Scribd
Upload
46 views7 pages

Descriptive Statistics

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.

Uploaded by

Henry Ramirez
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
46 views7 pages

Descriptive Statistics

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.

Uploaded by

Henry Ramirez
Copyright
© Attribution Non-Commercial (BY-NC)
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLS, PDF, TXT or read online on Scribd
You are on page 1/ 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

You might also like

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy