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  • Descriptive Statistics

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    Henry Ramirez
    14 views7 pages
    This document provides an example of calculating value-at-risk (VAR) for a position in 1-year zero coupon bonds using a historical simulation method. It shows the interest rates and resulting changes in position value over a recent period. The worst loss over this period was $93,604, so the 90% 1-day VAR is estimated to be $28,046.

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    var

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    This document provides an example of calculating value-at-risk (VAR) for a position in 1-year zero coupon bonds using a historical simulation method. It shows the interest rates and resulting changes in position value over a recent period. The worst loss over this period was $93,604, so the 90% 1-day VAR is estimated to be $28,046.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xls, pdf, or txt
    14 views7 pages

    Descriptive Statistics

    Uploaded by

    Henry Ramirez
    This document provides an example of calculating value-at-risk (VAR) for a position in 1-year zero coupon bonds using a historical simulation method. It shows the interest rates and resulting changes in position value over a recent period. The worst loss over this period was $93,604, so the 90% 1-day VAR is estimated to be $28,046.

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xls, pdf, or txt
    of 7

    Descriptive statistics

    count
    mean
    sample variance
    sample standard deviation
    minimum
    maximum
    range

    #1
    23
    96.7073
    0.0012
    0.0344
    96.65571235
    96.79605072
    0.140338369

    1st quartile
    median
    3rd quartile
    interquartile range
    mode

    96.6791
    96.7024
    96.7305
    0.0514
    96.6744

    low extremes
    low outliers
    high outliers
    high extremes

    0
    0
    0
    0

    Stem and Leaf plot for # 1


    stem unit = 0.01
    leaf unit = 0.001
    Frequency
    1
    0
    5
    3
    2
    2
    1
    2
    4
    1
    1
    0
    0
    0
    1
    23

    Stem
    9665
    9666
    9667
    9668
    9669
    9670
    9671
    9672
    9673
    9674
    9675
    9676
    9677
    9678
    9679

    Leaf
    5
    44444
    333
    33
    22
    1
    11
    0099
    9
    8

    BoxPlot
    8/19/2011 18:21.03 (1)

    96.64

    96.66

    96.68

    96.7

    96.72

    96.74

    96.76

    96.78

    96.8

    96.82

    96.64

    96.66

    96.68

    96.7

    96.72

    96.74

    96.76

    96.78

    96.8

    96.82

    #1

    DotPlot

    96.6

    96.65

    96.7

    8/19/2011 18:21.04 (1)

    96.75

    96.8

    96.85

    #1

    Runs Plot
    96.8500
    96.8000

    #1

    96.7500
    96.7000
    96.6500
    96.6000
    96.5500
    1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23
    Time

    Normal Curve Plot


    96.82

    8/19/2011 18:21.05 (1)

    96.80
    96.78

    #1

    96.76
    96.74
    96.72
    96.70
    96.68
    96.66
    96.64
    -3.0

    -2.0

    -1.0

    0.0

    1.0

    2.0

    3.0

    96.64
    -3.0

    -2.0

    -1.0

    0.0
    1.0
    Normal Score

    2.0

    3.0

    Descriptive statistics
    count
    mean
    sample variance
    sample standard deviation
    minimum
    maximum
    range

    #1
    23
    4,890.929346
    1,184,329,316.657660
    34,414.086021
    -46734.2193
    93604.14923
    140338.3685

    1st quartile
    median
    3rd quartile
    interquartile range
    mode

    -23,372.531514
    0.000000
    28,062.230578
    51,434.762092
    -28,045.953182

    low extremes
    low outliers
    high outliers
    high extremes

    0
    0
    0
    0

    Stem and Leaf plot for # 1


    stem unit = 10000
    leaf unit = 1000
    Frequency
    1
    0
    5
    3
    2
    3
    2
    2
    2
    1
    1
    0
    0
    0
    1
    23

    Stem
    -4
    -3
    -2
    -1
    -0
    0
    1
    2
    3
    4
    5
    6
    7
    8
    9

    Leaf
    6
    88888
    888
    99
    009
    88
    88
    77
    6
    6

    BoxPlot
    8/19/2011 18:25.12 (1)

    -60000 -40000 -20000

    20000

    40000

    60000

    80000

    100000 120000

    -60000 -40000 -20000

    20000 40000
    #1

    60000

    80000

    100000 120000

    DotPlot
    8/19/2011 18:25.13 (1)

    -60000 -40000 -20000

    20000 40000
    #1

    60000

    80000

    100000 120000

    Runs Plot
    120,000.000000
    100,000.000000
    80,000.000000

    #1

    60,000.000000
    40,000.000000
    20,000.000000
    0.000000
    -20,000.000000
    -40,000.000000
    -60,000.000000
    1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23
    Time

    Normal Curve Plot


    120,000.0000

    8/19/2011 18:25.13 (1)

    100,000.0000
    80,000.0000

    #1

    60,000.0000
    40,000.0000
    20,000.0000
    0.0000
    -20,000.0000
    -40,000.0000
    -60,000.0000
    -3.0

    -2.0

    -1.0

    0.0

    1.0

    2.0

    3.0

    -60,000.0000
    -3.0

    -2.0

    -1.0
    0.0
    1.0
    Normal Score

    2.0

    3.0

    Example: VAR for a position in 1-year Zeros


    Posted at: http://www2.bc.edu/~strahan/var.xls
    Historical Simulation

    Day

    Interest
    Rate

    Today (8/31)

    3.41

    Estimation Period
    7/31
    8/1
    8/2
    8/3
    8/6
    8/7
    8/8
    8/9
    8/10
    8/13
    8/14
    8/15
    8/16
    8/17
    8/20
    8/21
    8/22
    8/23
    8/24
    8/27
    8/28
    8/29
    8/30
    8/31

    3.53
    3.56
    3.57
    3.57
    3.56
    3.56
    3.46
    3.48
    3.45
    3.43
    3.46
    3.47
    3.43
    3.39
    3.44
    3.41
    3.44
    3.46
    3.48
    3.51
    3.46
    3.44
    3.38
    3.41

    VAR(90%)
    Worst Loss

    Actual
    Change in
    Interest
    Rate

    Position
    Value
    (MM$s)

    Change in
    Position
    Value ($s)

    96.70

    0.03
    0.01
    0.00
    -0.01
    0.00
    -0.10
    0.02
    -0.03
    -0.02
    0.03
    0.01
    -0.04
    -0.04
    0.05
    -0.03
    0.03
    0.02
    0.02
    0.03
    -0.05
    -0.02
    -0.06
    0.03
    0.03
    0.05

    96.67
    96.69
    96.70
    96.71
    96.70
    96.80
    96.68
    96.73
    96.72
    96.67
    96.69
    96.74
    96.74
    96.66
    96.73
    96.67
    96.68
    96.68
    96.67
    96.75
    96.72
    96.76
    96.67

    -$28,046
    -$9,350
    $0
    $9,352
    $0
    $93,604
    -$18,699
    $28,062
    $18,706
    -$28,046
    -$9,350
    $37,420
    $37,420
    -$46,734
    $28,062
    -$28,046
    -$18,699
    -$18,699
    -$28,046
    $46,779
    $18,706
    $56,141
    -$28,046
    -$28,046
    -$46,734

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