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8 #VALUE!
9
10 Portfolio value 0.0055
11 0 0.0000
0.014
End-of-Year Portfolio Value
12 10 0.0000
13 20 0.0001
0.012
14 30 0.0001
15 40 0.0004 0.010
16 50 0.0009
17 60 0.0018 0.008
18 70 0.0033
0.006
19 80 0.0055
20 90 0.0081 0.004
21 100 0.0106
22 110 0.0126 0.002
23 120 0.0133
130 0.0126
0.000
24
140 0.0106 0 25 50 75 100 125 150 175 200 225 250
25
26 150 0.0081
27 160 0.0055
28 170 0.0033
29 180 0.0018
30 190 0.0009
31 200 0.0004
32 210 0.0001
33 220 0.0001
34 230 0.0000
35 240 0.0000
36 250 0.0000
D
PORTFOLIO
1 VALUE
2
3
4
5
9
10
f-Year Portfolio
11 Value
12
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15
16
17
18
19
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23
24
75 100 125 150 175 200 225 250
25
26
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30
31
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34
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36
A B C
1 PROBABILITY OF END-YEAR PORTFOLIO VALUE
2 Mean 20%
3 Sigma 30%
4 Initial investment 100
5 Cutoff 50.210
1
QUANTILES FOR LOGNORMAL
DISTRIBUTION
2 Initial value, V0 100
3 Mean, m 10%
4 Sigma, s 30%
5 Time period, T 1 <-- in years
6
7 Parameters of normal distribution of ln(VT)
8 Mean 4.6602 #VALUE!
9 Sigma 0.3000 #VALUE!
10
11 Cutoff 52.576 #VALUE!
12 VaR at 1% level 47.424 #VALUE!
A B C D E F G
1 VaR FOR 3 ASSET PROBLEM
Mean
2 Variance-covariance matrix
returns
3 Asset 1 10% 0.10 0.04 0.03
4 Asset 2 12% 0.04 0.20 -0.04
5 Asset 3 13% 0.03 -0.04 0.60
6
7 Initial investment 100
8 Mean return 0.1185 <-- {=MMULT(TRANSPOSE(B5:B7),H5:H7)}
9 Portfolio sigma 0.3848 <-- {=SQRT(MMULT(MMULT(TRANSPOSE(H5:H7),D5:F7),H5:H7))}
10
11 Mean investment value 111.8500
12 Sigma of investment value 38.4838
13
14 Cutoff 22.3234 <-- =NORMINV(0.01,(1+B10)*B9,B11*B9)
15 Cumulative PDF 0.01 <-- =NORMDIST(B16,B13,B14,TRUE)
16 VaR at 1.00% level 77.6766 <-- =B9-B16
17
18
A B C D E F G H
1 BOOTSTRAPPING DATA--INITIAL POSITION
2 Units of Index held 2
3 Bond maturity May 8, 2000
4
Ruble Ruble Total Ruble Dollar
5 Index interest exchange index bond bond
Date value rate rate value value value
6 2/10/1997 293 5.30% 3.40 586.00 -84.2166 -286.3365
7
8 #VALUE!
9 #VALUE!
10
11 #VALUE!
I
ON 1
2
3
4
5 Portfolio
value
6 299.66
7
8
9 #VALUE!
10
11
A B C D E F
1 EXCHANGE RATE AND INDEX DATA
2 Units of Index held 2
3 Bond maturity May 8, 2000
4
Foreign Exchange Portfolio
5 Day Index
interest rate rate value
6 1/2/1997 462.71 5.28% 3.50 632.13
7 1/3/1997 514.71 5.26% 3.47 738.41
8 1/4/1997 456.5 5.23% 3.46 622.49
9 1/5/1997 487.39 5.24% 3.45 685.17
10 1/6/1997 470.42 5.25% 3.45 651.28
43 2/8/1997 467.14 5.31% 3.44 644.75
44 2/9/1997 562.06 5.32% 3.41 837.17
45 2/10/1997 481.61 5.30% 3.40 676.88
G H I J K L M N
1
2 Return data (to be bootstrapped) Data with random series
3 Daily rates of return over 39 (40?) days
4
6 1 1
7 2 0.1065 -0.0038 -0.0086 2 0.0035
8 3 -0.1200 -0.0057 -0.0029 3 0.0070
9 4 0.0655 0.0019 -0.0029 4 -0.0177
10 5 -0.0354 0.0019 0.0000 5 0.0071
43 38 0.0292 0.0019 0.0058 38 0.0000
44 39 0.1850 0.0019 -0.0088 39 -0.0034
45 40 -0.1545 -0.0038 -0.0029 40 0.0034
O P Q R S T U V W
1
a with random2series Data with random series, sorted
3
4
6 1
7 0.6691 -0.0038 0.1375 -0.0086 0.3609 2 -0.0035 0.0354
8 0.6747 -0.0057 0.3834 -0.0029 0.7954 3 0.0174 0.0491
9 0.7330 0.0019 0.5645 -0.0029 0.5980 4 -0.0069 0.1010
10 0.8678 0.0019 0.3780 0.0000 0.5654 5 -0.0069 0.1288
43 0.9667 0.0019 0.9766 0.0058 0.0482 38 0.0068 0.9242
44 0.4986 0.0019 0.9585 -0.0088 0.8108 39 0.0035 0.9282
45 0.4934 -0.0038 0.8703 -0.0029 0.9177 40 0.0000 0.9667
X Y Z AA AB AC AD AE AF
1
dom series, sorted
2 Bootstrapped data
3
4
5 Value
6 676.8835
7 673.1553
8 689.2195
9 679.0115
10 670.7405
43 714.4228
44 718.6860
45 721.1859
A B C D E F
17 3.3%
150
18 2.7%
19 3.2%
100
20 3.0%
21 4.1% 50
22 5.5%
23 4.6% 0
24 4.9% -1.0000 -0.5000 0.0000 0.5000 1.0000 1.5000
25 4.2%
2.6% Return
26
27 2.7%
28 1.8%
29 2.7%
30 2.0%
31 2.0%
32 2.2%
33 1.9%
34 1.5%
35 1.5%
36 1.3%
37 1.7%
38 1.2%
39 2.0%
40 2.0%
41 1.5%
42 1.5%
43 1.0%
44 1.1%
45 0.7%
46 0.7%
47 0.7%
N O P Q R S T U V
48 0.4%
49 0.7%
50 0.4%
51 0.5%
52 0.7%
53 0.4%
54 0.4%
55 0.3%
56 0.1%
57 0.1%
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
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81
82
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84
85
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97
W X Y Z AA
2
3 Graph title
4 5,000 Iterations
5
6
7
8
on 9
10
11
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000 24
1.5000
25
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47
Helen's
85th Birthday
bingo game!!!
H E L E N
3 23 51 52 75
15 26 40 57 70
9 21 50 68 82
7 22 49 56 71
8 20 45 55 69
Note: The macro which prints new Bingo
cards works only on the Page 224 file.
A B C D E F G H I
1
EXPLAINING
THE TRICK
2 1 0.041996 output1
3 2 0.638563 number
4 3 0.231535 9
5 4 0.201975 11
6 5 0.678208 4
7 6 0.60949 12
8 7 0.089137 1.0000 14
9 8 0.762878 8
10 9 0.185816 15
11 10 0.58846 17
12 11 0.493658 13
13 12 0.924981 6
14 13 0.683465 5
15 14 0.667014 2
16 15 0.815158 1
17 16 0.057147 10
18 17 0.18458 16
19 7
20 3
21
22
23
24
J K
output1
2
3 random
4 0.056689
5 0.162768
6 0.239126
7 0.249104
8 0.365324
9 0.420734
10 0.528947
11 0.54663
12 0.607955
13 0.62611
14 0.662791
15 0.823434
16 0.833914
17 0.878253
18 0.91839
19 0.970711
20 0.99666
21
22
23 This column is
24 called "random1"
A B C D E F G H I
1
EXPLAINING
THE TRICK
2 1 0.041996 output1
3 16 0.057147 number
4 7 0.089137 9
5 17 0.18458 11
6 9 0.185816 4
7 4 0.201975 12
8 3 0.231535 14
9 11 0.493658 8
10 10 0.58846 15
11 6 0.60949 17
12 2 0.638563 13
13 14 0.667014 6
14 5 0.678208 5
15 13 0.683465 2
16 8 0.762878 1
17 15 0.815158 10
18 12 0.924981 16
19 7
20 3
21
22
23
24
J K
output1
2
3 random
4 0.056689
5 0.162768
6 0.239126
7 0.249104
8 0.365324
9 0.420734
10 0.528947
11 0.54663
12 0.607955
13 0.62611
14 0.662791
15 0.823434
16 0.833914
17 0.878253
18 0.91839
19 0.970711
20 0.99666
21
22
23 This column is
24 called "random1"
A B C D E F
1
Helen's
2
85th Birthday
3
4
bingo game!!!
5
H E L E
6
6 19 49 66
7
10 18 51 65
8
14 34 41 61
9
16 30 48 56
10
4 20 47 63
G H I
n's1
thday
2 Ctrl + b runs the macro
me!!!
3
5
N
6
73
7
84
8
71
9
70
10
72
B C D E F
2 H E L E N
3 14 33 47 65 84
4 6 30 49 54 77
5 16 21 37 66 81
6 11 31 41 64 82
7 17 29 48 57 72