Taller 1

REF LONG/SHORT CALL/PUT S = SPOT(TC) E = STRIKE r = INTERES ANS q = INTERES AS SIGMA = VOLAT MCDO N
1 LONG CALL 3.05 3.00 7.00% 2.00% 10% 80,000
2 LONG CALL 3.05 3.02 7.00% 2.00% 10% 80,000
3 LONG PUT 3.05 2.95 7.20% 2.05% 12% 160,000
4
5
6

Nivel de Confianza 99%

Long Call 1 Long Call 2 Long Put
NOMINAL 80,000.00 80,000.00 160,000.00
PRECIO 0.1122 0.0986 0.0355
VALOR 8972.86 7891.56 5674.44
DELTA 0.7242 0.6782 -0.2276
GAMMA 2.1815 2.3447 1.1693
subyacente VaR delta-gamma -5401 -4907 -2908
S 3.05 3.05 3.05
K(ALPHA) 2.326347874 2.326347874 2.326347874
SIGMA 0.50% 0.50% 0.50%
H 10 10 10
VAR Spot ?S -0.112187508 -0.112187508 0.112187508
?S ^2 0.0125860 0.0125860 0.0125860

VALOR (ACT/PAS) 8973 7892 5674

VaR Delta - Gamma -5401 -4907 -2908
Valor de posicion 22,539
VAR TOTAL S/. -13,216
Taller 2

Tasa Z Spread LAMBDA R

6.00% 4% 2.00% 0.046253728 60%
Factor Dscto Prob Supervivencia
Fechas Cupon Precio G(0,1) Q(0,1) Flujos F*Prob
20/06/2009 0.99638037
30/08/2009 0.05 0.04944 0.99240 0.99104 0.59544 0.00533
30/08/2010 0.05 0.04664 0.95423 0.94625 0.62216 0.02787
30/08/2011 0.05 0.04400 0.91753 0.90348 0.64785 0.02771
30/08/2012 0.05 0.04150 0.88215 0.86253 0.67249 0.02754
30/08/2013 0.05 0.03915 0.84822 0.82354 0.69625 0.02714
30/08/2014 1.05 0.77565 0.81559 0.78632 0.71908 0.02677
1.08610 0.85402
0.99638
Fechas G(0,1) Q(0,1) G*Prob G*Q*Delta Spread (prima)
20/06/2009
20/09/2009 0.99016293 0.988409223 0.011476758 0.24668254 1.8609%
20/12/2009 0.98052799 0.977076601 0.011111952 0.23885654
20/03/2010 0.97109115 0.96599632 0.010759963 0.23130505
20/06/2010 0.96153846 0.954799672 0.010766008 0.23140561
20/09/2010 0.95207974 0.943732802 0.010536543 0.22647347
20/12/2010 0.94281538 0.932912418 0.010201624 0.2192886
20/03/2011 0.93374149 0.922332969 0.00987847 0.21235575
20/06/2011 0.92455621 0.911642413 0.00988402 0.21244808
20/09/2011 0.91546129 0.901075769 0.009673354 0.20792
20/12/2011 0.90655325 0.890744471 0.009365872 0.20132374
20/03/2012 0.89773188 0.880531626 0.009168396 0.1970789
20/06/2012 0.88890084 0.87032558 0.009072163 0.19499794

Taller 3

Halle las desviaciones, las covarianzas y las correlaciones para los retornos

Desviacion (Sigma) Covarianza

MICROSOFT G. ELECTRIC CITIGROUP Mic - G.E Mic - City GE - City

0 0 0 0 0 0
0.001173877 0.000323579 0.00452337 -3.79841E-07 -5.30988E-06 1.46366E-06
0.001154652 0.00071996 0.00455345 -4.83228E-07 -4.75275E-06 5.82005E-07
0.001310315 0.001842859 0.00441474 -1.61563E-06 -4.46759E-06 5.47085E-07
0.001360813 0.001899657 0.00443488 -1.20398E-06 -3.6333E-06 1.26332E-06
0.00183176 0.002250848 0.00436611 -2.77586E-06 -2.4519E-06 2.06523E-07
0.003169739 0.002721405 0.00477498 1.65961E-06 3.49589E-06 3.78645E-06
0.003355389 0.003926155 0.00463847 5.4761E-06 2.89808E-06 2.72161E-06
 Correlaciones

Mic - G.E Mic - City GE - City

-1.00 -1.00 1.00

-0.58 -0.90 0.18
-0.67 -0.77 0.07
-0.47 -0.60 0.15
-0.67 -0.31 0.02
0.19 0.23 0.29
0.42 0.19 0.15

VaR Perdida
Excesos
De la Cartera Observada

- -116,900 -
-46,210 28,100 -
-46,444 8,400 -
-45,165 -35,500 -
-45,847 15,400 -

El numero de excesos esta especificado en la hoja de examen ya que al copiar los

cuadros no podía comprimir todos los datos y anexarlos en uno solo. Solo estoy
copiando algunos cuadros o alguna parte de ellos para que observe el procedimiento.

C) VaR Microsoft

VaR
Perdida
Excesos Razon Verosimilitud Chi cuadrado
Observada
Microsoft

- 2.99213 0.00393
-1,457 600 - NO Se rechaza la Ho 3.84146
-1,435 -2,100 1
-1,624 -1,500 -
-1,683 3,900 -
-2,277 8,100 -
-3,982 -4,200 1

D) VaR General Electric

 Perdida
Excesos
G. Electric Observada

-
-805 -4,000 1
-1,786 10,500 -
-4,603 -4,000 -
-4,732 -8,000 1
-5,578 10,000 -
-6,788 -18,000 1
-9,677 4,000 -
-9,545 -6,500 -
-9,576 -5,500 -
-9,510 -6,000 -
-9,494 -56,000 1

E) VaR Citigroup

Perdida
Excesos
Citigroup Observada Razon Verosimilitud Chi cuadrado

-
-46,863 31,500 - 3.28447 0.00393
-47,410 - - NO Se rechaza la Ho 3.84146
-45,966 -30,000 -
-45,957 19,500 -
-45,384 57,000 -
-50,082 7,500 -
-48,707 -15,000 -
-47,497 -63,000 1
-52,062 -9,000 -
-50,534 -55,500 1
-53,381 -292,500 1