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CORRELATION MATRIX
NIFTYRET BANKNIFT RELIANCERETURNS
NIFTYRET 1 0.875713 0.562573
BANKNIFTYRETURN 0.875713 1 0.424378
RELIANCERETURNS 0.562573 0.424378 1
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NIFTY BANKNIFTYRETURN
LB UB COUNT PROB CUMPROBaverage COUNT
-13% 0 0 0 0
-13% -12% 0 0 0 #DIV/0! 0
-12% -11% 0 0 0 #DIV/0! 0
-11% -10% 0 0 0 #DIV/0! 0
-10% -9% 0 0 0 #DIV/0! 0
-9% -8% 0 0 0 #DIV/0! 1
-8% -7% 0 0 0 #DIV/0! 0
-7% -6% 0 0 0.001049 #DIV/0! 1
-6% -5% 1 0.001049 0.003148 -5.92% 4
-5% -4% 2 0.002099 0.007345 -4.12% 7
-4% -3% 4 0.004197 0.028332 -3.44% 12
-3% -2% 20 0.020986 0.093389 -2.31% 31
-2% -1% 62 0.065058 0.469045 -1.33% 102
-1% 0% 358 0.375656 0.879328 -0.38% 285
0% 1% 391 0.410283 0.982162 0.42% 329
1% 2% 98 0.102833 0.993704 1.39% 112
2% 3% 11 0.011542 0.997901 2.37% 43
3% 4% 4 0.004197 0.997901 3.54% 12
4% 5% 0 0 0.997901 #DIV/0! 7
5% 6% 0 0 0.998951 #DIV/0! 3
6% 7% 1 0.001049 0.998951 6.07% 2
7% 8% 0 0 0.998951 #DIV/0! 0
8% 9% 0 0 0.998951 #DIV/0! 0
9% 10% 0 0 0.998951 #DIV/0! 1
10% 11% 0 0 1 #DIV/0! 0
11% 12% 1 0.001049 1 11.31% 0
12% 13% 0 0 1 #DIV/0! 0
13% 0 0 2 #DIV/0! 1
1 2 #DIV/0!
BANKNIFTYRETURN RELIANCERETURNS
PROB CUMPROBaverage COUNT PROB CUMPROBaverage
0 0
0 0 #DIV/0! 0
0 0 #DIV/0!
0 0 #DIV/0!
0 0.001049 #DIV/0!
0.001049 0.001049 -8.95%
0 0.002099 #DIV/0!
0.001049 0.006296 -6.90%
0.004197 0.013641 -5.45%
0.007345 0.026233 -4.50%
0.012592 0.058762 -3.38%
0.032529 0.165792 -2.46%
0.10703 0.464848 -1.38%
0.299056 0.810073 -0.42%
0.345226 0.927597 0.45%
0.117524 0.972718 1.40%
0.045121 0.98531 2.48%
0.012592 0.992655 3.46%
0.007345 0.995803 4.55%
0.003148 0.997901 5.58%
0.002099 0.997901 6.85%
0 0.997901 #DIV/0!
0 0.998951 #DIV/0!
0.001049 0.998951 9.46%
0 0.998951 #DIV/0!
0 0.998951 #DIV/0!
0 1 #DIV/0!
0.001049 1 #DIV/0!
CORRELATION MATRIX
NIFTYRET
BANKNIFT
RELIANCER
NOTIONAL
WTS
1-DAY-VAR
99% NIFTY 2.62% PORT RISK
97% 1.86%
95% 1.42%
CORRELATION MATRIX
NIFTYRET BANKNIFT RELIANCERETURNS
0.000104 0.000145 9.791211E-05
0.000145 0.000264 0.0001178679
9.791E-05 0.000118 0.0002922883
0.000175