BHP Timeseries Monte Carlo VaR
12
LNReturns Equity\ASX - Bhp Billiton Mar 21, 2005 19.13 Mar 22, 2005 18.86 -0.014 Mar 23, 2005 18.59 -0.014 Mar 24, 2005 18.25 -0.018 Mar 25, 2005 18.25 0.000 Mar 28, 2005 18.25 0.000 Mar 29, 2005 17.96 -0.016 Mar 30, 2005 17.68 -0.016 Mar 31, 2005 17.87 0.011 Apr 1, 2005 18.29 0.023 Apr 4, 2005 18.31 0.001 Apr 5, 2005 18.26 -0.003 Apr 6, 2005 17.84 -0.023 Apr 7, 2005 18 0.009 Apr 8, 2005 18.45 0.025 Apr 11, 2005 18.07 -0.021 Apr 12, 2005 18.18 0.006 Apr 13, 2005 18.09 -0.005 Apr 14, 2005 17.33 -0.043 Apr 15, 2005 16.66 -0.039 Apr 18, 2005 16.4 -0.016 Apr 19, 2005 16.81 0.025 Apr 20, 2005 17.02 0.012 Apr 21, 2005 16.93 -0.005 Apr 22, 2005 17.05 0.007 Apr 25, 2005 17.05 0.000 Apr 26, 2005 16.89 -0.009 Apr 27, 2005 16.65 -0.014 Apr 28, 2005 16.14 -0.031 Apr 29, 2005 16.04 -0.006 May 2, 2005 16.45 0.025 May 3, 2005 16.18 -0.017 May 4, 2005 16.25 0.004 May 5, 2005 16.5 0.015 May 6, 2005 16.52 0.001 May 9, 2005 16.84 0.019 May 10, 2005 16.7 -0.008 May 11, 2005 16.43 -0.016 May 12, 2005 16.29 -0.009 May 13, 2005 15.95 -0.021 May 16, 2005 15.55 -0.025 May 17, 2005 15.71 0.010 May 18, 2005 15.93 0.014 May 19, 2005 16.2 0.017 May 20, 2005 15.88 -0.020 May 23, 2005 15.92 0.003 May 24, 2005 16.25 0.021 May 25, 2005 16.2 -0.003 May 26, 2005 16.05 -0.009 May 27, 2005 16.45 0.025 May 30, 2005 16.85 0.024 May 31, 2005 16.68 -0.010
Transcript of BHP Timeseries Monte Carlo VaR
LNReturnsEquity\ASX - Bhp Billiton
Mar 21, 2005 19.13Mar 22, 2005 18.86 -0.014Mar 23, 2005 18.59 -0.014Mar 24, 2005 18.25 -0.018Mar 25, 2005 18.25 0.000Mar 28, 2005 18.25 0.000Mar 29, 2005 17.96 -0.016Mar 30, 2005 17.68 -0.016Mar 31, 2005 17.87 0.011Apr 1, 2005 18.29 0.023Apr 4, 2005 18.31 0.001Apr 5, 2005 18.26 -0.003Apr 6, 2005 17.84 -0.023Apr 7, 2005 18 0.009Apr 8, 2005 18.45 0.025Apr 11, 2005 18.07 -0.021Apr 12, 2005 18.18 0.006Apr 13, 2005 18.09 -0.005Apr 14, 2005 17.33 -0.043Apr 15, 2005 16.66 -0.039Apr 18, 2005 16.4 -0.016Apr 19, 2005 16.81 0.025Apr 20, 2005 17.02 0.012Apr 21, 2005 16.93 -0.005Apr 22, 2005 17.05 0.007Apr 25, 2005 17.05 0.000Apr 26, 2005 16.89 -0.009Apr 27, 2005 16.65 -0.014Apr 28, 2005 16.14 -0.031Apr 29, 2005 16.04 -0.006May 2, 2005 16.45 0.025May 3, 2005 16.18 -0.017May 4, 2005 16.25 0.004May 5, 2005 16.5 0.015May 6, 2005 16.52 0.001May 9, 2005 16.84 0.019May 10, 2005 16.7 -0.008May 11, 2005 16.43 -0.016May 12, 2005 16.29 -0.009May 13, 2005 15.95 -0.021May 16, 2005 15.55 -0.025May 17, 2005 15.71 0.010May 18, 2005 15.93 0.014May 19, 2005 16.2 0.017May 20, 2005 15.88 -0.020May 23, 2005 15.92 0.003May 24, 2005 16.25 0.021May 25, 2005 16.2 -0.003May 26, 2005 16.05 -0.009May 27, 2005 16.45 0.025May 30, 2005 16.85 0.024May 31, 2005 16.68 -0.010
Jun 1, 2005 16.85 0.010Jun 2, 2005 17.17 0.019Jun 3, 2005 17.42 0.014Jun 6, 2005 17.5 0.005Jun 7, 2005 17.37 -0.007Jun 8, 2005 17.15 -0.013Jun 9, 2005 17.12 -0.002Jun 10, 2005 17.15 0.002Jun 13, 2005 17.15 0.000Jun 14, 2005 17.34 0.011Jun 15, 2005 17.46 0.007Jun 16, 2005 17.71 0.014Jun 17, 2005 18.25 0.030Jun 20, 2005 18.23 -0.001Jun 21, 2005 18.26 0.002Jun 22, 2005 18.11 -0.008Jun 23, 2005 17.79 -0.018Jun 24, 2005 17.76 -0.002Jun 27, 2005 17.63 -0.007Jun 28, 2005 18.08 0.025Jun 29, 2005 18.13 0.003Jun 30, 2005 18.15 0.001Jul 1, 2005 18.09 -0.003Jul 4, 2005 18.2 0.006Jul 5, 2005 18.45 0.014Jul 6, 2005 18.4 -0.003Jul 7, 2005 18.6 0.011Jul 8, 2005 18.38 -0.012Jul 11, 2005 18.8 0.023Jul 12, 2005 18.6 -0.011Jul 13, 2005 18.73 0.007Jul 14, 2005 18.7 -0.002Jul 15, 2005 18.67 -0.002Jul 18, 2005 18.54 -0.007Jul 19, 2005 18.2 -0.019Jul 20, 2005 18.65 0.024Jul 21, 2005 19 0.019Jul 22, 2005 19.09 0.005Jul 25, 2005 19.22 0.007Jul 26, 2005 19.19 -0.002Jul 27, 2005 19.17 -0.001Jul 28, 2005 19.15 -0.001Jul 29, 2005 19.36 0.011Aug 1, 2005 19.4 0.002Aug 2, 2005 19.3 -0.005Aug 3, 2005 19.52 0.011Aug 4, 2005 19.8 0.014Aug 5, 2005 19.6 -0.010
1 2 3 4 5 6 7 81 0.012143 0.631989 -0.423974 -0.149502 1.049432 -1.944898 0.602745 -0.0888652 0.166738 -1.026954 -0.916275 -2.013785 -0.1618 1.113426 0.279808 1.1054553 0.021246 0.494689 0.49105 -1.013977 -0.314448 0.359686 -0.279336 -1.136854 -0.072382 0.53129 0.288584 1.193281 1.913997 0.722029 -0.173977 1.6065895 -0.179012 0.891876 1.21349 -0.89787 -0.443872 0.557421 -0.014076 -0.5239566 -0.640485 -0.367226 -0.701109 -1.027322 -0.388347 0.440385 -0.26127 0.2722937 0.729188 3.014575 -0.828488 0.331243 -0.74947 -0.442174 0.476426 -0.3724198 0.731737 -0.021626 -1.301674 -0.240721 -0.927464 -0.266603 0.914972 -0.4623249 -0.440695 -1.782626 1.119582 0.959135 -0.655442 -0.356005 0.60785 -0.695133
10 -0.13809 -0.444842 -1.583207 0.506195 0.780075 -0.143044 2.327574 0.38729711 0.372776 2.224585 0.342378 -0.200003 0.227864 -1.193622 0.402161 -0.37987812 1.223172 1.269546 0.709048 -0.223551 -1.830834 0.444185 0.27203 0.11586113 -0.021374 1.075642 0.088808 -0.100044 -0.655 -0.172307 -0.954574 0.19778414 1.205711 -1.162225 0.971024 1.318792 0.467716 -1.654314 1.682518 1.77844915 -1.706801 1.493568 -0.317711 -0.548435 -2.043489 -1.454765 -1.044633 1.50792416 0.509196 -0.756185 0.395167 -0.014959 -0.926385 0.718274 -0.515229 0.83258317 -1.173057 -0.722554 0.855488 0.180595 -0.811019 0.187649 -0.234499 2.32186518 0.271626 -0.588928 1.310446 -1.279596 0.037111 -0.249641 -1.176588 -0.20163619 1.930697 -1.066621 -0.132537 -0.998134 -1.221333 0.296217 0.909859 0.18188620 -0.716268 -0.128467 -1.371671 0.629814 1.839591 -0.25634 -0.456712 1.10545721 -0.544112 -0.273648 0.190585 0.287949 0.044259 -2.183798 -0.006695 1.26553222 1.971595 -1.639916 -0.548355 0.194343 3.336662 -1.19208 -0.445975 1.28163723 1.139429 -0.127064 1.235623 0.445728 1.988278 0.647217 0.346119 0.69169624 0.283647 0.962335 -2.729271 -0.606821 0.493944 -2.213019 -1.316185 0.57462725 0.095652 -0.404473 0.246806 0.524317 0.053559 1.491486 -0.370191 -1.25359126 -0.896874 0.100844 1.18189 -1.223223 0.284528 -2.472785 -0.916607 -1.28284727 -1.598216 -1.186596 0.331061 0.166853 -0.976691 1.341009 0.216731 -0.3940928 -0.07726 1.022011 -1.477075 -0.629284 1.223248 -0.16257 2.009393 -0.35928329 1.11598 -0.810113 1.179035 0.766395 0.506108 -0.901496 -0.726859 1.17354630 0.987518 0.032831 -0.14655 0.334015 0.409505 -0.044425 -0.070961 0.65123531 -3.002211 -0.553824 1.198788 1.404904 0.002151 0.128068 -0.084518 -1.80547332 -0.191912 -1.893644 -0.475092 1.346785 0.418686 -0.80641 0.561153 1.01648733 0.192667 0.46675 0.049392 -0.357735 -0.717702 1.291338 1.151157 -1.26221934 -0.662544 0.723095 0.147167 0.029556 1.55547 0.501368 -0.364266 1.31415835 0.106281 -1.611564 -1.08813 -0.706548 -0.296091 0.939126 -1.177557 -0.49782736 -0.313366 1.404761 -0.04514 -0.609478 -1.597368 0.360799 0.498074 -1.107637 1.2222 1.466826 1.236693 0.104988 -1.593244 1.375441 0.042173 -1.50973838 -0.610797 -0.018493 -1.498164 0.994018 -0.303693 -1.843106 0.879177 1.0973439 0.423706 0.469946 -0.104655 0.571995 1.265593 0.1189 0.606653 -1.76483240 -0.091164 0.575914 -0.724481 -0.117505 -0.741178 -0.382333 2.620576 -0.75862541 -1.47796 -0.04729 0.690053 2.584465 1.064783 -0.173451 -0.569407 0.18003342 0.591727 2.12479 -0.932601 0.502455 -0.504126 1.313129 -1.724224 -0.2599143 -1.296322 -0.627992 0.407838 -0.533227 0.384869 0.515756 1.356268 1.68783444 0.511874 -0.274483 0.609402 0.635335 -0.132498 -0.888125 -1.750775 0.71626145 -1.125681 0.108846 -1.443104 -2.113697 -2.465848 0.075296 0.701979 -0.06635746 1.743037 0.367809 -0.229413 -0.368395 -2.04327 -0.529423 -0.357908 -0.21859847 1.211006 -0.251734 -1.777773 0.432034 0.799634 -2.027993 -1.314731 -0.73168948 0.606484 0.016983 0.272667 -0.450662 0.886584 2.657014 -0.43166 0.4539149 -0.443031 -0.446636 0.097566 -1.92521 -0.435962 -0.039111 -0.402275 1.14524450 -0.336982 -1.427465 -1.382365 0.708994 -0.460318 0.335492 -0.268109 0.21872351 0.610355 0.124093 1.148637 -0.543994 1.050043 1.5191 -1.926894 0.380605
52 -0.052621 0.248622 0.91855 -0.043472 0.595241 0.834093 0.74832 -1.18943753 -0.068893 1.24354 1.687221 -0.414038 0.014725 1.697378 0.532333 -1.53019254 1.046316 1.054697 0.707003 0.144526 -0.220475 -0.012368 -3.005541 2.67347655 -0.696147 0.527451 1.013877 0.376292 -0.140005 0.519474 0.054249 0.07948256 0.520858 -0.280251 1.739377 0.791464 -1.675813 2.243853 -0.728828 -1.50984357 -0.805806 -1.18372 0.148503 0.757406 0.169999 0.284532 -0.908176 -0.89172258 -0.79862 0.174045 -0.804534 -0.093986 -1.055235 0.484867 0.344418 -0.46556659 -0.596574 -0.70594 -0.15595 -0.617917 -0.084584 0.396604 0.113858 1.02042660 1.62061 2.088531 0.219291 0.758045 0.818107 1.031717 -1.455877 -0.53791861 0.080099 0.461119 -0.78111 -0.628497 0.784513 -0.891211 0.326958 1.14412162 -0.814849 0.382189 0.813698 0.266359 0.882783 -1.545087 -0.560902 -0.5047863 2.040022 0.633234 -1.444965 2.235726 1.214363 -0.385807 1.227277 -0.04280364 -0.085931 -0.439729 1.358112 1.103851 1.28255 0.46571 0.163393 0.65040265 1.492359 1.270201 -0.08782 -1.422351 0.079611 -0.102248 1.304148 0.05138366 -0.048171 1.224084 -0.619384 0.262944 0.361377 0.793244 2.625629 2.54723467 1.438601 -0.329645 -1.230182 -0.514989 -0.435855 0.904022 -0.095081 -0.25753368 -0.237304 0.673597 -1.926727 1.019842 -0.529941 -0.077822 -2.061807 0.66463269 -0.29349 0.502356 -0.292918 3.272328 1.453282 -0.431969 1.108793 -0.28258370 -0.417019 -0.387091 -0.662994 -0.023651 -2.922845 -0.099125 0.262753 0.27478771 0.630191 -0.412078 0.944425 0.79385 -1.581694 -0.551883 0.518741 0.11586172 0.670681 -0.33903 -0.057434 1.171007 -1.953549 0.084376 -1.029996 -1.35452473 1.476505 0.687372 0.128353 -0.164435 -1.133219 -0.944218 -0.483314 -1.10498574 0.121605 -1.463227 1.219348 0.162785 -1.374321 -0.932778 -0.605383 0.49730775 -0.469984 1.269167 -0.595938 -0.002283 -0.767761 -0.486892 0.419244 -2.04403776 -1.246159 0.200552 -0.096616 -1.334548 0.084692 -1.635193 -0.268438 -1.68907377 1.311043 0.0614 -2.331025 -0.599605 -1.108173 1.265439 -0.819395 -0.15143378 -1.775643 -2.020022 -0.204221 0.250172 -0.40565 -0.336347 0.848203 0.12509879 -0.126524 1.007618 0.54174 -0.706978 1.529637 1.659544 1.727466 1.32234180 2.03055 -0.712015 -1.327573 1.576902 0.667649 -0.208702 -1.129658 -1.22711281 -0.695606 1.277903 -1.087432 1.325147 -0.217672 -1.420859 -0.258834 -2.06692382 -0.166362 1.082953 -0.536483 1.223536 -0.412289 0.618311 -1.084513 0.61321783 0.879955 -1.509186 -0.962749 -1.525984 -0.732342 -0.231841 -0.702757 -0.77555684 0.653766 -1.237587 0.293114 3.217512 0.391584 2.270793 0.342025 0.05856685 -0.496466 -2.586222 0.16346 -1.202499 -0.080339 1.336927 -0.451655 0.02521286 -0.887088 0.637968 -1.079417 -1.461413 0.84795 0.005443 -0.284882 -0.5645187 -1.584055 1.459544 0.514679 0.486284 -0.043054 -0.486089 1.93977 -1.08887788 1.180575 1.631782 -1.07507 -0.455028 1.365664 1.255893 -2.03677 -0.30475689 0.161722 0.503134 -0.953063 -1.309021 0.516992 0.253308 1.153535 -1.41817890 -0.406025 1.745009 -0.422453 -0.95157 -1.144347 -1.275376 -0.159494 -0.25622691 1.063587 0.142951 0.347806 1.150075 1.192725 0.094205 -0.598259 -0.20928792 -0.250595 -0.104658 -0.049602 -0.281219 2.777151 1.893332 0.723515 0.21860193 1.349362 0.896627 -0.625582 -0.434938 0.153608 -1.645604 -0.623626 -1.85644494 0.225917 -0.497826 0.549672 1.225872 -1.884027 -0.080019 -0.877394 -1.50320695 -0.268633 0.227363 0.867881 0.863933 -0.311292 -0.729075 -0.730862 -0.32609396 -2.126758 1.344345 -1.084163 0.849195 2.013311 0.079752 -1.561031 0.96937297 -1.312726 -0.626584 -0.47647 -0.52037 -0.876308 0.525525 -0.342198 0.18458898 -0.162233 -0.250363 -1.526921 0.887878 1.293308 -0.115111 -0.396157 0.72026599 -0.25596 -0.754359 -0.653325 2.212448 -0.798204 1.217494 1.918881 0.912839
9 10-1.729456 0.868123-0.477313 0.008008-1.824589 -1.053001-0.827244 0.987803-0.504367 -0.503395
0.3785 -1.4646250.186896 -1.071331
-1.216466 -1.5961381.279931 -0.034836
-0.399099 2.6049261.436967 1.0978970.006043 -0.035675
-0.074872 1.4845930.791453 0.573409
-1.424112 1.2129851.346051 -1.444526
-0.002985 -0.4958732.315051 0.206016
-1.452488 1.01961-0.834973 -2.003702-1.486307 -1.528014-0.290621 -0.045442-0.200472 -0.316039
-1.88437 -0.552391-0.061878 -0.9261320.506143 0.654039
-0.318527 0.593507-0.302708 -0.7888251.068217 -0.645309
-0.332618 0.4386180.480182 -0.964256
-0.023984 -0.5961290.774037 2.2329030.591542 -0.958371.680816 1.1733530.166802 -1.300285
-0.471481 0.557101-0.404887 2.462624
-0.99019 -0.7454311.045344 -0.520251-1.98728 -0.5703290.084204 0.536818
-0.516542 -1.26865-0.128436 -1.832713-0.064917 -0.2985460.255977 -2.4133660.381975 -0.632610.455266 0.2026991.994297 -0.203843
-0.814854 0.4175750.007641 0.067287
1.004501 0.6531660.49651 1.182887
1.107995 0.0573620.800362 0.5265310.801561 3.0439850.378091 -2.841268
0.29228 -1.8463740.775548 0.937951
-0.663861 0.236018-0.846581 1.279504-0.095684 1.0877970.257984 -0.295616
-0.380354 0.9882180.862221 -2.869383
-1.250037 0.0355420.64666 0.277048
0.687807 0.477296-0.248291 -0.2664120.425846 1.2443150.222248 -2.2168341.358439 1.0773311.878426 -0.202734-1.51783 -0.0935371.349508 -1.7512181.184808 -0.100231
-2.462431 0.772290.111217 0.045295
-1.348807 0.5569490.393128 -0.1478031.560237 0.3109411.463464 0.9969380.063746 0.6890240.239507 0.0019620.805784 -0.536497
-1.096872 -0.722603-0.002343 -1.0280410.362478 1.549861
0.51423 1.0541040.562695 0.359695
-1.735907 -1.395025-0.992695 -0.476302-0.016301 0.180442
0.34521 1.044211-0.545352 -0.8583660.348474 0.238757
-0.635158 1.125187-1.548464 0.7605930.919594 -0.403432
1 2 3 4 5 6 7 81 1.274637 -1.534297 -0.278377 -0.886138 0.190955 0.552351 -0.917464 1.185714
Matrix of Random simulated returns of risk factor (BHP stock series LN returns)
[1 by 10] 0.070763 -0.150519 0.028243 0.261392 0.103452 -0.119475 -0.035415 0.129901
1 -0.000173 -0.008983 0.006027 0.002125 -0.014917 0.027646 -0.008568 0.0012632 -0.002404 0.014808 0.013212 0.029038 0.002333 -0.016055 -0.004035 -0.015943 -0.000392 -0.009131 -0.009064 0.018717 0.005804 -0.006639 0.005156 0.0209854 0 0 0 0 0 0 0 05 0 0 0 0 0 0 0 06 0.010259 0.005882 0.01123 0.016456 0.006221 -0.007054 0.004185 -0.0043627 -0.011458 -0.047368 0.013018 -0.005205 0.011776 0.006948 -0.007486 0.0058528 0.007822 -0.000231 -0.013914 -0.002573 -0.009914 -0.00285 0.00978 -0.0049429 -0.010238 -0.041412 0.026009 0.022282 -0.015227 -0.00827 0.014121 -0.016149
10 -0.000151 -0.000486 -0.00173 0.000553 0.000853 -0.000156 0.002544 0.00042311 -0.001019 -0.006083 -0.000936 0.000547 -0.000623 0.003264 -0.0011 0.00103912 -0.028463 -0.029542 -0.016499 0.005202 0.042603 -0.010336 -0.00633 -0.00269613 -0.000191 0.009604 0.000793 -0.000893 -0.005848 -0.001538 -0.008523 0.00176614 0.029772 -0.028698 0.023977 0.032564 0.011549 -0.040849 0.041546 0.04391515 0.035521 -0.031083 0.006612 0.011414 0.042528 0.030276 0.02174 -0.03138216 0.00309 -0.004589 0.002398 -9.08E-05 -0.005622 0.004359 -0.003127 0.00505317 0.005822 0.003586 -0.004246 -0.000896 0.004025 -0.000931 0.001164 -0.01152318 -0.011658 0.025277 -0.056245 0.054921 -0.001593 0.010715 0.050499 0.00865419 -0.076124 0.042055 0.005226 0.039355 0.048155 -0.011679 -0.035874 -0.00717120 0.011266 0.002021 0.021575 -0.009907 -0.028935 0.004032 0.007184 -0.01738821 -0.013436 -0.006757 0.004706 0.00711 0.001093 -0.053924 -0.000165 0.03124922 0.024478 -0.02036 -0.006808 0.002413 0.041425 -0.0148 -0.005537 0.01591223 -0.006041 0.000674 -0.006551 -0.002363 -0.010542 -0.003431 -0.001835 -0.00366724 0.002003 0.006797 -0.019277 -0.004286 0.003489 -0.015631 -0.009296 0.00405925 0 0 0 0 0 0 0 026 0.008456 -0.000951 -0.011143 0.011533 -0.002683 0.023315 0.008642 0.01209527 0.022873 0.016982 -0.004738 -0.002388 0.013978 -0.019192 -0.003102 0.0056428 0.002404 -0.031794 0.045951 0.019577 -0.038055 0.005057 -0.062511 0.01117729 -0.006936 0.005035 -0.007328 -0.004763 -0.003145 0.005603 0.004517 -0.00729430 0.024925 0.000829 -0.003699 0.00843 0.010336 -0.001121 -0.001791 0.01643731 0.049685 0.009166 -0.019839 -0.023251 -3.56E-05 -0.002119 0.001399 0.0298832 -0.000828 -0.008175 -0.002051 0.005814 0.001807 -0.003481 0.002422 0.00438833 0.002942 0.007126 0.000754 -0.005462 -0.010957 0.019715 0.017575 -0.01927134 -0.000803 0.000876 0.000178 3.58E-05 0.001884 0.000607 -0.000441 0.00159235 0.002039 -0.030918 -0.020876 -0.013555 -0.005681 0.018017 -0.022592 -0.00955136 0.002616 -0.011727 0.000377 0.005088 0.013335 -0.003012 -0.004158 0.00924737 -0.019922 -0.023909 -0.020158 -0.001711 0.02597 -0.022419 -0.000687 0.02460838 0.005227 0.000158 0.012821 -0.008506 0.002599 0.015772 -0.007524 -0.0093939 -0.008937 -0.009912 0.002207 -0.012065 -0.026695 -0.002508 -0.012796 0.03722540 0.002315 -0.014627 0.018401 0.002984 0.018825 0.009711 -0.066558 0.01926841 -0.01513 -0.000484 0.007064 0.026457 0.0109 -0.001776 -0.005829 0.00184342 0.008229 0.029549 -0.012969 0.006987 -0.007011 0.018261 -0.023978 -0.00361443 -0.021787 -0.010555 0.006855 -0.008962 0.006469 0.008668 0.022795 0.02836844 -0.010212 0.005476 -0.012158 -0.012675 0.002643 0.017719 0.034929 -0.0142945 -0.002832 0.000274 -0.00363 -0.005317 -0.006203 0.000189 0.001766 -0.000167
46 0.035761 0.007546 -0.004707 -0.007558 -0.041921 -0.010862 -0.007343 -0.00448547 -0.003732 0.000776 0.005479 -0.001331 -0.002464 0.00625 0.004052 0.00225548 -0.005642 -0.000158 -0.002536 0.004192 -0.008247 -0.024717 0.004015 -0.00422249 -0.010906 -0.010995 0.002402 -0.047392 -0.010732 -0.000963 -0.009903 0.02819250 -0.008096 -0.034295 -0.033212 0.017034 -0.011059 0.00806 -0.006441 0.00525551 -0.006189 -0.001258 -0.011647 0.005516 -0.010648 -0.015404 0.019539 -0.00385952 -0.000534 0.002521 0.009314 -0.000441 0.006036 0.008458 0.007588 -0.01206153 -0.001296 0.023395 0.031742 -0.007789 0.000277 0.031933 0.010015 -0.02878854 0.015125 0.015246 0.01022 0.002089 -0.003187 -0.000179 -0.043446 0.03864655 -0.00319 0.002417 0.004645 0.001724 -0.000641 0.00238 0.000249 0.00036456 -0.003884 0.00209 -0.012969 -0.005901 0.012495 -0.016731 0.005434 0.01125857 0.010271 0.015088 -0.001893 -0.009654 -0.002167 -0.003627 0.011576 0.01136658 0.001398 -0.000305 0.001409 0.000165 0.001848 -0.000849 -0.000603 0.00081559 -0.001044 -0.001236 -0.000273 -0.001082 -0.000148 0.000694 0.000199 0.00178760 0 0 0 0 0 0 0 061 0.000883 0.005081 -0.008606 -0.006925 0.008644 -0.009819 0.003602 0.01260662 -0.00562 0.002636 0.005612 0.001837 0.006088 -0.010656 -0.003868 -0.00348163 0.029003 0.009003 -0.020543 0.031785 0.017264 -0.005485 0.017448 -0.00060964 -0.002581 -0.013208 0.040792 0.033155 0.038522 0.013988 0.004908 0.01953565 -0.001636 -0.001393 9.63E-05 0.00156 -8.73E-05 0.000112 -0.00143 -5.63E-0566 -7.92E-05 0.002013 -0.001018 0.000432 0.000594 0.001304 0.004317 0.00418867 -0.011866 0.002719 0.010147 0.004248 0.003595 -0.007457 0.000784 0.00212468 0.004231 -0.012009 0.034349 -0.018182 0.009448 0.001387 0.036757 -0.01184969 0.000495 -0.000848 0.000494 -0.005523 -0.002453 0.000729 -0.001871 0.00047770 0.003064 0.002844 0.004871 0.000174 0.021473 0.000728 -0.00193 -0.00201971 0.015884 -0.010386 0.023804 0.020008 -0.039866 -0.01391 0.013075 0.0029272 0.001852 -0.000936 -0.000159 0.003234 -0.005395 0.000233 -0.002845 -0.00374173 0.001628 0.000758 0.000142 -0.000181 -0.001249 -0.001041 -0.000533 -0.00121874 -0.000403 0.004845 -0.004038 -0.000539 0.004551 0.003089 0.002005 -0.00164775 -0.002849 0.007694 -0.003613 -1.38E-05 -0.004654 -0.002952 0.002542 -0.01239276 -0.017001 0.002736 -0.001318 -0.018207 0.001155 -0.022309 -0.003662 -0.02304477 -0.003558 -0.000167 0.006326 0.001627 0.003007 -0.003434 0.002224 0.00041178 -0.019196 -0.021838 -0.002208 0.002705 -0.004385 -0.003636 0.00917 0.00135279 0.001505 -0.011989 -0.006446 0.008412 -0.0182 -0.019746 -0.020554 -0.01573480 0.045878 -0.016087 -0.029995 0.035628 0.015085 -0.004715 -0.025523 -0.02772581 0.00744 -0.013668 0.01163 -0.014173 0.002328 0.015196 0.002768 0.02210682 -0.001159 0.007543 -0.003737 0.008522 -0.002872 0.004306 -0.007554 0.00427183 -0.001411 0.002419 0.001543 0.002446 0.001174 0.000372 0.001127 0.00124384 -0.00105 0.001987 -0.000471 -0.005166 -0.000629 -0.003646 -0.000549 -9.4E-0585 0.003469 0.018071 -0.001142 0.008402 0.000561 -0.009342 0.003156 -0.00017686 0.016419 -0.011808 0.019979 0.027049 -0.015695 -0.000101 0.005273 0.01044887 -0.03869 0.035649 0.012571 0.011877 -0.001052 -0.011873 0.047378 -0.02659588 0.02195 0.030339 -0.019989 -0.00846 0.025392 0.023351 -0.037869 -0.00566689 0.000764 0.002378 -0.004504 -0.006186 0.002443 0.001197 0.005451 -0.00670290 -0.002756 0.011843 -0.002867 -0.006458 -0.007766 -0.008656 -0.001082 -0.00173991 -0.001661 -0.000223 -0.000543 -0.001797 -0.001863 -0.000147 0.000935 0.00032792 0.000261 0.000109 5.17E-05 0.000293 -0.002896 -0.001974 -0.000754 -0.00022893 -0.001409 -0.000936 0.000653 0.000454 -0.00016 0.001718 0.000651 0.00193894 0.002464 -0.005429 0.005995 0.01337 -0.020548 -0.000873 -0.009569 -0.01639595 -0.000554 0.000469 0.001791 0.001783 -0.000643 -0.001505 -0.001508 -0.00067396 0.010991 -0.006948 0.005603 -0.004389 -0.010405 -0.000412 0.008067 -0.0050197 -0.014879 -0.007102 -0.005401 -0.005898 -0.009933 0.005957 -0.003879 0.00209298 -0.002311 -0.003566 -0.021747 0.012645 0.01842 -0.001639 -0.005642 0.01025899 0.002599 0.007659 0.006633 -0.022462 0.008104 -0.01236 -0.019481 -0.009267
9 101.327447 0.150816
0.130825 0.116575
0.024583 -0.012340.006883 -0.000115
0.03368 0.0194370 00 0
-0.006063 0.02346-0.002937 0.016834-0.013003 -0.0170620.029734 -0.000809
-0.000436 0.002847-0.003929 -0.003002-0.000141 0.00083-0.000669 0.0132550.019543 0.0141590.029638 -0.0252440.008169 -0.0087671.48E-05 0.002461
-0.099362 -0.0088420.057269 -0.0402020.013134 0.031517
-0.036701 -0.037731-0.003608 -0.0005640.001063 0.001676
-0.013309 -0.0039020 0
-0.004772 -0.0061670.004559 -0.0084940.009417 0.02454
-0.006639 0.004011-0.008395 0.011071-0.007947 0.015958-0.000104 -0.0025730.011818 0.0340910.000717 -0.0011610.032247 0.022511
-0.001393 0.0108550.007685 -0.0090810.003465 -0.0210740.020886 0.015723-0.02655 0.013213
-0.020343 -0.0058380.001171 0.007465
-0.008682 -0.0213220.002562 0.036564
-0.000163 -0.000751
0.005252 -0.049514-0.001177 0.001949-0.004235 -0.0018860.049093 -0.005018
-0.019577 0.010032-7.75E-05 -0.0006820.010186 0.0066230.009341 0.0222540.016016 0.0008290.003667 0.002413
-0.005977 -0.022697-0.004819 0.036216-0.000512 0.0032330.001358 0.001642
0 0-0.009327 0.014097
-0.00066 0.0075020.003668 -0.004203
-0.011424 0.029682-0.000945 0.003146-0.002055 5.84E-05-0.005334 -0.002285-0.012262 -0.0085090.000419 0.00045
-0.003129 -0.0091420.005602 -0.0558740.003752 0.0029750.002071 -0.0002240.005026 0.000310.008181 -0.0106160.016164 -0.0013670.006682 -0.0020960.001202 0.000490.016049 -0.0066270.008882 -0.003339
-0.016687 -0.0033260.010193 0.006944
-0.000102 -0.001105-0.000385 -3.15E-06
-0.00563 0.0037490.020302 0.013375-5.72E-05 -0.025109
0.00674 0.0288160.00243 0.004981
0.003819 0.0024410.002712 0.0021790.001035 0.000497
1.7E-05 -0.0001880.003765 0.011389
-0.001126 -0.001772-0.001801 -0.001234-0.007199 0.012753-0.022054 0.010833-0.009336 0.004096
AUDAugust 4th level 19.8
Simulated Prices Simulated P/L Ranked21.25187 1.451874 10% 5.91499417.03317 -2.766833 20% 2.76740720.36719 0.567187 30% 2.74656925.71499 5.914994 40% 2.44811321.95805 2.158048 50% 2.15804817.57025 -2.229746 60% 1.45187419.11106 -0.688944 70% 0.56718722.54657 2.746569 80% -0.68894422.56741 2.767407 90% -2.22974622.24811 2.448113 100% -2.766833
90% VaR -2.229746
Therefore, the MC 90% VaR on one share of BHP is AUD$2.23
