8269 1902.20 0.354910/31/2011 877.75 -1.9596 482.95 -2.3398 1906.70 -0.236010/28/2011 898.00 -2.2550 480.60 0.4890 1907.00 -0.015710/26/2011 873.35 2.8225 451.50 6.4452 1866.95 2.145210/25/2011 875.00 -0.1886 452.00 -0.1106 1840.45 1.439910/24/2011 846.25 3.3973 436.40 3.5747 1907.55 -3.517610/21/2011 835.40 1.2988 432.15 0.9835 1948.60 -2.106610/20/2011 838.40 -0.3578 440.45 -1.8844 1934.45 0.731510/19/2011 842.30 -0.4630 434.05 1.4745 1919.10 0.7999

Page 11: VaR Parametric

10/18/2011 820.00 2.7195 428.10 1.3899 1863.40 2.989210/17/2011 833.20 -1.5843 439.25 -2.5384 1891.80 -1.501210/14/2011 866.80 -3.8763 438.40 0.1939 1882.50 0.494010/13/2011 846.85 2.3558 451.20 -2.8369 1886.95 -0.235810/12/2011 849.50 -0.3119 443.95 1.6331 1872.25 0.785210/11/2011 825.85 2.8637 433.15 2.4934 1765.10 6.070510/10/2011 827.90 -0.2476 433.25 -0.0231 1754.55 0.601310/7/2011 801.45 3.3003 419.60 3.2531 1751.85 0.154110/5/2011 767.25 4.4575 400.65 4.7298 1715.30 2.130810/4/2011 772.40 -0.6668 397.25 0.8559 1786.70 -3.996210/3/2011 788.20 -2.0046 394.70 0.6461 1862.75 -4.08279/30/2011 808.30 -2.4867 415.25 -4.9488 1911.10 -2.53009/29/2011 808.10 0.0247 432.50 -3.9884 1950.10 -1.99999/28/2011 797.00 1.3927 427.45 1.1814 1968.70 -0.94489/27/2011 797.85 -0.1065 439.15 -2.6642 1996.20 -1.37769/26/2011 759.20 5.0909 435.20 0.9076 1951.20 2.30639/23/2011 770.75 -1.4985 432.30 0.6708 1955.50 -0.21999/22/2011 786.45 -1.9963 442.10 -2.2167 1935.50 1.03339/21/2011 838.10 -6.1627 458.30 -3.5348 2006.75 -3.55059/20/2011 851.50 -1.5737 460.90 -0.5641 1989.05 0.88999/19/2011 820.85 3.7339 453.90 1.5422 1916.60 3.78019/16/2011 827.45 -0.7976 459.75 -1.2724 1945.55 -1.48809/15/2011 835.15 -0.9220 465.80 -1.2988 1898.15 2.49729/14/2011 825.30 1.1935 469.50 -0.7881 1831.45 3.64199/13/2011 810.80 1.7884 458.55 2.3880 1840.05 -0.46749/12/2011 805.85 0.6143 454.85 0.8135 1869.15 -1.55699/9/2011 825.10 -2.3331 476.95 -4.6336 1954.90 -4.38649/8/2011 853.50 -3.3275 492.70 -3.1967 2029.65 -3.68299/7/2011 831.70 2.6211 497.95 -1.0543 2028.15 0.07409/6/2011 820.85 1.3218 494.05 0.7894 1980.00 2.43189/5/2011 788.90 4.0499 494.65 -0.1213 2000.00 -1.00009/2/2011 805.40 -2.0487 488.50 1.2590 1993.90 0.30598/30/2011 781.50 3.0582 468.55 4.2578 1974.50 0.98258/29/2011 754.05 3.6403 447.15 4.7859 1938.30 1.86768/26/2011 719.50 4.8019 422.25 5.8970 1888.75 2.62348/25/2011 754.30 -4.6135 443.40 -4.7700 1965.40 -3.90008/24/2011 760.95 -0.8739 455.40 -2.6350 1992.15 -1.34288/23/2011 765.55 -0.6009 475.75 -4.2775 2064.95 -3.52558/22/2011 756.25 1.2298 469.65 1.2988 2061.50 0.16748/19/2011 731.20 3.4259 459.20 2.2757 2039.90 1.05898/18/2011 739.95 -1.1825 462.55 -0.7242 2077.55 -1.81228/17/2011 754.80 -1.9674 472.35 -2.0747 2174.85 -4.47398/16/2011 759.00 -0.5534 468.90 0.7358 2198.40 -1.07128/12/2011 760.80 -0.2366 476.35 -1.5640 2193.45 0.22578/11/2011 773.40 -1.6292 484.55 -1.6923 2250.30 -2.5263

Page 12: VaR Parametric

VaR Portfolio PortfolioRIL Tata SBI RIL Tata Steel SBI

0.4 0.3 0.3 0.0897 -0.4356 -1.2779 -1.62392.0176 2.4134 2.3022 -0.5236 -0.1506 -1.2976 -1.97180.81 0.72 0.69 0.3547 0.1699 0.0262 0.5509

-0.0815 0.1299 0.6109 0.65931.87744787 1.68429 1.60675014824 2.2829 0.5555 0.1892 3.02775.93701146 5.32619264 5.08099009926 0.1866 -0.6615 -0.1355 -0.6104

-0.3220 -0.2528 -0.2664 -0.8412Portfolio VaR 0.1400 -0.3083 0.4114 0.2432

0.4 0.3 0.3 WEIGHT 1.2465 1.0744 0.9891 3.31004.05392367 2.79831938 2.2217978814 0.4 0.5688 1.1831 -1.1296 0.62232.79831938 5.80030735 3.0589854308 0.3 -0.4675 -0.2555 -0.7751 -1.49812.22179788 3.05898543 5.27854178701 0.3 -0.3230 -0.7217 -0.3459 -1.3905

0.3228 -0.1877 0.0323 0.16732.01343579 2.40838273 2.29750773383 -0.2159 -1.1760 -0.5903 -1.9822

-0.2803 0.0832 -0.3226 -0.51973.40116973 0.6934 0.2554 -0.3870 0.56171.84422605 -0.2114 0.3656 -0.1760 -0.0218

-0.0639 -0.1944 0.0602 -0.19824.29031135 0.0863 -1.1841 0.2086 -0.889313.5671558 -0.1359 -0.2655 -0.5082 -0.9095

-0.2480 -0.4744 0.0115 -0.7109-0.7465 -0.1777 -0.0837 -1.00780.4071 0.1304 0.2135 0.7510

3.40116973 -0.1226 -0.6973 -0.1555 -0.97541.84422605 -0.2275 -0.2526 -0.1908 -0.6710

0.2425 -0.0564 0.1072 0.29334.29031135 -0.1060 0.4342 0.5536 0.881813.5671558 -0.0786 -0.0906 0.0599 -0.1094

0.0000 0.3875 0.2841 0.67161.0065 0.9034 0.9120 2.8218-0.1964 0.5491 -0.2548 0.0979-0.0470 0.7529 -0.0383 0.66770.4217 -0.3003 0.0170 0.13840.2897 -0.2938 -0.5821 -0.5862-0.4203 -0.8088 -0.2920 -1.5211-1.0304 0.2390 0.8681 0.07670.0190 0.4748 0.1940 0.68781.0324 0.1039 0.2220 1.3583-0.4349 0.3882 -1.3077 -1.35440.6177 0.5017 0.3976 1.5170-0.0530 -0.3500 -0.9180 -1.3210-0.3377 -0.0873 0.2087 -0.21630.0610 0.2013 0.5870 0.8492-0.4332 -0.0475 -0.2133 -0.69400.4829 -0.0802 0.1688 0.57150.3697 0.1428 0.1167 0.62920.6750 0.8394 1.1422 2.65651.0853 0.0377 0.8003 1.9232

M7
dell27: Sum of 3 VaRs
M8
dell27: Sum of 3 VaRs
Page 13: VaR Parametric

-1.2635 -0.3612 -0.4291 -2.0537-0.0113 -0.5411 -0.5993 -1.15170.2537 -0.4004 -0.3226 -0.46940.0314 0.2951 0.2850 0.61140.5318 0.2572 1.4267 2.2157-0.2556 0.7301 0.5206 0.99520.5384 0.1817 0.2200 0.9402-0.2315 -0.2404 0.2778 -0.1941-0.2473 -0.2126 -1.0297 -1.48960.3979 0.1763 1.0103 1.58450.2073 -0.4435 1.5243 1.28800.5265 0.3213 0.3100 1.1577-0.2907 -0.4779 -0.1793 -0.9479-0.9264 -0.2696 -0.1944 -1.39040.1526 -0.2600 0.1375 0.0301-0.0259 -0.1438 -0.6969 -0.8666-0.7648 -0.7020 -1.0927 -2.5595-0.3719 -0.9681 -0.9950 -2.3349-0.6139 0.5570 0.4898 0.4329-0.6713 -0.9871 -1.3179 -2.9762-0.2421 -0.8991 -0.7607 -1.9019-0.0993 -0.0971 0.0210 -0.17530.1671 0.1169 0.1729 0.4569-0.1798 -0.2608 -0.4655 -0.90600.4943 0.0000 -0.1727 0.32170.0898 -0.1792 -0.2296 -0.3190-0.0761 0.3726 -0.0500 0.24660.2543 -0.4751 -0.9071 -1.1280-0.5554 0.2184 -0.1433 -0.4803-0.4057 0.2135 -0.2398 -0.43200.1581 0.1561 -0.1350 0.1792-0.1016 0.4757 0.4575 0.8316-0.1571 0.2902 0.7319 0.86500.4496 -0.1889 -0.1706 0.09010.5458 0.3724 0.8860 1.8042-0.5437 -0.4038 0.1297 -0.81790.0215 -0.4114 0.7096 0.3197-0.2409 -0.9638 -0.8733 -2.0780-0.2844 -0.2040 -0.0912 -0.57960.6290 0.3878 0.5847 1.6016-0.3983 0.0925 0.4926 0.18681.2913 1.2109 0.4860 2.9882-0.0606 -0.2206 -0.2818 -0.5631-0.2600 0.6047 -0.6853 -0.34060.0493 0.4121 0.1629 0.6243-0.7634 -0.5713 -0.6505 -1.98520.4073 -0.0933 0.0646 0.3786-1.6581 -1.3638 -0.9798 -4.00170.4182 1.2001 0.6785 2.29690.2914 0.3885 0.3403 1.0202

Page 14: VaR Parametric

-0.8835 -0.4259 -0.9197 -2.2290-1.3082 -0.5159 -0.9328 -2.7569-0.7982 0.0195 -0.6640 -1.4428-0.2125 -0.3307 0.3074 -0.23591.4769 0.4002 0.2935 2.17060.8221 0.4827 1.1178 2.42260.6383 2.0221 1.1385 3.7988-0.7753 -0.0809 -0.1388 -0.9950-1.0728 -1.6214 -0.3194 -3.0136-0.8080 -0.9915 -0.9558 -2.75540.1974 0.2467 0.3507 0.7948-0.4055 -0.6105 -0.3163 -1.33231.1356 0.8703 0.1864 2.19230.7604 1.0989 1.4745 3.3338-1.9089 -2.1095 -1.1107 -5.1291-0.8472 0.2672 -0.7224 -1.30230.2352 0.0670 0.0458 0.3480-0.4086 -1.2761 -2.3732 -4.05791.1688 0.8379 0.4345 2.44120.2832 -0.0720 0.8646 1.0758-1.1435 -0.9694 1.3137 -0.7992-0.5707 0.4676 0.7103 0.60730.0000 0.1515 0.9786 1.13010.2850 0.6379 -0.6007 0.3222-0.4926 1.5894 -0.1299 0.9669-0.2517 0.0300 0.0903 -0.13140.6298 -0.1127 0.3255 0.84250.5764 -0.9908 -0.1526 -0.5670-0.2387 0.0353 0.8552 0.65170.4417 -0.4677 0.4407 0.4147-0.0819 0.3258 -0.0643 0.17970.7284 1.2339 0.2336 2.19601.0057 0.5797 1.0602 2.6456-1.0837 -1.0659 -0.7623 -2.91191.3922 0.9270 -0.2042 2.11500.3550 0.8921 0.2249 1.47190.6304 0.3832 1.5559 2.5694-1.1269 -0.6803 0.1374 -1.66970.4178 0.0965 0.7660 1.28030.4248 0.7308 0.3236 1.47921.9747 -1.2161 0.3378 1.09641.5111 1.5011 0.4327 3.4448-1.0191 0.4330 0.6668 0.0807-0.2983 2.1335 0.2803 2.1155-0.5773 0.4392 0.6076 0.46950.7182 0.8634 0.4177 1.99931.0183 0.7104 0.4636 2.19221.0097 0.0745 -0.2758 0.8084-0.9358 -0.1114 -0.0611 -1.1082-0.4256 0.2035 -0.1995 -0.4216

Page 15: VaR Parametric

0.9477 1.8191 1.4147 4.18160.8111 0.4743 0.1880 1.4734-1.1222 -0.6007 -0.1392 -1.8621-1.3892 -0.3167 0.3234 -1.3826-0.7806 -0.2836 -0.6062 -1.6705-0.4048 -0.7255 -0.3920 -1.52220.7770 0.9028 0.2967 1.9765-0.4399 -0.5429 -0.3614 -1.34420.4015 0.2999 0.8382 1.53961.8891 0.5186 0.7638 3.1716-1.2122 -1.5811 -0.8964 -3.68970.7109 -0.1315 -0.8730 -0.2936-1.3730 -0.8157 -1.1015 -3.29020.3775 -0.1076 -0.6749 -0.4050-0.0485 -1.1825 -0.0428 -1.27380.8078 0.4822 0.2386 1.5285-1.4587 -0.9416 -1.4622 -3.8626-1.2192 -0.4123 -0.0305 -1.6621-1.4829 -0.9183 -1.0975 -3.49870.0917 0.3608 0.4417 0.8941-0.1702 -0.5193 0.3514 -0.33800.6162 1.2109 1.1090 2.93601.0118 1.3796 0.9598 3.35120.7216 -0.1666 0.1085 0.6634-0.9195 0.0116 -0.3444 -1.25231.5385 1.0265 1.5295 4.0945-1.0437 -0.8456 0.6796 -1.20970.0233 0.1922 -0.0190 0.1964-1.0716 -0.6634 -0.6103 -2.34530.4169 0.8316 0.2797 1.5282-1.0494 -0.9096 -0.9119 -2.8709-0.1283 -0.5625 -0.5462 -1.2370-1.8046 -0.4433 -0.1258 -2.3737-0.6375 0.3362 0.6070 0.3057-0.5690 -0.8106 -0.3962 -1.7758-0.3937 -1.2105 -0.7443 -2.34850.8930 -1.2567 -1.0446 -1.4083-0.7847 -1.2246 -2.0282 -4.03760.1023 0.0000 0.5086 0.6109-0.2261 0.3831 0.4614 0.61840.6036 -0.3688 0.4015 0.63630.5067 -0.2481 0.1065 0.3650-0.7838 -0.7019 -0.0708 -1.5566-0.9020 0.1467 -0.0047 -0.76001.1290 1.9336 0.6436 3.7061-0.0754 -0.0332 0.4320 0.32331.3589 1.0724 -1.0553 1.37610.5195 0.2950 -0.6320 0.1826-0.1431 -0.5653 0.2194 -0.4890-0.1852 0.4423 0.2400 0.4971

Page 16: VaR Parametric

1.0878 0.4170 0.8967 2.4015-0.6337 -0.7615 -0.4504 -1.8456-1.5505 0.0582 0.1482 -1.34420.9423 -0.8511 -0.0707 0.0205-0.1248 0.4899 0.2355 0.60071.1455 0.7480 1.8211 3.7146-0.0990 -0.0069 0.1804 0.07441.3201 0.9759 0.0462 2.34231.7830 1.4189 0.6392 3.8412-0.2667 0.2568 -1.1989 -1.2088-0.8018 0.1938 -1.2248 -1.8328-0.9947 -1.4846 -0.7590 -3.23830.0099 -1.1965 -0.6000 -1.78660.5571 0.3544 -0.2834 0.6281-0.0426 -0.7993 -0.4133 -1.25522.0364 0.2723 0.6919 3.0005-0.5994 0.2012 -0.0660 -0.4641-0.7985 -0.6650 0.3100 -1.1535-2.4651 -1.0604 -1.0652 -4.5907-0.6295 -0.1692 0.2670 -0.53171.4936 0.4627 1.1340 3.0903-0.3191 -0.3817 -0.4464 -1.1472-0.3688 -0.3897 0.7492 -0.00930.4774 -0.2364 1.0926 1.33360.7153 0.7164 -0.1402 1.29150.2457 0.2440 -0.4671 0.0227-0.9332 -1.3901 -1.3159 -3.6392-1.3310 -0.9590 -1.1049 -3.39491.0485 -0.3163 0.0222 0.75430.5287 0.2368 0.7295 1.49511.6200 -0.0364 -0.3000 1.2836-0.8195 0.3777 0.0918 -0.35001.2233 1.2773 0.2948 2.79541.4561 1.4358 0.5603 3.45221.9208 1.7691 0.7870 4.4769-1.8454 -1.4310 -1.1700 -4.4464-0.3496 -0.7905 -0.4028 -1.5429-0.2404 -1.2832 -1.0577 -2.58120.4919 0.3897 0.0502 0.93181.3704 0.6827 0.3177 2.3707-0.4730 -0.2173 -0.5437 -1.2339-0.7870 -0.6224 -1.3422 -2.7515-0.2213 0.2207 -0.3214 -0.3220-0.0946 -0.4692 0.0677 -0.4961-0.6517 -0.5077 -0.7579 -1.9173