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Hnyhyj
Hnyhyj
Case 3 - Europe-US Po
Q1: Describe the several VaR methodologies a
Q2: Compute the VaR and the C-VaR (conditioned VaR) of
the different methods mentioned and com
cise for the portfolio’s VaR, considering two extreme market events
h Set.2001 and the Black-Monday - 19/10/87).
n the last two years, by performing a backtest. Comment the results
obtained.
onded to a bank’s proprietary trading portfolio and considering the
k adopt an internal approach to compute capital requirements for
market risk.
Shares Date Amount Quotation Value Weight
ALCATEL-LUCENT 01/09/2006 200,000.00 9.233 1,846,600.00 € 10.714%
MICHELIN 01/09/2006 50,000.00 51.597 2,579,865.00 € 14.968%
TECHNIP 01/09/2006 70,000.00 45.190 3,163,300.00 € 18.353%
HEINEKEN 01/09/2006 50,000.00 36.300 1,815,000.00 € 10.531%
PUBLICIS GROUPE 01/09/2006 70,000.00 30.900 2,163,000.00 € 12.550%
UNILEVER CERT 01/09/2006 40,000.00 18.590 743,600.00 € 4.314%
KELLOGG CO 01/09/2006 50,000.00 39.460 1,972,995.00 € 11.447%
COMPANHIA DE BEBIDAS DAS AMÉRI 01/09/2006 15,000.00 7.170 107,550.00 € 0.624%
BANCO BRADESCO 01/09/2006 70,000.00 6.530 457,065.00 € 2.652%
MICROSOFT CORPORATIONS 01/09/2006 80,000.00 20.183 1,614,640.00 € 9.368%
Total Stock Value 16,463,615.00 95.521%
Bonds
BUNDESREPUB 01/06/2007 3.59 111.35% 400,000.00 € 2.32%
US TREASURY BOND 01/06/2007 3.92 95.00% 372,029.35 € 2.16%
Bond Total Amount 772,029.35 € 4.48%
Final Amount 17,235,644.35 100.00%
(PF * CF +AI)*100000
Date Amount Quotation Value Weight
31/12/2009 200,000.00 2.2603 452,060.00 € 2.82%
31/12/2009 50,000.00 51.7712 2,588,560.00 € 16.15%
31/12/2009 70,000.00 49.4 3,458,000.00 € 21.58%
31/12/2009 50,000.00 33.265 1,663,250.00 € 10.38%
31/12/2009 70,000.00 28.5 1,995,000.00 € 12.45%
31/12/2009 40,000.00 22.75 910,000.00 € 5.68%
31/12/2009 50,000.00 37.0806 1,854,030.00 € 11.57% Weights of portfolio
31/12/2009 15,000.00 14.09 211,350.00 € 1.32%
31/12/2009 70,000.00 11.4526 801,682.00 € 5.00%
31/12/2009 80,000.00 21.2447 1,699,576.00 € 10.61%
Total Stock Value 15,633,508.00 € 97.57%
Bonds
31/12/2009 3.59 1.0854 389,905.70 € 2.43%
31/12/2009 3.92 1.3521 0 0.00%
Bond Total Amount 389,905.70 € 2.43%
Final Amount 16,023,413.70 € 100.00%
Weights of portfolio assets, not including Bundesrepub
ALCATEL-LUCENT MICHELIN
Date Close Price Daily Return Date Close Price Daily Return
9/10/2001 135.602 9/10/2001 312.482
9/11/2001 119.565 -12.586% 9/11/2001 292.868 -6.4825%
9/12/2001 130.952 9.097% 9/12/2001 299.632 2.2833%
9/13/2001 122.411 -6.745% 9/13/2001 290.452 -3.1117%
9/14/2001 120.039 -1.957% 9/14/2001 282.142 -2.9028%
9/17/2001 124.499 3.648% 9/17/2001 280.21 -0.6871%
9/18/2001 126.682 1.738% 9/18/2001 266.683 -4.9479%
9/19/2001 124.784 -1.510% 9/19/2001 252.962 -5.2821%
9/20/2001 119.565 -4.272% 9/20/2001 240.787 -4.9327%
9/21/2001 109.127 -9.135% 9/21/2001 266.683 10.2148%
9/24/2001 118.046 7.856% 9/24/2001 286.394 7.1308%
9/25/2001 120.988 2.462% 9/25/2001 286.201 -0.0674%
9/26/2001 122.411 1.169% 9/26/2001 267.842 -6.6297%
9/27/2001 116.718 -4.762% 9/27/2001 270.547 1.0049%
9/28/2001 119.849 2.647% 9/28/2001 279.727 3.3368%
10/1/2001 116.243 -3.055% 10/1/2001 278.277 -0.5197%
10/2/2001 119.09 2.420% 10/2/2001 267.939 -3.7858%
10/3/2001 110.075 -7.872% 10/3/2001 277.215 3.4034%
10/4/2001 117.667 6.670% 10/4/2001 286.974 3.4598%
10/5/2001 114.346 -2.863% 10/5/2001 298.665 3.9931%
10/8/2001 114.061 -0.250% 10/8/2001 295.67 -1.0079%
10/9/2001 118.521 3.836% 10/9/2001 297.023 0.4566%
10/10/2001 130.477 9.611% 10/10/2001 298.762 0.5838%
10/11/2001 133.324 2.159% 10/11/2001 303.4 1.5405%
10/12/2001 139.872 4.795% 10/12/2001 311.13 2.5159%
15-10-2001 131.047 -6.517% 15-10-2001 299.535 -3.7980%
16-10-2001 142.339 8.266% 16-10-2001 313.545 4.5712%
17-10-2001 160.368 11.926% 17-10-2001 326.976 4.1944%
18-10-2001 153.252 -4.539% 18-10-2001 326.3 -0.2070%
19-10-2001 147.938 -3.529% 19-10-2001 321.758 -1.4017%
22-10-2001 153.726 3.838% 22-10-2001 327.556 1.7859%
23-10-2001 157.522 2.439% 23-10-2001 329.005 0.4414%
24-10-2001 162.361 3.026% 24-10-2001 337.218 2.4657%
25-10-2001 157.806 -2.846% 25-10-2001 329.488 -2.3190%
26-10-2001 165.018 4.469% 26-10-2001 334.319 1.4556%
29-10-2001 158.281 -4.168% 29-10-2001 326.59 -2.3390%
30-10-2001 148.981 -6.055% 30-10-2001 325.044 -0.4745%
31-10-2001 159.135 6.593% 31-10-2001 331.711 2.0304%
11/1/2001 160.368 0.772% 11/1/2001 330.455 -0.3794%
11/2/2001 164.544 2.571% 11/2/2001 328.522 -0.5867%
11/5/2001 176.88 7.229% 11/5/2001 328.522 0.0000%
11/6/2001 179.537 1.491% 11/6/2001 328.522 0.0000%
11/7/2001 177.734 -1.009% 11/7/2001 330.938 0.7327%
11/8/2001 182.573 2.686% 11/8/2001 338.668 2.3089%
11/9/2001 176.975 -3.114% 11/9/2001 334.223 -1.3212%
11/12/2001 170.807 -3.547% 11/12/2001 334.803 0.1734%
13-11-2001 186.179 8.617% 13-11-2001 342.339 2.2259%
14-11-2001 191.493 2.814% 14-11-2001 354.128 3.3857%
15-11-2001 197.092 2.882% 15-11-2001 357.799 1.0313%
16-11-2001 204.019 3.454% 16-11-2001 364.756 1.9257%
19-11-2001 210.661 3.204% 19-11-2001 374.902 2.7436%
20-11-2001 198.8 -5.795% 20-11-2001 375.288 0.1029%
21-11-2001 193.581 -2.660% 21-11-2001 361.374 -3.7780%
22-11-2001 201.077 3.799% 22-11-2001 359.925 -0.4018%
23-11-2001 199.749 -0.663% 23-11-2001 362.341 0.6690%
26-11-2001 202.121 1.180% 26-11-2001 375.385 3.5366%
27-11-2001 197.851 -2.135% 27-11-2001 369.877 -1.4782%
28-11-2001 185.515 -6.438% 28-11-2001 357.026 -3.5362%
29-11-2001 186.464 0.510% 29-11-2001 357.509 0.1352%
30-11-2001 193.391 3.648% 30-11-2001 352.968 -1.2783%
12/3/2001 187.792 -2.938% 12/3/2001 355.577 0.7364%
12/4/2001 193.391 2.938% 12/4/2001 352.581 -0.8461%
12/5/2001 208.384 7.467% 12/5/2001 367.172 4.0550%
12/6/2001 213.129 2.252% 12/6/2001 367.945 0.2103%
12/7/2001 210.187 -1.390% 12/7/2001 368.331 0.1049%
12/10/2001 202.501 -3.725% 12/10/2001 368.138 -0.0524%
TECHNIP HEINEKEN
Date Close Price Daily Return Date Close Price Daily Return
9/10/2001 39,5 9/10/2001 35,44
9/11/2001 36,8 -7.08% 9/11/2001 33.82 -4.691%
9/12/2001 35,4 #VALUE! 9/12/2001 35,2 #VALUE!
9/13/2001 37,55 #VALUE! 9/13/2001 35,32 #VALUE!
9/14/2001 35.88 #VALUE! 9/14/2001 33.63 #VALUE!
9/17/2001 36.73 2.34% 9/17/2001 33.82 0.569%
9/18/2001 36,25 #VALUE! 9/18/2001 34.15 0.965%
9/19/2001 34,25 #VALUE! 9/19/2001 33.70 -1.344%
9/20/2001 29.98 #VALUE! 9/20/2001 32.04 -5.039%
9/21/2001 27,75 #VALUE! 9/21/2001 30,52 #VALUE!
9/24/2001 30 #VALUE! 9/24/2001 31,2 #VALUE!
9/25/2001 30,5 #VALUE! 9/25/2001 32,36 #VALUE!
9/26/2001 32.375 #VALUE! 9/26/2001 32,44 #VALUE!
9/27/2001 31,75 #VALUE! 9/27/2001 32,48 #VALUE!
9/28/2001 34,6 #VALUE! 9/28/2001 33.30 #VALUE!
10/1/2001 33.475 #VALUE! 10/1/2001 33.39 0.288%
10/2/2001 33.075 -1.20% 10/2/2001 32.26 -3.436%
10/3/2001 30.975 -6.56% 10/3/2001 31,28 #VALUE!
10/4/2001 32.53 4.88% 10/4/2001 33,12 #VALUE!
10/5/2001 32.7 0.54% 10/5/2001 32.58 #VALUE!
10/8/2001 32.875 0.53% 10/8/2001 33.53 2.856%
10/9/2001 33,45 #VALUE! 10/9/2001 32.81 -2.171%
10/10/2001 33,5 #VALUE! 10/10/2001 33.49 2.051%
10/11/2001 36.000 #VALUE! 10/11/2001 33,24 #VALUE!
10/12/2001 36.075 0.21% 10/12/2001 32,8 #VALUE!
15-10-2001 36,55 #VALUE! 15-10-2001 32.75 #VALUE!
16-10-2001 36.000 #VALUE! 16-10-2001 32.19 -1.725%
17-10-2001 36.125 0.35% 17-10-2001 32.01 -0.573%
18-10-2001 34.425 -4.82% 18-10-2001 30.92 -3.458%
19-10-2001 34,85 #VALUE! 19-10-2001 31,72 #VALUE!
22-10-2001 34.625 #VALUE! 22-10-2001 32.41 #VALUE!
23-10-2001 35.025 1.15% 23-10-2001 32.30 -0.346%
24-10-2001 33,85 #VALUE! 24-10-2001 31,76 #VALUE!
25-10-2001 33.000 #VALUE! 25-10-2001 32.00 #VALUE!
26-10-2001 35.000 5.88% 26-10-2001 32,16 #VALUE!
29-10-2001 34,75 #VALUE! 29-10-2001 31,92 #VALUE!
30-10-2001 32.08 #VALUE! 30-10-2001 32.000 #VALUE!
31-10-2001 31,4 #VALUE! 31-10-2001 32,68 #VALUE!
11/1/2001 32,5 #VALUE! 11/1/2001 32,8 #VALUE!
11/2/2001 33,5 #VALUE! 11/2/2001 32,48 #VALUE!
11/5/2001 32.525 #VALUE! 11/5/2001 34.256 #VALUE!
11/6/2001 32.025 -1.55% 11/6/2001 34,2 #VALUE!
11/7/2001 32.000 -0.08% 11/7/2001 34,8 #VALUE!
11/8/2001 32.625 1.93% 11/8/2001 35.07 #VALUE!
11/9/2001 33.825 3.61% 11/9/2001 33,84 #VALUE!
11/12/2001 33,95 #VALUE! 11/12/2001 34,4 #VALUE!
13-11-2001 34.03 #VALUE! 13-11-2001 34.49 #VALUE!
14-11-2001 34.00 -0.07% 14-11-2001 34.00 -1.425%
15-11-2001 32,55 #VALUE! 15-11-2001 34.03 0.094%
16-11-2001 32.00 #VALUE! 16-11-2001 33,44 #VALUE!
19-11-2001 32,45 #VALUE! 19-11-2001 33.62 #VALUE!
20-11-2001 33.575 #VALUE! 20-11-2001 32.89 -2.213%
21-11-2001 34.000 1.26% 21-11-2001 34.13 3.701%
22-11-2001 34,6 #VALUE! 22-11-2001 34.54 1.212%
23-11-2001 34,4 #VALUE! 23-11-2001 33.68 -2.533%
26-11-2001 33,05 #VALUE! 26-11-2001 33.39 -0.859%
27-11-2001 33,5 #VALUE! 27-11-2001 33.00 -1.181%
28-11-2001 33,1 #VALUE! 28-11-2001 32,6 #VALUE!
29-11-2001 33,1 #VALUE! 29-11-2001 32,96 #VALUE!
30-11-2001 32.875 #VALUE! 30-11-2001 33,2 #VALUE!
12/3/2001 32,4 #VALUE! 12/3/2001 34.06 #VALUE!
12/4/2001 32,5 #VALUE! 12/4/2001 33.50 -1.682%
12/5/2001 34.575 #VALUE! 12/5/2001 32.54 -2.908%
12/6/2001 33.475 -3.23% 12/6/2001 32,64 #VALUE!
12/7/2001 33,7 #VALUE! 12/7/2001 32,04 #VALUE!
12/10/2001 32,75 #VALUE! 12/10/2001 31,32 #VALUE!
PUBLICIS GROUPE UNILEVER CERT
Date Close Price Daily Return Date Close Price Daily Return
9/10/2001 23,79 9/10/2001 504.71
9/11/2001 21 -12.474% 9/11/2001 508.96 0.840%
9/12/2001 20,1 #VALUE! 9/12/2001 508.61 -0.070%
9/13/2001 19,21 #VALUE! 9/13/2001 508.75 0.027%
9/14/2001 17,11 #VALUE! 9/14/2001 511.07 0.455%
9/17/2001 18,23 #VALUE! 9/17/2001 514.95 0.757%
9/18/2001 18,55 #VALUE! 9/18/2001 516.70 0.339%
9/19/2001 18,35 #VALUE! 9/19/2001 517.09 0.076%
9/20/2001 17,89 #VALUE! 9/20/2001 518.66 0.302%
9/21/2001 18,85 #VALUE! 9/21/2001 529.97 2.158%
9/24/2001 19,25 #VALUE! 9/24/2001 522.89 -1.346%
9/25/2001 19,2 #VALUE! 9/25/2001 522.37 -0.099%
9/26/2001 19,35 #VALUE! 9/26/2001 517.73 -0.893%
9/27/2001 19,5 #VALUE! 9/27/2001 516.60 -0.219%
9/28/2001 18,5 #VALUE! 9/28/2001 519.60 0.580%
10/1/2001 17,4 #VALUE! 10/1/2001 515.95 -0.706%
10/2/2001 17,25 #VALUE! 10/2/2001 515.53 -0.080%
10/3/2001 16,16 #VALUE! 10/3/2001 516.19 0.128%
10/4/2001 16,45 #VALUE! 10/4/2001 515.38 -0.157%
10/5/2001 16,94 #VALUE! 10/5/2001 515.42 0.008%
10/8/2001 17,49 #VALUE! 10/8/2001 517.24 0.352%
10/9/2001 18,14 #VALUE! 10/9/2001 516.20 -0.201%
10/10/2001 19,5 #VALUE! 10/10/2001 515.66 -0.104%
10/11/2001 20,5 #VALUE! 10/11/2001 515.65 -0.003%
10/12/2001 20,9 #VALUE! 10/12/2001 515.76 0.023%
15-10-2001 20,7 #VALUE! 15-10-2001 517.21 0.281%
16-10-2001 21,1 #VALUE! 16-10-2001 516.40 -0.157%
17-10-2001 21,56 #VALUE! 17-10-2001 516.36 -0.008%
18-10-2001 21,04 #VALUE! 18-10-2001 517.75 0.268%
19-10-2001 21,31 #VALUE! 19-10-2001 518.71 0.185%
22-10-2001 21,78 #VALUE! 22-10-2001 517.64 -0.206%
23-10-2001 24 #VALUE! 23-10-2001 516.90 -0.142%
24-10-2001 24,71 #VALUE! 24-10-2001 516.19 -0.137%
25-10-2001 24,61 #VALUE! 25-10-2001 517.39 0.231%
26-10-2001 26,31 #VALUE! 26-10-2001 518.41 0.197%
29-10-2001 25,65 #VALUE! 29-10-2001 518.57 0.032%
30-10-2001 24 #VALUE! 30-10-2001 520.36 0.343%
31-10-2001 24,6 #VALUE! 31-10-2001 520.09 -0.051%
11/1/2001 24,9 #VALUE! 11/1/2001 519.54 -0.107%
11/2/2001 25,08 #VALUE! 11/2/2001 519.32 -0.042%
11/5/2001 26,06 #VALUE! 11/5/2001 519.63 0.059%
11/6/2001 26,5 #VALUE! 11/6/2001 519.79 0.030%
11/7/2001 25,67 #VALUE! 11/7/2001 520.31 0.102%
11/8/2001 25,81 #VALUE! 11/8/2001 521.64 0.254%
11/9/2001 26,5 #VALUE! 11/9/2001 521.76 0.024%
11/12/2001 25 #VALUE! 11/12/2001 523.28 0.290%
13-11-2001 28,01 #VALUE! 13-11-2001 520.82 -0.471%
14-11-2001 29,65 #VALUE! 14-11-2001 520.76 -0.012%
15-11-2001 29,65 #VALUE! 15-11-2001 520.80 0.008%
16-11-2001 28,65 #VALUE! 16-11-2001 521.90 0.211%
19-11-2001 28,7 #VALUE! 19-11-2001 523.26 0.260%
20-11-2001 28,8 #VALUE! 20-11-2001 525.18 0.366%
21-11-2001 28,5 #VALUE! 21-11-2001 525.59 0.078%
22-11-2001 28,65 #VALUE! 22-11-2001 524.62 -0.184%
23-11-2001 28,05 #VALUE! 23-11-2001 522.63 -0.380%
26-11-2001 29,1 #VALUE! 26-11-2001 522.44 -0.037%
27-11-2001 28,99 #VALUE! 27-11-2001 523.02 0.112%
28-11-2001 28,35 #VALUE! 28-11-2001 523.96 0.179%
29-11-2001 28,25 #VALUE! 29-11-2001 520.77 -0.611%
30-11-2001 27,91 #VALUE! 30-11-2001 518.78 -0.382%
12/3/2001 26,68 #VALUE! 12/3/2001 519.18 0.077%
12/4/2001 28,65 #VALUE! 12/4/2001 519.25 0.014%
12/5/2001 32 #VALUE! 12/5/2001 518.66 -0.114%
12/6/2001 30,9 #VALUE! 12/6/2001 518.31 -0.068%
12/7/2001 30,45 #VALUE! 12/7/2001 517.39 -0.178%
12/10/2001 30,7 #VALUE! 12/10/2001 516.62 -0.149%
KELLOGG CO COMPANHIA DE BEBIDAS DAS AMÉRICAS
Date Close Price Daily Return Date Close Price Daily Return
9/10/2001 357.22 9/10/2001 3,51
9/11/2001 354.09 -0.881% 9/11/2001 3,48 -0.858%
9/12/2001 354.79 0.199% 9/12/2001 3,48 #VALUE!
9/13/2001 353.71 -0.305% 9/13/2001 3,47 #VALUE!
9/14/2001 348.98 -1.347% 9/14/2001 3,43 #VALUE!
9/17/2001 351.42 0.697% 9/17/2001 3,28 #VALUE!
9/18/2001 349.98 -0.411% 9/18/2001 3,17 #VALUE!
9/19/2001 340.95 -2.613% 9/19/2001 3,16 #VALUE!
9/20/2001 331.64 -2.769% 9/20/2001 2,99 #VALUE!
9/21/2001 314.42 -5.333% 9/21/2001 2,9 #VALUE!
9/24/2001 316.91 0.790% 9/24/2001 2,86 #VALUE!
9/25/2001 309.78 -2.276% 9/25/2001 2,87 #VALUE!
9/26/2001 314.37 1.469% 9/26/2001 2,66 #VALUE!
9/27/2001 323.77 2.949% 9/27/2001 2,86 #VALUE!
9/28/2001 329.39 1.720% 9/28/2001 3,03 #VALUE!
10/1/2001 318.18 -3.463% 10/1/2001 3,07 #VALUE!
10/2/2001 323.21 1.570% 10/2/2001 2,95 #VALUE!
10/3/2001 315.07 -2.550% 10/3/2001 2,83 #VALUE!
10/4/2001 317.42 0.740% 10/4/2001 2,89 #VALUE!
10/5/2001 318.33 0.288% 10/5/2001 2,77 #VALUE!
10/8/2001 315.42 -0.919% 10/8/2001 2,71 #VALUE!
10/9/2001 316.48 0.335% 10/9/2001 2,79 #VALUE!
10/10/2001 325.86 2.922% 10/10/2001 2,92 #VALUE!
10/11/2001 327.95 0.638% 10/11/2001 3 #VALUE!
10/12/2001 320.11 -2.419% 10/12/2001 2,9 #VALUE!
15-10-2001 323.20 0.963% 15-10-2001 3,01 #VALUE!
16-10-2001 317.95 -1.639% 16-10-2001 3,04 #VALUE!
17-10-2001 320.06 0.661% 17-10-2001 3,01 #VALUE!
18-10-2001 321.10 0.324% 18-10-2001 2,99 #VALUE!
19-10-2001 324.70 1.117% 19-10-2001 3,03 #VALUE!
22-10-2001 335.08 3.144% 22-10-2001 3,06 #VALUE!
23-10-2001 336.15 0.322% 23-10-2001 3,08 #VALUE!
24-10-2001 336.55 0.119% 24-10-2001 3,03 #VALUE!
25-10-2001 332.05 -1.349% 25-10-2001 3,05 #VALUE!
26-10-2001 339.02 2.080% 26-10-2001 3,18 #VALUE!
29-10-2001 329.39 -2.884% 29-10-2001 3,1 #VALUE!
30-10-2001 334.52 1.547% 30-10-2001 2,98 #VALUE!
31-10-2001 338.59 1.209% 31-10-2001 3,11 #VALUE!
11/1/2001 344.74 1.799% 11/1/2001 3,21 #VALUE!
11/2/2001 348.30 1.028% 11/2/2001 3,29 #VALUE!
11/5/2001 352.92 1.318% 11/5/2001 3,49 #VALUE!
11/6/2001 353.48 0.159% 11/6/2001 3,59 #VALUE!
11/7/2001 351.82 -0.470% 11/7/2001 3,81 #VALUE!
11/8/2001 350.02 -0.515% 11/8/2001 3,49 #VALUE!
11/9/2001 341.46 -2.475% 11/9/2001 3,56 #VALUE!
11/12/2001 340.09 -0.403% 11/12/2001 3,6 #VALUE!
13-11-2001 345.64 1.619% 13-11-2001 3,74 #VALUE!
14-11-2001 346.26 0.179% 14-11-2001 3,67 #VALUE!
15-11-2001 349.55 0.947% 15-11-2001 3,72 #VALUE!
16-11-2001 339.20 -3.007% 16-11-2001 3,8 #VALUE!
19-11-2001 335.48 -1.101% 19-11-2001 3,84 #VALUE!
20-11-2001 335.27 -0.063% 20-11-2001 3,77 #VALUE!
21-11-2001 338.60 0.989% 21-11-2001 3,77 #VALUE!
22-11-2001 337.47 -0.337% 22-11-2001 3,76 #VALUE!
23-11-2001 338.35 0.262% 23-11-2001 3,93 #VALUE!
26-11-2001 338.01 -0.101% 26-11-2001 4,09 #VALUE!
27-11-2001 334.59 -1.017% 27-11-2001 4,13 #VALUE!
28-11-2001 334.10 -0.147% 28-11-2001 3,82 #VALUE!
29-11-2001 330.93 -0.952% 29-11-2001 3,74 #VALUE!
30-11-2001 329.34 -0.482% 30-11-2001 3,77 #VALUE!
12/3/2001 329.06 -0.086% 12/3/2001 3,81 #VALUE!
12/4/2001 341.55 3.726% 12/4/2001 3,85 #VALUE!
12/5/2001 340.24 -0.386% 12/5/2001 3,88 #VALUE!
12/6/2001 330.98 -2.760% 12/6/2001 4 #VALUE!
12/7/2001 331.60 0.190% 12/7/2001 4,1 #VALUE!
12/10/2001 334.01 0.721% 12/10/2001 4,17 #VALUE!
BANCO BRADESCO S.A MICROSOFT CORPORATION
Date Close Price Daily Return Date Close Price Daily Return
9/10/2001 16.203 9/10/2001 320.09
9/11/2001 16.061 -0.880% 9/11/2001 317.28 -0.881%
9/12/2001 16.093 0.199% 9/12/2001 317.91 0.199%
9/13/2001 16.044 -0.305% 9/13/2001 316.94 -0.305%
9/14/2001 15.830 -1.343% 9/14/2001 312.70 -1.347%
9/17/2001 13.998 -12.299% 9/17/2001 287.74 -8.320%
9/18/2001 12.264 -13.225% 9/18/2001 294.65 2.374%
9/19/2001 13.472 9.395% 9/19/2001 289.79 -1.662%
9/20/2001 13.130 -2.571% 9/20/2001 273.73 -5.704%
9/21/2001 13.291 1.219% 9/21/2001 271.35 -0.872%
9/24/2001 13.380 0.667% 9/24/2001 284.18 4.621%
9/25/2001 12.805 -4.393% 9/25/2001 277.73 -2.297%
9/26/2001 13.404 4.572% 9/26/2001 272.84 -1.775%
9/27/2001 14.588 8.465% 9/27/2001 271.41 -0.528%
9/28/2001 14.703 0.785% 9/28/2001 280.92 3.444%
10/1/2001 14.736 0.224% 10/1/2001 282.75 0.650%
10/2/2001 14.428 -2.112% 10/2/2001 289.54 2.374%
10/3/2001 14.360 -0.472% 10/3/2001 305.46 5.353%
10/4/2001 13.901 -3.249% 10/4/2001 308.98 1.147%
10/5/2001 13.325 -4.232% 10/5/2001 314.09 1.637%
10/8/2001 12.943 -2.909% 10/8/2001 315.74 0.526%
10/9/2001 12.879 -0.496% 10/9/2001 297.09 -6.089%
10/10/2001 13.586 5.344% 10/10/2001 304.52 2.470%
10/11/2001 14.268 4.898% 10/11/2001 312.20 2.491%
10/12/2001 14.206 -0.435% 10/12/2001 311.17 -0.333%
15-10-2001 14.565 2.496% 15-10-2001 319.90 2.768%
16-10-2001 14.350 -1.487% 16-10-2001 321.53 0.508%
17-10-2001 14.386 0.251% 17-10-2001 308.97 -3.982%
18-10-2001 14.293 -0.649% 18-10-2001 314.29 1.704%
19-10-2001 14.883 4.045% 19-10-2001 322.59 2.607%
22-10-2001 15.017 0.896% 22-10-2001 337.32 4.466%
23-10-2001 16.250 7.891% 23-10-2001 340.15 0.836%
24-10-2001 14.745 -9.719% 24-10-2001 343.84 1.080%
25-10-2001 15.815 7.005% 25-10-2001 349.00 1.490%
26-10-2001 15.203 -3.947% 26-10-2001 348.55 -0.130%
29-10-2001 14.999 -1.351% 29-10-2001 329.72 -5.554%
30-10-2001 14.162 -5.742% 30-10-2001 323.96 -1.763%
31-10-2001 14.094 -0.481% 31-10-2001 322.77 -0.367%
11/1/2001 14.197 0.728% 11/1/2001 341.10 5.522%
11/2/2001 15.389 8.062% 11/2/2001 339.56 -0.452%
11/5/2001 16.290 5.690% 11/5/2001 352.75 3.811%
11/6/2001 16.678 2.354% 11/6/2001 361.17 2.359%
11/7/2001 16.621 -0.342% 11/7/2001 356.99 -1.165%
11/8/2001 17.933 7.598% 11/8/2001 361.00 1.117%
11/9/2001 18.102 0.938% 11/9/2001 364.91 1.076%
11/12/2001 18.160 0.320% 11/12/2001 367.76 0.778%
13-11-2001 18.144 -0.088% 13-11-2001 384.99 4.578%
14-11-2001 17.908 -1.309% 14-11-2001 373.13 -3.128%
15-11-2001 17.764 -0.807% 15-11-2001 375.20 0.553%
16-11-2001 18.073 1.725% 16-11-2001 371.33 -1.036%
19-11-2001 18.987 4.934% 19-11-2001 378.36 1.874%
20-11-2001 18.911 -0.401% 20-11-2001 370.38 -2.129%
21-11-2001 19.054 0.753% 21-11-2001 365.48 -1.333%
22-11-2001 18.990 -0.336% 22-11-2001 364.25 -0.337%
23-11-2001 19.602 3.172% 23-11-2001 369.15 1.336%
26-11-2001 20.373 3.858% 26-11-2001 370.42 0.343%
27-11-2001 20.357 -0.079% 27-11-2001 361.47 -2.446%
28-11-2001 19.041 -6.683% 28-11-2001 354.42 -1.971%
29-11-2001 18.047 -5.362% 29-11-2001 365.67 3.127%
30-11-2001 17.706 -1.908% 30-11-2001 358.55 -1.968%
12/3/2001 18.354 3.594% 12/3/2001 363.59 1.395%
12/4/2001 18.611 1.391% 12/4/2001 370.16 1.791%
12/5/2001 18.876 1.414% 12/5/2001 383.36 3.504%
12/6/2001 19.239 1.905% 12/6/2001 385.11 0.456%
12/7/2001 19.835 3.051% 12/7/2001 380.72 -1.148%
12/10/2001 19.963 0.643% 12/10/2001 377.33 -0.893%
US TREASURY 1995 7 5/8% 15/02/25 2025 EUROPE-US PORTFOLIO
Date Close Price Daily Return Date Daily Profit
9/10/2001 1,415.28 9/10/2001
9/11/2001 1,402.86 -0.881% 9/11/2001 -5.19% Portfo
6.00%
9/12/2001 1,405.66 0.199% 9/12/2001 -0.29%
9/13/2001 1,412.91 0.515% 9/13/2001 -0.02%
4.00%
9/14/2001 1,399.77 -0.934% 9/14/2001 -3.84%
9/17/2001 1,394.58 -0.372% 9/17/2001 -0.10%
9/18/2001 1,366.94 -2.002% 9/18/2001 -1.25% 2.00%
9/19/2001 1,354.96 -0.880% 9/19/2001 -2.42%
9/20/2001 1,343.93 -0.817% 9/20/2001 -5.76% 0.00%
9/21/2001 1,369.95 1.918% 9/21/2001 -0.65% 1 1 1 1 1 1 1 1
2 0 0 20 0 2 0 0 20 0 2 0 0 2 0 0 20 0 2 0 0
9/24/2001 1,373.86 0.285% 9/24/2001 4.07% / / / / / / / /
11 14 19 24 27 /2 /5 10 10
-2.00%
9/25/2001 1,360.23 -0.997% 9/25/2001 0.01% 9/ 9 / 9/ 9 / 9/ 10 1 0 10 / 15 -
9/26/2001 1,377.92 1.292% 9/26/2001 0.46% -4.00%
9/27/2001 1,390.20 0.887% 9/27/2001 0.53%
9/28/2001 1,407.80 1.258% 9/28/2001 2.81% -6.00%
10/1/2001 1,406.16 -0.117% 10/1/2001 -1.96%
10/2/2001 1,413.07 0.490% 10/2/2001 -0.98%
-8.00%
10/3/2001 1,408.15 -0.349% 10/3/2001 -2.03%
10/4/2001 1,420.83 0.896% 10/4/2001 2.70%
10/5/2001 1,411.74 -0.642% 10/5/2001 0.80%
10/8/2001 1,411.37 -0.026% 10/8/2001 0.43%
10/9/2001 1,400.44 -0.777% 10/9/2001 0.16%
10/10/2001 1,416.21 1.120% 10/10/2001 2.46%
10/11/2001 1,419.28 0.216% 10/11/2001 3.03%
10/12/2001 1,412.88 -0.452% 10/12/2001 0.30%
15-10-2001 1,411.19 -0.120% 15-10-2001 -0.06%
16-10-2001 1,419.57 0.592% 16-10-2001 0.51%
17-10-2001 1,428.58 0.633% 17-10-2001 0.97%
18-10-2001 1,435.56 0.487% 18-10-2001 -1.66%
19-10-2001 1,436.21 0.045% 19-10-2001 1.00%
22-10-2001 1,447.83 0.806% 22-10-2001 1.65%
23-10-2001 1,449.77 0.134% 23-10-2001 2.08%
24-10-2001 1,456.69 0.476% 24-10-2001 -0.44%
25-10-2001 1,454.83 -0.128% 25-10-2001 -0.60%
26-10-2001 1,461.86 0.482% 26-10-2001 2.62%
29-10-2001 1,448.12 -0.945% 29-10-2001 -2.09%
30-10-2001 1,447.71 -0.028% 30-10-2001 -3.11%
31-10-2001 1,491.40 2.973% 31-10-2001 0.78%
11/1/2001 1,495.46 0.272% 11/1/2001 1.77%
11/2/2001 1,471.74 -1.599% 11/2/2001 1.09%
11/5/2001 1,496.46 1.665% 11/5/2001 1.56%
11/6/2001 1,501.35 0.326% 11/6/2001 0.33%
11/7/2001 1,510.09 0.581% 11/7/2001 -0.24%
11/8/2001 1,511.29 0.080% 11/8/2001 1.35%
11/9/2001 1,505.29 -0.398% 11/9/2001 0.33%
11/12/2001 1,503.68 -0.107% 11/12/2001 -0.47%
13-11-2001 1,517.41 0.909% 13-11-2001 2.81%
14-11-2001 1,494.89 -1.495% 14-11-2001 0.73%
15-11-2001 1,465.27 -2.002% 15-11-2001 -0.59%
16-11-2001 1,437.32 -1.926% 16-11-2001 -0.95%
19-11-2001 1,461.69 1.681% 19-11-2001 1.30%
20-11-2001 1,440.44 -1.464% 20-11-2001 0.11%
21-11-2001 1,439.03 -0.098% 21-11-2001 -0.15%
22-11-2001 1,434.19 -0.337% 22-11-2001 0.50%
23-11-2001 1,430.94 -0.227% 23-11-2001 -0.20%
26-11-2001 1,425.37 -0.390% 26-11-2001 0.37%
27-11-2001 1,424.66 -0.050% 27-11-2001 -0.54%
28-11-2001 1,417.41 -0.510% 28-11-2001 -2.08%
29-11-2001 1,432.47 1.057% 29-11-2001 0.02%
30-11-2001 1,416.94 -1.090% 30-11-2001 -0.72%
12/3/2001 1,427.75 0.760% 12/3/2001 -0.22%
12/4/2001 1,438.91 0.778% 12/4/2001 1.45%
12/5/2001 1,410.33 -2.007% 12/5/2001 3.63%
12/6/2001 1,391.40 -1.351% 12/6/2001 -1.17%
12/7/2001 1,366.19 -1.829% 12/7/2001 -0.22%
12/10/2001 1,374.52 0.608% 12/10/2001 -0.82%
8 8 8 5 7 9 3 5 8 8 8 8 8 3 5 7 1 3 8 8 8 8 8 8
00 200 200 975 975 975 976 976 200 200 200 200 200 9 78 9 78 9 78 9 79 9 79 200 200 200 200 200 200
0- 0- 3 3 3 3 3 1 1- 11 - 11 - 11 - 11 - 3 3 3 3 3 12 - 12 - 12 - 12 - 12 - 1 2-
-1 0-1 - - - - - - - - - - -
3 17 19 21 25 27 15 17 19 23 25 2 9
EUROPE-US PORTFOLIO
Date Daily Profit Initial Scenario Sept.11 2001
9/10/2001 Portfolio Value 16,552,909.36 € 16,023,413.70 €
9/11/2001 -5.19% Percentile 1% (α=0,01) -5.4041% -5.3996%
9/12/2001 -0.29% Percentile 5% (α=0,05) -3.1197% -2.9702%
9/13/2001 -0.02% VAR (99% confidence level) -870,788.72 € -842,254.40 €
9/14/2001 -3.84% VAR (95% confidence level) -508,428.38 € -468,935.35 €
9/17/2001 -0.10% VAR 99% - 10 days -2,753,675.72 € -2,663,442.29 €
9/18/2001 -1.25%
9/19/2001 -2.42%
9/20/2001 -5.76%
9/21/2001 -0.65%
9/24/2001 4.07%
9/25/2001 0.01%
9/26/2001 0.46%
9/27/2001 0.53%
9/28/2001 2.81%
10/1/2001 -1.96%
10/2/2001 -0.98%
10/3/2001 -2.03%
10/4/2001 2.70%
10/5/2001 0.80%
10/8/2001 0.43%
10/9/2001 0.16%
10/10/2001 2.46%
10/11/2001 3.03%
10/12/2001 0.30%
15-10-2001 -0.06%
16-10-2001 0.51%
17-10-2001 0.97%
18-10-2001 -1.66%
19-10-2001 1.00%
22-10-2001 1.65%
23-10-2001 2.08%
24-10-2001 -0.44%
25-10-2001 -0.60%
26-10-2001 2.62%
29-10-2001 -2.09%
30-10-2001 -3.11%
31-10-2001 0.78%
11/1/2001 1.77%
11/2/2001 1.09%
11/5/2001 1.56%
11/6/2001 0.33%
11/7/2001 -0.24%
11/8/2001 1.35%
11/9/2001 0.33%
11/12/2001 -0.47%
13-11-2001 2.81%
14-11-2001 0.73%
15-11-2001 -0.59%
16-11-2001 -0.95%
19-11-2001 1.30%
20-11-2001 0.11%
21-11-2001 -0.15%
22-11-2001 0.50%
23-11-2001 -0.20%
26-11-2001 0.37%
27-11-2001 -0.54%
28-11-2001 -2.08%
29-11-2001 0.02%
30-11-2001 -0.72%
12/3/2001 -0.22%
12/4/2001 1.45%
12/5/2001 3.63%
12/6/2001 -1.17%
12/7/2001 -0.22%
12/10/2001 -0.82%