0% found this document useful (0 votes)
58 views56 pages

AFM

Advanced Financial Management (VAR and SWAP)

Uploaded by

bts love
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF or read online on Scribd
0% found this document useful (0 votes)
58 views56 pages

AFM

Advanced Financial Management (VAR and SWAP)

Uploaded by

bts love
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF or read online on Scribd
You are on page 1/ 56
a} ear Aands value ab Rise =e an Lrvrestrrenr 2 Exped ste be a : + Over a rien puta. tt eo ee 2 wo Mitr a — geiren. pill. Gr tra _datioital raaaururnent gf is MT MG ris ner an _patinate etl port ble Loe er jean watimeh of Largest Itkaly leas | : _ ea : * Netmal distRbwhion ture = Ges_enly on the — 08 fa HPs a manure Lo! oom - Se are = Ineputayion » Waa ale VaR '(vatue ar Risk) of an treatment ove 10 days se % Aeoo00 pst, a (dene Juweh yf 96>] Lmplin that 4? This ia 45f- prance tak axirnum @ : thw ie a5] rarer tat lo pa a | —}— 10 dae dusouldls reagan oo TY . os ab 5S ep ouput ion. aa st 2 Gan qe. pl tha # = 900;000_ssith_a_ponydemee © thus tr a 54. chanea tar maximum lo fr to value. af lo be EO Jaks a — _| F pranea thar Jou Cr a pel of 10 deg othe te a. Jsgould proud 2 Geooe0 - Creep of Notmak Dishrbuhion se “ghaded Oua = 95f is orf Yenpsente Dvds lOW co joule. + 46. Confidunee dowel > 1960 o| 2 Aoqmo can ale be stakd inf, Le Beolash 2 4 prokdints lowed en day) = yar (1day) x Jac [ D pm = \3333 = 5-44 : —_@® a a. = 5H : vie J nt [a ments, 4p Di ah days dinar ye owilt be J3i5 =e Ju pa pe [ var Wwe [ (o-%) = Jad % pe omumed to be almowt = p= 0 = bar = 0-008 _ al L tn qwuastion. re eae: given tran ge vous fa fin [LF Copal ne) GE=O Quiston’ A adousthy VAR (Aday) = wie Xk { VU = a0ooen k 27x a5%L = losoy Sr moan y Qe fe mou Har maximum hes in thu alue of Peoples ‘Ca my ) sie o_day = 10,304 te VAR (woday ) = var tay) x Jw = (o3e4q x Jo = 8258419 == tf Chante Har dF Lutlh > 10304 peda) S_kecwsithee War 4 Q Wa Wp bX Yad pespre (os xh + OSxI)E + 205-84 -05+1% ON = Obs = 9-306 ee av VAL(Ioday) = hoor 0-Goga]. ~a33xv Jo ES waka Peyote 2 age At iE = fo, 26 +20, Sfvae roams 4a]. org idence Lrvul VAR (tday) = W [ree] = 150 nilion oC ee sub f-0-04 = [s0millien x 2-26 3489 pillion AY) pL Soy Vou at Riak =i > 95 million r= Oo Value wr Rukh = WI = )-h] 19:5 qrillion = wracrwe-Ai = WwW: (x B58) ] = 0. 047 > wy 2-266 ra o> 104. % milléon “Var (Ceayelio) 2 vane (ee (ats) 0625 W= 369000 0345 UW) 2. 59060 a +65 “200,080 Tae 260,000 Tao te OSBK TE Obs Tay) ea o B85 18 AE x 0-6 = a5] Beoveo XUSISK Lae XV = 63,200 VA@ of TeS alow a days 7s VAR of Tes (10 = Boopoor 1-0], x 1-% KV i9 Pet i«p) > 3340 ppoeox (a Xb UX JD Ft Be vat Z ee (10 days) = Divtsffeahion (yates + 33+ 348 — 65,000 = tue = ¥ A covelaven 4 = Abvdujficaew ji. vot benepyeial GY, Tauadey arreseiy byt uiag ariel move = Tusa | eal morning gyi opening ee Ve We (naayt) R= Ady (Tu Wed Ts Si) rene digs} 2 _Yeopoo - [80 = 644060 Centr rong su a7-9e} ——— r= US = 0-0 L 2 23+0032 239 a = e ~ b4qo80 = Wx oom KR KTH —baqeeo et _| 0-06et = Wo 2 1,6900.000 ae eee % Me can trade 1e, may [ow = Gaqe00, 6) rrayievurn poweble Lrevermont = 109 0000 KX He Bacal jy 400000, | Demar tr vst 400964 PIT ae. (an we say De gf vn | +4 is anb of eo is lof. By Te al gal ste wens et nfo fo ta alsa urd ashi ty apt gpien fh _—_} Gr tx “bas ty dunk. howe usteney ie $4 pel ble. : 888 . $ oO (28 6) qe (BE) 1368) 3 a 3/40 = 1B QQ 3-55 Ane & 4 frao = Qt 4yaq) 304 4-49 SF Sfr40 = 263 0-422 eae to-1¢ 6 6 [ito =3tb oF Gol Ne’ O-bk Lind RPT, ER ot pouad soul be as felons : Ar the end gi Yeu 1 > [04 a> ; ior ee Go Line ae => Ar ire ond of Ysas 2 ~ [eras sede > At the ond 4 Yeas 3 fgg de Uber) 4 Aram ond of Yaad § > (10) K1RAIG = Conf 19592 \ror J | Stolemens of NPV > Yeon “te in a en § tt —° a (yy me) ! #6 (asta) Bam 6. TH ©3249 = 4.4. feel HZ oays 366033 a 125 i2sfiesin) ete —o6yo YARIS a 1395 Osh 152): 7290 ey Wola 34653. cheecnube b) Ue need CANS Diserunting, rahe oe ee 4 Stee 0d rite Gren cnn diseour aa, Osean de dueveuded 2th unig jntewar ome aes | Aouig ee (14 dRp) B44 = z (eR 2 LA Qo ) Year Caaptow tr Gans DF O84] PVinew, ° ((24,e0 060) tf Ceapopes I HHO 0 24g __ 658500. Q Q50,08D. OF ¥3Q4D 1250.0 O64 RHE ts 4 [350 090 ORS B03ast Sses t 2 js i \t Dk = boe\y rie # U aay a L4PRy) = 1-0993 gS aa aay i V3 nar ellant Bee Wns | “0 Cip0e), 1 10,20,200| jt 0 0410” 900 2 ot 0-889 2044/50 = _30L 01453 23.54600. A Hon TAY 069s aa SDL gent (At) \2 =p (ef (¥5y : a }O =) Tax (a8) (5:95) —> Tor only pd a Ear (at eat (ag) 6:85 4) pg. (ae ) 2 via90 (4) Recovetyy of We conf Neo Se a Yon 123 2 OFAT = 445 Yeag 4 3 CFAT = #3645 * 19-45 |S scaage oa or tw andy diye year ue0uld as “ latipes Yeon d = 1A¢ = 0-5 found -10} = 0-46 fund + At the ord (9 Veet 2 = 1A = 0-45 Round -107/ 2 0-405 found yi kt the and of Yer 2 Ag = 0.U05 Pound 107. 2 O- 3646 trod, t Mets and of Yarg > 144 03645 Rourd -107. > 0-334) fond | Statement of CFAT faxrieutane 4 yy Ya Ys Ya CFAT. - 145 FAD FS 1-95 | BR 0-4) 0-405 0.3645 (0.398) | crar (Poured) 3.uis 3.13815 g-paes 4.1238 De @ 20 /. 0-833 Oey Ost Our Pv (Pound) 205 2-18 bea 2-Ole Ney ( fourt) = 2405.4 Qte + 65 + 2-016 | 224 = (1045 ¥ 0-5 nud) Conrraion. | Strap. NAV ie poids prefer As wes ecepting ] AY, Gaerewnr of Pv: (Reweprion 4) ] Yuan) CFB SH | oF inh | De@ie/.[Pvy zt) | “| $ Zier a) I eth “4 j ° = (4sqe00) 1 |(asoe%0) ' a50 x 0) cio +650 850410 = 95 | open | ast | 2X | bsvorse/-x 4o/. [2m] jaon715 = 8664) o4y3 | gy. agen | 2 |4350x50/-x60/ @ | 4400481 = 35238) o-cyo | gas || t | 6200 xs0}. x 60}. @| 1 |_| 9250 x50 tho erly Ayaan uo], kom Sid ya pul nomy eed B45) _ 210667 Giakemenr of NPV_( Atteumption A.) Yar in AG ph k_ ——@Ue/. _ 1 ' oO 45D 1 yas xsop= 22s, Was forIar 9-862 Po Gsv0xsr7: aso. Ja/5ra-l 9 -4u3 [pate R250 KEd/-2 yas NF/a> 19881 0-64 New ee EE 590 O Varta Cor (5 rain x as) ©) hnd_cor ie Dapesitiin (se0million =| ‘OL ex iors Dv TE Tk [89 —_ te aT _[ Yaas 3 to ha uso a Orar (Yeas) 2 ges i100 > 2 0 “Powsal CEAT f) eating xpey toute is combine Pasiculau- Arasuat Cf) | Gales (15 million x $160 150 (CO vaxiase Cour (Us million xf 50) (=) Pebr =a ©) Tax @ 30]. (225) CAT (Yeon 1 to Year 4) 585 [ CAT (Yeas 4) > 68-5 + 20 million k (ie ees] | = 48:5 million f Sralerent gf Ineucental oar NPV Yast Intternental OFT. Der] | sneer 2 _(580) uh C30) | Bele 5D - $25 = ain | 5034 Cue 28 65 | a0y-0- ze5 =a | o-eey, | bs-or 24 6096, jrverenral NW dk hi toad. Posh, sou praposal as Tp Carpet iain aa = NPY und Qn Quburnphen Arar Ase. As Ba Paap 8h Lear ft apy Hun yt de te PA. Lrnpnet of coh swale oe pf eascnite E=0 Gr muans “i sobre Wu prsblemn Lorn > Pia wee our NPY, aycurning’ Pagyier id Julk_predid bey gyi v u > pk fc ewe aM ompack of dat “nu posse Value a Hs dik aa ta fo afk ne Agjuwed NP > Pgjar_ an oof ely — 150 41-033) |e (190) 2K 2 Poa et gl gat Be Allenatively , ond (an be prague: 3 He Pashia Period @ | oF @i2}| Pv i ‘Inihial Inveotmen | © (350) ' (3504) Hu EBIDA x (1-t) tooo) 8310 FyEg | AD in Swi Io + NPY dom all squiby ‘Ginameu | 5 S a5 20/. 2 45 = Sag : ep ae tie a wht conty j ips pam agian — CY sober ik palelabl xa nah peelpal (OY) sneur pagent /niciigr tain on NI baud ate Ee ep ti [Ab enduro at Fewer Rae SHAE due _tonstdan “re Scamp) > ft Fed > Find Eri 243 > 6 (Floig)|—> piu + variable 2 yanlanks Ox. 24 24K <[Pintng) > Vosiabe + Fisud > Variable bes Leh e142 (Frat) > Vonlaite + Variable > Voniatle Ged an * 2% Das daikon a house puilding loan . Ra pfu im Pv followiog 7k = Fleatiig Rote = Mtb + 2 m2g0R — Mumbai IneBane Ofeet Pat. Dur te aharge Gn pune, trate. yp Tatousr sould) Chang [en wntestants = Bw Mix Avank be sbe “Auvain « Fes thie yu rvay toes foto on Erlewsr wr el sasip Obarpstint IGA ah red PY, Sim Mer — 4 BOR Te neaain” Wed 1008 #91853 “igo 2iaas a ‘ety Bay FONE 74 + 1900, (3.554 +2msé= lomeste — >. qd. Dirt ta ota aee anne Merday, loe0, 89 618+ Bake ~ Ig! 83M Qf fees TDIAL FLOATING INO: + GD Nur ditiepte 5 xd “Tsou “ata a be he ne A z Gane aniate lu Mar 9 ten aniaing rom nybeid et 2 Z 4 a = EK = U160k Vout Yeon? Yeas = [yore L9eoR Uae Paty) a) ox By te atraegy would bey ‘ : Snxs Ino 3 yea SWAP te Pay LIBDe (oe ee Ner Cer qos Soemnd, alowatric : Pashoulars Year 1-3 Yous Ue Ingeseay Pouyrmenr ‘Instrumuar 50» (3BOR -0 5] Recuipr urdu © yal tone efowk) ries ca Nev oer Hh. < pash Nob cee bynes pater (Yer te har 5 « F457 The teeond alienate. fe foyotid, ab Neb Coph it louses - ur we orate ani folloustng 2 a A QB, bon where to bono = 10min, Camper $y ge jay pany iced Floating isso K f aB oe ¢ osof, Bo a0f7 ek Hh ), Bonk) A Bombey YB = nud net by soume eee ass fi) Bache Unk RA ema kr (2rd lawl Rn) kb a0 : b 4.45. [Rawle < ; 2B f ee ton abate of owangemur A had 1 Py = LaBor 4 03/ Dw cwoanginiar A Se pig: ee 4107 - 4-455 : ok 4 0.054. ei an [h Pritlsini Sslagpa) + Ly phone Heat 03 7 780g + 0-067. ca Ditadvanvage ts & bdr ped orale 120] | @ has Duadariagy to. 6 tating aoe) J eae = Aandis. fleas (Clown ngaline Puyeoud ) co) Onndivon fh fnvouer vale ewap eppestuathy ix that ‘legal Sesion Gf ack_dorpany i bases Voronin usta thoy di her anteution LE eT ee ime aN kame 10 Gs rei spout pale aioe opperertty ip a he ae te Aponte Biya ass 1) ie dag. wale Pe ade a A iow poy tere fo B ong Sma aT 2 ac a oa beets ae ae er i ga or SX Om = 0 ae wre oF | O5x05 = 0-8 p3 fl An +e ontenee A WAP asia asscngmonl, ngmonk fA had to pa = (gor +b-3/ ee ee fe eS cto sash Bur, pte aspa, A i o aor + 107. Go, A fe pani Fup 40 hp & To quaduee’ Ste dated du — “A shautd pucive frovar prom & amounting ® “|_._.W8be +107. = (Lib0R+ 0-054 = 4 ee 2 paste un an ineovar atl SUA assayganueh Pee ale teen fa L_enY10bp = sy Ar lob: ‘ou, B> tObp = ond. } I eee ogy ne ie By SP should: abe nvour fer Crowtig ib, I I | == To marae ia otigefal Jwertion af A fA aig oe, [A ioale pay —“ toe te ele tnl| -E Pinas Lae + 0) 2 Laa0e, +10].) — - Es oy? 4, Fat 9 a4 f. iy atin Pe ae tn jhe aberss swap, A ha to poy > Liese 40-37, —++}____ | t ty Altona ely ple sep 2, 8 iv pi Ate pi nyirg LIOR 410°], tr man lian 4 O37 “of 2 (ree toe] gem r Phoudd Fueiive Fania nee igi eee ye qe, ET "a r (ae I Fs]. * Bitretpalamount en oichargs En yfansig as ll well | O_o th. onde toe ic busap [ee ts isd dma pep pee ae ioe gn Talal fic ea g Su yeg Sud | we it dards Oe ao ArIneospere A: Ino. Supe FR = RHO pug F a =2 today Saye sy eon ya es Wi | (tao = sep = 940 Leow tee a pupa ice bechange vale, wt ova: achaly | ao 44 | _awsil. ath © mabey awe haus 48 Heng. a Sune a) jusap fan be arsaaged at joltews AT begining Ee SWAP, A Ine. Awould Aoesine % 5008 (agus ud. ye [sobs dui tquivelon —G Qrnount * Ab the ed of the QWAP A Inc uscd dulives & aly def auvhal gas. Trangjosed, arta bp EEA aia aia at ee Pe] se squbal $ GWAR, A ane had bo pace, @ Kaw antag yom 23008 —X Dur to ane SWAP) & Ruroipovetin A Ine. ysowld face 0 sae Baus - GeO = EauOw 7M eraans. Ausyieg SUDEP, dd suboid Jie such avi 4 nat C alimibaton of isk, Pultvey Auch $0 fork. undin Suse ($10) Ruetin IK geomet: Mundin SRP 500 Cepek ep aliig, Geko oe Yoo - | Reetive INR fom are Ditleig BSE faxy tv 49 govt und 00, foe bpp nae iis SS Be AM por Iuaukd in $i inloush § 6 ii yok Iuuerd Sn Pg Jovout . |S, toni ffm tia 8) tr 0 fom] af @, Asko Pep wiiwatlly Publ - oof) p > upd a ied yey ulead Po]. oe] f= agp 810-pHO — v O ye oO “ype ang f stadia Me me Suelo = G4: nel.) ¢ = Lag PEN L pryerant gp Sveti = (2]- lp) e = ye} Tgrating tvowncy tak gain afc t= a7 ovcradlngy As apps 18 pee al fuuneen bie i So, suautranr dfagiam Lyould be. , | ia ge tang ta; He vif oe Acid Is iy So lyetter to {gabe oe ain sa i Posnowbar had Tyowsr cbp Pitted Cara] my = 120,000 Yeu re ee at Wi nud te @ = 1200000 ible }o000" ‘oor We i aL 4 (890900 }¥ 4 og t¥0e a nkear fom BUA aad wOup. oh Resour deTeber PameNT BY AL Gn Awe abeuren has 2 (astlecvat 8, DO usar 40 AL odin sap ln 4o600 890000 x 120 ¥ 6 J.) wut fom Bird yurdin swap (216.0,000, [so Lf aeppee A CONE) = | Powubbart Poymer : a ’ | brehonge treded travoaunin Maus, cm (ed = en ] ime . “Ff CeO Cen atin ee - ' | eS = : | asin $e 8 5 Seno —ae 4 Ur fe given ahar cpp Mate = of i] would. Impl a fy ven, hf a i ipa i tron tha os} = Ji = Rasiriouase Cupfos) “Lnvuwar- oy bowrcurura BS lO) aad ; 7 (twisee) (5100 @rpflen) Prorntuna (dnt - Lott het his ce we a frm cne Kelley No Na ( CAP va < Lee Compeit) Comprinin Corfu we me>sf 7 ae) fe) By osp nke si apilis M2 2185 Pipette OOF tore Fa Lat lsuyen, tyros. wale Sriewsr Lanwoy Axed, xnike qa + GAP fim Sn is Put cau, anie Paw = G54 40-40) if Prentum 2 i i An finds role fe an behven & oa tee oe Ogtement- pa Ane prt, (sy Mmreoa) “is ie a : Qnense usu i a ea re Pore +_Exishig Aleta Pal Lede Faas dl Cxish Fined” vate Flee can be used ji Fs Sl hate aye peyton a i tine Aorta - q 4a Zeer i a jon jor erm Ay didnt [ern tu Yyfenttie cute Soler ss A Pasujeutan” (oat 0. Cart Arvoasr Cas TC pwek 10-865 anal Ts bts (aor < Flo rat mcs Cw “te re 5. ae e % [bon 4 OFF. > Fy) a(ner L160k 7 +) ae)» Flot ould ni / aa a lor 4 os < ay. en Pe aoe Company dang CAP & cold Sy vx tan fay ane galloweng 2 f Pan, cet sxoveiiable | copa Du__tempany would seu teepeeeion > n case Flos i eeereisenie + (48 Corepary thy. Lompory: hosuld t% coun Shri, Ratt tye compu ust [00R 40-57 @ | Gata) aa Af A ln fans ald sn fa) nest [rene 40.54 Reith 14 Sok Hides 6405-65 NE, vere weutd tee —NE | ras Eom cost seine NE 4 5 255 NE aes * ne aac Wa we AE Bas 7395 ME rcuaadpay a & tev oir —Fakemanr 9 _sppectui« Ginluwsr on ode ser date | Roar Pass “ Boe 3 offs Ziha|is | so] fie {kot +o: oS as 55 leas 55 WS fay 184 |r 124 18) 184 1a Chagas) 10%5 Ineur@ Gp Flows limeros — Beeupt Ma ares ) @ (6 LOX 6SFNe = = BAe sae IE UK 4240 HL = Hat 1095s im QOH ieyoyl J2603 A016! Qo5sup = = ___ 8359 1599994 Quauen frour vale (eases x Se) 199 19960080 Jor = EBT pa

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