Market & Credit Risk Model

Development &Validation
Bank BNI
21-22 October 2014

prepared by
Benny K. Yudiaatmaja, FRM
www.variskindo.com & http://apps.variskindo.com
m
Total Return
Coupon 10.00% Frequency Semianually 2
Yield 11.00% Horizon 3 years
Price0 100.00 Price1 103.00
Reinvest Coupon +
Period Coupon
Rate Int-on-int
1 5.00 11.00% 6.53
2 5.00 12.00% 6.31
3 5.00 10.00% 5.79
4 5.00 10.00% 5.51
5 5.00 10.00% 5.25
6 5.00 10.00% 5.00
Sum 34.40
Capital Gain 3.00
Total Future Value 37.40
Semi Annual Total Return 5.44%
Annual Total Return 10.88%
Internal Rate of Return
Coupon 10.00% Frequency Semianually 2
IRR 10.87% Horizon 3 years
Price0 100.00 Price1 103.00
Cash Discount Present
Period
Flow Factor Value
1 5.00 0.94844 4.74
2 5.00 0.89954 4.50
3 5.00 0.85316 4.27
4 5.00 0.80917 4.05
5 5.00 0.76745 3.84
6 108.00 0.72788 78.61
Sum 100.00
Price Value of a Basis Point
8.00% 8.01%
Bond Intial Price Price at
PVBP
(YTM = 8%) YTM = 8.01%
Coupon Maturity
12.00% 5 years 115.97 115.93 (0.04)
12.00% 10 years 126.84 126.76 (0.08)
8.00% 5 years 100.00 99.96 (0.04)
8.00% 10 years 100.00 99.93 (0.07)
0.00% 5 years 68.06 68.03 (0.03)
0.00% 10 years 46.32 46.28 (0.04)
Yield Value of Price Change
100.00% 99.75%
Bond Intial Yield Yield at Price
YVPC
(Price = 100%) = 99.75%
Coupon Maturity
12.00% 5 years 12.00% 12.07% 0.07%
12.00% 10 years 12.00% 12.04% 0.04%
8.00% 5 years 8.00% 8.06% 0.06%
8.00% 10 years 8.00% 8.04% 0.04%
0.00% 5 years 0.00% 0.05% 0.05%
0.00% 10 years 0.00% 0.03% 0.03%
Modified Duration
Coupon 10.00% Frequency Semianually 2
Yield 11.00% Maturity 5 years 1.00%
Cash Discount Present
Period t x PV(CF)
Flow Factor Value
1 5.00 0.94787 4.74 4.74
2 5.00 0.89845 4.49 8.98
3 5.00 0.85161 4.26 12.77
4 5.00 0.80722 4.04 16.14
5 5.00 0.76513 3.83 19.13
6 5.00 0.72525 3.63 21.76
7 5.00 0.68744 3.44 24.06
8 5.00 0.65160 3.26 26.06
9 5.00 0.61763 3.09 27.79
10 105.00 0.58543 61.47 614.70
Sum 96.23 776.15
Macaulay duration 4.03
Modified duration 3.82
Price Change Estimate / Error (3.82) -0.0537%
Market Portfolio
Bond
Value Weight
A Rp 10 7.69%
B Rp 50 38.46%
C Rp 30 23.08%
D Rp 25 19.23%
E Rp 15 11.54%
Total Rp 130 100.00%
 Duration
Duration
Contribution
4.00 6.02%
7.00 52.63%
6.00 27.07%
2.00 7.52%
3.00 6.77%
5.12 100.00%
Convexity
Coupon 10.00% Frequency Semianually 2
Yield 11.00% Maturity 5 years 1.00%
Cash A= B=
Period t(t+1)Ct AxB
Flow 1/(1+y)^(t+2)
1 5.00 0.85161 10 8.52
2 5.00 0.80722 30 24.22
3 5.00 0.76513 60 45.91
4 5.00 0.72525 100 72.52
5 5.00 0.68744 150 103.12
6 5.00 0.65160 210 136.84
7 5.00 0.61763 280 172.94
8 5.00 0.58543 360 210.76
9 5.00 0.55491 450 249.71
10 105.00 0.52598 11,550 6,075.09
Sum 13,200 7,099.60
Convexity 71.00
Price Change Estimate / Error (3.82) -0.0501%
Portfolio Duration
Target Bond-1 Bond-2 Portfolio
Maturity 3.00 1.00 5.00
Coupon 16.00% 0.00% 0.00%
Yield 16.00% 16.00% 16.00%
Price 100.00 86.21 47.61
Mod. Dur 2.25 0.86 4.31 2.25
Convexity 7.36 1.49 22.29 9.86
Portion 0.69 0.85
Weight 59.75% 40.25%
Static Spread
Coupon 12.00% Frequency Semianually 2
Yield 12.00% Maturity 5 years Spread 2.08%
Cash Treasury Treasury + Discount Present
Period
Flow Spot Rate Spread Factor Value
1 6.00 9.00% 11.08% 0.94753 5.69
2 6.00 9.25% 11.33% 0.89569 5.37
3 6.00 9.38% 11.45% 0.84619 5.08
4 6.00 9.50% 11.58% 0.79848 4.79
5 6.00 9.63% 11.70% 0.75257 4.52
6 6.00 9.75% 11.83% 0.70846 4.25
7 6.00 9.81% 11.89% 0.66753 4.01
8 6.00 9.88% 11.95% 0.62859 3.77
9 6.00 9.94% 12.01% 0.59158 3.55
10 106.00 10.00% 12.08% 0.55642 58.98
Present Value 100.00
FX Option Pricing
Garman
Delta Gamma Vega Theta
Kohlhangen
Spot 9,000.00 Spot 9,000.00 Spot 9,000.00 Spot 9,000.00 Spot
Strike 9,216.00 Strike 9,216.00 Strike 9,000.00 Strike 9,000.00 Strike
Time 0.50 Time 0.50 Time 0.25 Time 0.25 Time
Rd 9.25% Rd 9.25% Rd 9.25% Rd 9.25% Rd
Rf 4.50% Rf 4.50% Rf 4.50% Rf 4.50% Rf
Forward 9,216.31 Forward 9,216.31 Forward 9,107.51 Forward 9,107.51 Forward
Volatility 20.00% Volatility 10.50% Volatility 10.50% Volatility 10.50% Volatility
d1 0.07095 d1 0.03757 d1 0.25244 d1 0.25244 d1
d2 (0.07047) N(d1) 0.51499 n(d1) 0.38643 n(d1) 0.38643 d2
N(d1) 0.52828 Call 0.50353 Gamma 0.081% Vega 1,719.49 N(d1)
N(d2) 0.47191 Put (0.47422) N(d2)
N(-d1) 0.47172 Strike 9,267.56 N(-d1)
N(-d2) 0.52809 d1 (0.03757) N(-d2)
Call 496.20 N(d1) 0.48501 n(d1)
Put 495.90 Put (0.50353) Call
Put
Theta Rho
9,000.00 Spot 9,000.00
9,000.00 Strike 9,000.00
0.25 Time 0.25
9.25% Rd 9.25%
4.50% Rf 4.50%
9,107.51 Forward 9,107.51
10.50% Volatility 10.50%
0.25244 d1 0.25244
0.19994 d2 0.19994
0.59965 N(d2) 0.57924
0.57924 N(-d2) 0.42076
0.40035 Call 1,273.49
0.42076 Put (925.08)
0.38643
(592.14)
(179.14)
Variance-Covariance Method VaR
Confidence
Level
99.00% R P =wR 1 + ( 1−w ) R 2=w1 R 1 +
Holding
σ 2 ( R P) =w21 σ 21 ( R1 ) +2 w1 w2 σ
10
Period
FX Spot Positions Spot Rate In IDR
USD/IDR 1,000,000 12,230 12,230,000,000
σ 11 σ 12
EUR/IDR
JPY/IDR

Currency
Pair
(1,000,000)
75,000,000

Daily Price
Volatility
15,425
114.15

Adjusted Daily
Volatility
(15,425,000,000)
8,561,250,000
2
σ ( R P ) =[ w 1 w2 ]
[ σ 21 σ 22
USD/IDR 0.53% 3.92%

[
EUR/IDR 0.61% 4.47%
JPY/IDR 0.75% 5.55%

Correlation USD/IDR EUR/IDR JPY/IDR σ 2 ( R P ) =[ w 1 w2 ⋯ wn ]

USD/IDR 1.000 0.576 0.590
EUR/IDR 0.576 1.000 0.356
JPY/IDR 0.590 0.356 1.000

Currency
VaR
Pair
USD/IDR 479,622,729 479,622,729
EUR/IDR 690,160,282 (690,160,282)
JPY/IDR 475,296,619 475,296,619
Diversified
766,270,840
VaR
+ ( 1−w ) R 2=w1 R 1 +w 2 R2
w21 σ 21 ( R1 ) +2 w1 w2 σ 12+w22 σ 22 ( R 2 )
σ 11 σ 12 w1
w 1 w2 ]
[ ][ ]
σ 21 σ 22 w2
=wT Λw

σ 11 σ 12 ⋯ σ1 n w1
w 1 w2 ⋯ wn ]
[ σ 21
⋯
σ n1
σ 22
⋯
σn 2
⋯
⋯
⋯
σ2 n
⋯
σ nn
][ ]
w2
⋯
wn
=wT Λw
Historical Simulation VaR
Position 1,000,000 CL 95%
Volatility 1.36% VaR 128,747,738 80,583,766 100
Date Spot Return P/L P/L Freq Freq %
6-Jun-21 12,230 -921,959,321 0 100.00%
1-Sep-08 9,152 -841,375,555 1 99.00%
60
2-Sep-08 9,202 0.54% 66,632,689 -760,791,789 0 99.00%
3-Sep-08 9,199 -0.03% (3,987,740) -680,208,022 0 99.00%
4-Sep-08 9,203 0.04% 5,316,698 -599,624,256 0 99.00% 50
5-Sep-08 9,367 1.76% 215,757,068 -519,040,489 0 99.00%
8-Sep-08 9,291 -0.81% (99,502,320) -438,456,723 0 99.00%
9-Sep-08 9,312 0.23% 27,611,390 -357,872,956 0 99.00% 40
10-Sep-08 9,322 0.11% 13,126,403 -277,289,190 0 99.00%
11-Sep-08 9,417 1.01% 123,873,283 -196,705,424 1 98.00%
12-Sep-08 9,422 0.05% 6,491,852 -116,121,657 4 94.00% 30
15-Sep-08 9,442 0.21% 25,933,004 -35,537,891 14 80.00%
16-Sep-08 9,447 0.05% 6,474,668 45,045,876 51 29.00%
20
17-Sep-08 9,392 -0.58% (71,410,575) 125,629,642 17 12.00%
18-Sep-08 9,392 0.00% - 206,213,409 4 8.00%
19-Sep-08 9,367 -0.27% (32,597,706) 286,797,175 5 3.00% 10
22-Sep-08 9,282 -0.91% (111,354,883) 367,380,942 1 2.00%
23-Sep-08 9,317 0.38% 46,028,916 447,964,708 1 1.00%
24-Sep-08 9,327 0.11% 13,119,363 528,548,474 0 1.00% 0

-921,959,321
-841,375,555
-760,791,789
-680,208,022
-599,624,256
-519,040,489
25-Sep-08 9,365 0.40% 48,942,050 609,132,241 0 1.00%
26-Sep-08 9,377 0.13% 16,314,065 689,716,007 0 1.00%
29-Sep-08 9,422 0.48% 58,551,099 770,299,774 0 1.00%
30-Sep-08 9,422 0.00% - 850,883,540 0 1.00%
1-Oct-08 9,422 0.00% - 931,467,307 0 1.00%
2-Oct-08 9,422 0.00% - ### 1 0.00%
3-Oct-08 9,422 0.00% -
6-Oct-08 9,582 1.68% 205,685,186
7-Oct-08 9,557 -0.26% (31,823,183)
8-Oct-08 9,592 0.36% 44,580,308
9-Oct-08 9,587 -0.05% (6,376,899)
10-Oct-08 9,852 2.72% 333,227,462
13-Oct-08 9,812 -0.41% (49,757,992)
14-Oct-08 9,737 -0.77% (93,719,810)
15-Oct-08 9,772 0.36% 43,883,707
16-Oct-08 9,857 0.87% 105,799,634
17-Oct-08 9,794 -0.64% (77,671,603)
20-Oct-08 9,807 0.13% 15,474,064
21-Oct-08 9,822 0.15% 18,692,497
22-Oct-08 9,892 0.71% 86,855,873
23-Oct-08 9,937 0.45% 55,388,861
24-Oct-08 9,999 0.63% 76,685,060
27-Oct-08 10,790 7.62% 931,467,307
28-Oct-08 10,791 0.00% 566,700
29-Oct-08 10,791 0.00% -
30-Oct-08 10,666 -1.16% (142,383,894)
31-Oct-08 10,891 2.09% 255,086,950
3-Nov-08 10,816 -0.69% (84,401,505)
4-Nov-08 10,891 0.69% 84,401,505
5-Nov-08 10,891 0.00% -
6-Nov-08 10,888 -0.02% (2,807,763)
7-Nov-08 10,891 0.02% 2,807,763
10-Nov-08 10,916 0.23% 28,042,238
11-Nov-08 11,141 2.04% 249,308,512
12-Nov-08 11,540 3.52% 431,101,081
13-Nov-08 11,690 1.29% 157,732,555
14-Nov-08 11,565 -1.07% (131,372,618)
17-Nov-08 11,740 1.50% 183,570,734
18-Nov-08 11,840 0.85% 103,629,304
19-Nov-08 11,890 0.42% 51,538,648
20-Nov-08 12,140 2.08% 254,283,389
21-Nov-08 12,140 0.00% -
24-Nov-08 12,090 -0.41% (50,475,940)
25-Nov-08 12,140 0.41% 50,475,940
26-Nov-08 12,065 -0.62% (75,792,247)
27-Nov-08 12,002 -0.52% (63,419,098)
28-Nov-08 12,015 0.10% 12,730,514
1-Dec-08 12,015 0.00% -
2-Dec-08 12,040 0.21% 25,319,762
3-Dec-08 11,940 -0.83% (101,902,381)
4-Dec-08 11,815 -1.05% (128,609,587)
5-Dec-08 11,765 -0.42% (51,762,553)
8-Dec-08 11,765 0.00% -
9-Dec-08 10,911 -7.54% (921,959,321)
10-Dec-08 10,903 -0.07% (8,409,776)
11-Dec-08 10,991 0.80% 97,644,783
12-Dec-08 11,041 0.45% 55,512,278
15-Dec-08 11,066 0.23% 27,661,935
16-Dec-08 11,041 -0.23% (27,661,935)
17-Dec-08 10,978 -0.57% (69,429,808)
18-Dec-08 10,951 -0.25% (30,562,746)
19-Dec-08 10,941 -0.09% (11,173,338)
22-Dec-08 10,941 0.00% -
23-Dec-08 10,941 0.00% -
24-Dec-08 10,941 0.00% -
25-Dec-08 10,941 0.00% -
26-Dec-08 11,091 1.36% 166,317,063
29-Dec-08 11,091 0.00% -
30-Dec-08 10,941 -1.36% (166,317,063)
31-Dec-08 10,891 -0.46% (56,020,326)
1-Jan-09 10,891 0.00% -
2-Jan-09 10,891 0.00% -
5-Jan-09 10,916 0.23% 28,042,238
6-Jan-09 10,941 0.23% 27,978,087
7-Jan-09 10,741 -1.84% (225,523,721)
8-Jan-09 10,941 1.84% 225,523,721
9-Jan-09 10,941 0.00% -
12-Jan-09 11,053 1.02% 125,004,680
13-Jan-09 11,116 0.56% 68,849,996
14-Jan-09 11,091 -0.23% (27,537,614)
15-Jan-09 11,116 0.23% 27,537,614
16-Jan-09 11,116 0.00% -
19-Jan-09 11,128 0.11% 13,745,590
 -921,959,321
-841,375,555
-760,791,789
-680,208,022
-599,624,256
-519,040,489
-438,456,723
-357,872,956
-277,289,190
-196,705,424
-116,121,657
-35,537,891
45,045,876
P/L Distribution

125,629,642
206,213,409
286,797,175
367,380,942
447,964,708
528,548,474
609,132,241
689,716,007
770,299,774
850,883,540
931,467,307
Cumulative Distribution

1,012,051,073
Geometric Brownian Motion
Price 12,230.00
rd 9.25% Stochastic Price Movement
rf 4.50% 14500
Volatility 10.50%
0.00274 14000
Step
No GBM1 GBM2 13500
1 12,230.00 12,230.00
2 12,164.81 12,185.50 13000
3 12,183.92 12,161.41
12,073.48 12,175.40 12500
4
5 12,152.53 12,210.98
Price
12000
6 12,141.23 12,100.50
7 12,067.55 12,142.29 11500
8 11,888.60 12,032.22
9 11,918.54 12,052.57 11000
10 12,013.59 12,154.84
10500
11 12,004.75 12,130.62
12 12,083.64 12,234.09 10000
13 12,065.50 12,237.82 123456171819011112134151162728920221222342522637389303313233343536474849404142434445465758595051525354555667866960616236466566778797707172374775768788988081823884858697899990919293949596078090001023040506178191011123141516278292021222324252637383930313233343536474849404142434445465758595015253545566768696016263646567778797017273747568788898081828384858697989990919293949596070809000102030405061718910111213145162728290212223242526373839303132333435364748494041243444546575859505152535455566768696061626364656677
14 12,071.03 12,161.49 111111111111111111111111111111111111111111111111111111111111111111111111111111111111111111111111111122222222222222222222222222222222222222222222222222222222222222222222222222
15 12,124.39 12,135.82
16 12,237.80 12,125.20
17 12,312.33 12,212.31
18 12,249.83 12,252.42
19 12,247.48 12,313.17
20 12,206.03 12,310.24
21 12,093.46 12,258.08
22 11,955.16 12,302.78
23 11,929.82 12,338.98
24 11,954.28 12,383.56
25 11,977.97 12,498.42
26 12,044.69 12,496.56
27 11,948.82 12,524.29
28 11,991.29 12,500.83
29 12,095.30 12,435.04
30 12,092.93 12,393.47
31 12,059.57 12,353.50
32 12,108.08 12,434.14
33 12,034.08 12,397.71
34 12,068.43 12,362.30
35 12,026.70 12,353.77
36 12,031.53 12,263.01
37 11,973.85 12,273.95
38 11,968.49 12,228.71
39 12,092.91 12,275.56
40 12,144.34 12,355.89
41 12,134.09 12,342.81
42 12,097.85 12,257.15
43 12,008.07 12,183.39
44 11,910.65 12,179.55
45 11,876.25 12,175.92
46 11,889.81 12,245.61
47 11,897.10 12,363.44
48 11,858.57 12,340.89
49 11,943.40 12,281.32
50 11,901.94 12,315.84
51 11,885.42 12,274.45
52 12,030.91 12,291.76
53 11,891.23 12,290.54
54 11,736.11 12,235.78
55 11,730.02 12,139.07
56 11,667.28 12,104.91
57 11,633.87 12,155.91
58 11,647.54 12,126.23
59 11,610.83 12,112.34
60 11,562.59 12,209.70
61 11,514.24 12,259.82
62 11,552.99 12,220.10
63 11,527.57 12,234.67
64 11,504.25 12,341.81
65 11,519.16 12,286.36
66 11,560.62 12,248.96
67 11,585.56 12,180.05
68 11,574.91 12,126.77
69 11,449.92 12,178.31
70 11,462.49 12,104.61
71 11,528.55 11,907.06
72 11,459.36 11,965.23
73 11,472.62 11,986.28
74 11,472.70 11,936.00
75 11,429.46 12,006.74
76 11,417.94 11,970.67
77 11,260.50 11,877.03
78 11,228.75 11,989.84
79 11,220.08 12,047.81
80 11,272.00 12,053.99
81 11,247.20 12,061.24
82 11,192.18 12,099.53
83 11,178.74 12,233.10
84 11,143.78 12,077.47
85 11,105.91 12,019.80
86 11,212.05 12,059.68
87 11,143.86 12,053.68
88 11,116.96 12,129.20
89 11,240.12 12,173.52
90 11,219.79 12,260.07
91 11,156.10 12,288.85
92 11,214.00 12,174.65
93 11,346.72 12,179.70
 94 11,339.53 12,227.11
95 11,331.30 12,349.77
96 11,356.29 12,275.37
97 11,291.02 12,254.43
98 11,265.83 12,108.49
99 11,380.93 12,061.72
100 11,442.52 12,057.64
101 11,362.87 12,045.65
102 11,342.43 12,164.37
103 11,333.96 12,199.08
104 11,282.52 12,063.14
105 11,310.74 12,141.09
106 11,311.90 12,059.17
107 11,296.90 11,879.95
108 11,264.64 11,956.72
109 11,298.10 11,986.11
110 11,159.43 11,959.56
111 11,275.07 12,106.52
112 11,303.77 12,176.51
113 11,294.74 12,101.15
114 11,350.10 11,999.81
115 11,277.61 11,977.52
116 11,306.79 12,062.69
117 11,230.61 12,145.30
118 11,243.94 12,193.39
119 11,270.91 12,158.81
120 11,231.20 12,157.73
121 11,251.07 12,181.10
122 11,234.09 12,192.55
123 11,254.91 12,204.74
124 11,281.94 12,228.05
125 11,199.53 12,182.06
126 11,167.53 12,181.02
127 11,089.95 12,191.06
128 11,158.33 12,169.86
129 11,108.01 12,224.32
130 11,070.09 12,254.02
131 11,169.53 12,251.87
132 11,135.13 12,254.11
133 11,110.84 12,292.12
134 11,020.19 12,300.61
135 11,065.12 12,369.54
136 11,075.75 12,341.68
137 11,047.70 12,457.18
138 10,996.83 12,473.21
139 11,040.37 12,511.94
140 11,047.85 12,580.94
141 11,005.71 12,577.47
142 11,012.87 12,677.71
143 11,043.54 12,682.24
144 11,093.00 12,623.17
145 11,129.82 12,420.79
146 11,153.23 12,428.35
147 11,167.62 12,372.50
148 11,150.26 12,384.01
149 11,118.67 12,334.84
150 11,210.46 12,318.43
151 11,134.98 12,374.98
152 11,169.91 12,403.22
153 11,099.01 12,364.90
154 11,140.83 12,402.23
155 11,154.46 12,299.29
156 11,173.64 12,220.43
157 11,095.28 12,236.52
158 11,089.43 12,216.58
159 11,101.55 12,160.93
160 11,064.17 12,167.80
161 11,084.23 12,284.90
162 11,155.33 12,264.63
163 10,976.24 12,335.29
164 11,071.97 12,352.47
165 10,985.73 12,294.10
166 10,979.61 12,287.77
167 10,921.97 12,202.64
168 10,940.68 12,180.22
169 10,925.35 12,198.80
170 10,958.20 12,155.62
171 10,915.71 12,108.97
172 10,881.92 12,077.23
173 10,929.44 11,975.65
174 10,833.68 11,934.13
175 10,735.23 11,864.95
176 10,707.71 11,840.95
177 10,666.41 11,850.13
178 10,681.80 11,765.01
179 10,586.06 11,799.95
180 10,540.19 11,873.22
181 10,511.89 11,828.72
182 10,469.48 11,878.50
183 10,412.81 11,955.41
184 10,395.13 11,944.34
185 10,437.09 12,024.63
186 10,418.71 12,065.60
187 10,416.56 12,046.04
188 10,466.14 12,007.85
189 10,446.55 12,111.17
190 10,556.42 12,069.79
191 10,563.67 12,053.61
192 10,607.44 11,955.07
193 10,507.40 12,056.08
194 10,432.18 12,086.22
195 10,445.02 12,120.54
196 10,411.41 12,144.31
197 10,467.64 12,085.50
198 10,460.80 12,216.15
199 10,473.80 12,317.40
200 10,423.78 12,372.99
201 10,422.36 12,334.96
202 10,395.08 12,397.60
203 10,352.04 12,309.82
204 10,307.64 12,250.05
205 10,278.79 12,316.78
206 10,330.32 12,279.87
207 10,407.01 12,284.94
208 10,405.51 12,178.61
209 10,316.87 12,140.83
210 10,392.83 12,144.50
211 10,434.48 12,228.65
212 10,452.85 12,163.66
213 10,425.51 12,185.97
214 10,469.53 12,221.86
215 10,507.46 12,277.15
216 10,521.77 12,349.97
217 10,584.63 12,442.82
218 10,639.11 12,425.05
219 10,581.96 12,454.90
220 10,588.66 12,506.00
221 10,609.01 12,531.95
222 10,582.85 12,528.97
223 10,560.62 12,656.48
224 10,509.56 12,710.35
225 10,557.96 12,757.10
226 10,573.30 12,737.54
227 10,677.21 12,803.48
228 10,652.17 12,863.01
229 10,594.08 12,926.40
230 10,575.36 13,015.15
231 10,562.49 13,074.67
232 10,559.55 13,138.35
233 10,565.61 13,173.13
234 10,518.72 13,102.79
235 10,576.25 13,153.03
236 10,565.27 13,080.39
237 10,614.38 12,942.49
238 10,617.99 12,939.94
239 10,694.12 12,815.96
240 10,831.23 12,749.30
241 10,917.79 12,831.15
242 10,933.56 12,864.42
243 10,959.21 12,920.83
244 11,009.58 12,920.26
245 10,964.56 12,921.77
246 10,995.36 12,954.65
247 10,922.06 12,863.82
248 10,956.92 12,858.16
249 10,940.34 12,859.49
250 11,044.04 12,983.37
251 11,123.86 13,003.68
252 11,084.41 12,999.05
253 11,085.97 12,974.76
254 11,166.43 12,957.37
255 11,135.82 12,893.10
256 11,143.60 12,855.47
257 11,095.33 12,904.96
258 11,096.24 12,899.24
259 11,030.50 12,919.92
260 11,067.08 12,905.40
261 11,061.12 12,870.20
262 11,152.05 12,951.69
263 11,163.16 12,965.04
264 11,136.29 13,028.93
265 11,094.96 12,997.71
266 11,072.97 13,024.10
267 11,111.76 13,002.03
268 11,094.74 12,988.14
269 11,138.30 13,006.85
270 11,075.04 12,858.41
271 10,978.31 12,816.06
272 10,979.22 12,858.07
273 10,942.28 12,821.64
274 10,955.95 12,841.89
275 10,998.21 12,886.74
276 11,000.85 12,791.05
277 11,032.63 12,689.28
278 11,066.97 12,691.66
279 11,053.68 12,718.24
280 11,132.28 12,741.71
281 11,115.87 12,808.69
282 11,207.11 12,895.74
283 11,282.13 12,960.99
284 11,367.46 13,029.38
285 11,442.50 13,109.87
286 11,452.55 13,230.57
287 11,426.86 13,275.40
288 11,605.43 13,176.03
289 11,609.80 13,133.75
290 11,677.88 13,047.63
291 11,639.78 13,071.34
292 11,639.55 13,117.85
293 11,674.67 13,143.23
294 11,622.48 13,224.20
295 11,606.61 13,264.18
296 11,579.83 13,304.28
297 11,500.38 13,280.46
298 11,467.74 13,466.30
299 11,571.62 13,435.91
300 11,609.35 13,384.04
301 11,447.35 13,447.37
302 11,487.26 13,426.28
303 11,566.91 13,387.36
304 11,559.49 13,471.61
305 11,635.13 13,522.26
306 11,647.59 13,494.89
307 11,570.73 13,523.38
308 11,622.65 13,448.51
309 11,622.91 13,319.26
310 11,587.14 13,241.15
311 11,670.37 13,276.05
312 11,733.44 13,297.18
313 11,763.96 13,250.55
314 11,865.59 13,161.39
315 11,847.00 13,147.15
316 11,825.71 13,143.70
317 11,685.16 13,174.84
318 11,784.98 13,252.03
319 11,817.53 13,190.10
320 11,802.73 13,193.51
321 11,768.06 13,153.33
322 11,724.11 13,436.62
323 11,718.35 13,302.25
324 11,691.24 13,278.32
325 11,633.08 13,377.75
326 11,722.32 13,309.88
327 11,680.01 13,263.17
328 11,679.41 13,306.66
329 11,735.30 13,276.67
330 11,725.34 13,309.24
331 11,698.63 13,313.26
332 11,737.52 13,379.26
333 11,785.31 13,257.94
334 11,730.02 13,297.06
335 11,759.29 13,303.18
336 11,737.80 13,380.08
337 11,744.04 13,460.54
338 11,726.60 13,583.33
339 11,850.55 13,658.16
340 11,887.20 13,758.97
341 12,005.86 13,913.15
342 12,030.37 13,886.42
343 12,040.04 13,860.79
344 12,171.79 13,774.65
345 12,037.75 13,711.77
346 11,915.08 13,695.36
347 11,869.87 13,707.78
348 11,943.27 13,744.54
349 11,946.94 13,684.74
350 11,957.69 13,632.03
351 11,957.86 13,609.51
352 11,980.77 13,566.18
353 12,107.67 13,509.99
354 12,102.43 13,527.92
355 12,153.84 13,504.80
356 12,112.49 13,582.35
357 12,170.44 13,498.11
358 12,245.33 13,421.19
359 12,316.48 13,420.68
360 12,290.27 13,476.44
361 12,419.44 13,588.84
362 12,364.58 13,523.45
363 12,381.09 13,590.11
364 12,546.70 13,634.59
365 12,551.91 13,602.22
366 12,556.56 13,623.45
367 12,634.08 13,647.21
368 12,668.57 13,751.18
369 12,767.57 13,788.36
370 12,751.22 13,855.33
371 12,662.92 13,923.81
372 12,663.61 13,968.19
373 12,657.34 14,091.53
374 12,584.03 14,007.90
375 12,498.50 14,016.69
376 12,514.64 13,941.18
377 12,479.59 13,870.73
378 12,446.61 13,969.59
379 12,432.67 14,065.73
380 12,362.91 14,068.50
381 12,274.98 14,110.26
382 12,363.76 14,188.70
383 12,248.75 14,142.71
384 12,296.66 14,180.62
385 12,207.40 14,152.12
386 12,189.31 14,064.11
387 12,225.64 14,113.97
388 12,183.68 14,028.76
389 12,191.91 13,959.67
390 12,257.73 13,999.17
391 12,191.84 14,005.05
392 12,228.11 14,084.82
393 12,230.99 13,972.73
394 12,255.22 13,970.53
395 12,275.08 13,960.09
396 12,209.47 13,945.91
397 12,250.52 13,873.36
398 12,216.68 13,939.37
399 12,151.68 14,075.67
400 12,094.14 14,064.08
 tic Price Movement

354555667686960616263646566777879707172737475768788898081828384858697989990919293949596070809000102030405061718191011121314151627282920212223242526373839303132333435364748494041424344454657585950515253545556676869606162636465667778797071727374757687888980818283848586979899909192939495960708090001020304050617181910111213141516272829202122232425263738393031323334353647484940414243444546575859505152535455566768696061626364656677787970717273747576878889808182838485869798999091929394959607890
1111111111111111111111111111111111111111222222222222222222222222222222222222222222222222222222222222222222222222222222222222222222222222222233333333333333333333333333333333333333333333333333333333333333333333333333333333333333333333333333334
Price Distribution
400 30
Price 12,230.00 Value Freq Cumulativ Distributi
rd 7.00% 9,304 1 0.25% 0
rf 2.00% 9,462 0 0.25% 0 35
Volatility 20.00% 9,621 1 0.50% 1

Frequency
Step 0.24658 9,780 2 1.00% 1
30
No GBM 9,938 4 2.00% 1
1 11,614 10,097 1 2.25% 2
25
2 11,614 10,255 2 2.75% 2
3 9,861 10,414 6 4.25% 3
20
4 12,858 10,573 6 5.75% 4
5 11,819 10,731 10 8.25% 5
15
6 11,950 10,890 10 10.75% 6
7 11,953 11,048 8 12.75% 8
10
8 12,005 11,207 13 16.00% 10
9 11,384 11,366 11 18.75% 12
11,524 14 22.25% 14 5
10 10,832
11 13,207 11,683 18 26.75% 16
11,841 16 30.75% 18 0
12 13,899

9,304
9,621
9,938
10,255
10,573
10,890
11,207
11,524
11,841
13 11,564 12,000 22 36.25% 20
14 12,296 12,159 21 41.50% 23
15 12,252 12,317 30 49.00% 25
16 11,605 12,476 21 54.25% 26
17 12,044 12,634 21 59.50% 28
18 12,100 12,793 24 65.50% 29
19 14,207 12,952 22 71.00% 30
20 11,228 13,110 16 75.00% 30
21 11,407 13,269 18 79.50% 30
22 12,886 13,427 11 82.25% 30
23 14,115 13,586 10 84.75% 29
24 12,624 13,745 9 87.00% 28
25 13,458 13,903 7 88.75% 26
26 12,950 14,062 8 90.75% 25
27 11,049 14,220 6 92.25% 23
28 11,495 14,379 6 93.75% 20
29 13,376 14,538 3 94.50% 18
30 13,243 14,696 6 96.00% 16
31 11,940 14,855 2 96.50% 14
32 9,854 15,013 3 97.25% 12
33 12,570 15,172 2 97.75% 10
34 12,846 15,331 2 98.25% 8
35 13,259 15,489 3 99.00% 6
36 13,657 15,648 0 99.00% 5
37 15,746 15,806 2 99.50% 4
38 13,444 15,965 0 99.50% 3
39 11,873 16,124 1 99.75% 2
40 14,231 16,282 0 99.75% 2
41 11,078 16,441 0 99.75% 1
42 12,720 16,600 0 99.75% 1
43 11,793 16,758 0 99.75% 1
44 11,415 16,917 0 99.75% 0
45 12,390 17,075 1 100.00% 0
46 12,389
47 13,281
48 13,015
49 11,940
50 12,346
51 13,770
52 11,923
53 12,864
54 11,587
55 13,092
56 11,438
57 10,296
58 12,241
59 11,518
60 13,363
61 10,867
62 10,904
63 13,093
64 11,854
65 12,340
66 14,452
67 11,959
68 12,667
69 12,117
70 17,075
71 12,915
72 13,658
73 13,677
74 11,763
75 13,091
76 14,001
77 13,103
78 12,770
79 11,362
80 12,738
81 11,329
82 12,585
83 13,400
84 13,244
85 12,479
86 11,764
87 13,054
88 12,771
89 12,210
90 12,442
91 14,907
92 11,527
93 12,398
 94 15,380
95 12,140
96 11,233
97 12,242
98 12,140
99 13,486
100 10,524
101 12,413
102 13,181
103 12,994
104 12,383
105 13,130
106 12,313
107 10,672
108 12,309
109 12,913
110 12,487
111 11,565
112 12,897
113 15,250
114 10,967
115 12,547
116 12,208
117 12,870
118 11,005
119 12,661
120 12,204
121 12,787
122 14,048
123 12,003
124 10,565
125 11,063
126 12,566
127 11,933
128 14,004
129 11,191
130 12,086
131 12,689
132 11,483
133 12,518
134 13,176
135 12,222
136 12,431
137 13,146
138 11,791
139 12,266
140 12,713
141 11,579
142 12,480
143 13,684
144 14,124
145 13,040
146 11,544
147 10,896
148 13,494
149 12,890
150 11,122
151 12,091
152 11,712
153 12,173
154 13,179
155 10,696
156 10,059
157 12,120
158 12,870
159 10,276
160 13,909
161 13,815
162 11,103
163 12,586
164 10,273
165 12,698
166 11,885
167 11,821
168 10,724
169 11,997
170 12,755
171 11,375
172 14,330
173 11,697
174 12,931
175 12,071
176 11,060
177 13,876
178 11,697
179 13,287
180 12,163
181 14,057
182 11,931
183 13,361
184 12,224
185 11,958
186 13,360
187 11,866
188 12,310
189 11,630
190 12,817
191 12,398
192 13,222
193 12,017
194 15,079
195 12,092
196 12,878
197 10,302
198 11,848
199 12,851
200 14,669
201 10,647
202 12,611
203 13,009
204 16,060
205 12,249
206 11,771
207 11,645
208 11,950
209 10,325
210 12,499
211 13,811
212 14,696
213 11,931
214 15,775
215 10,249
216 11,633
217 10,796
218 11,662
219 12,936
220 14,664
221 12,180
222 11,994
223 13,742
224 14,451
225 10,780
226 13,163
227 11,073
228 12,226
229 12,980
230 14,362
231 12,805
232 11,293
233 11,284
234 10,433
235 10,548
236 11,271
237 10,709
238 12,791
239 11,770
240 12,416
241 12,215
242 12,415
243 12,103
244 14,239
245 13,172
246 11,728
247 14,860
248 14,051
249 12,376
250 14,634
251 13,448
252 11,975
253 11,555
254 11,571
255 12,762
256 13,134
257 12,016
258 11,387
259 10,119
260 13,787
261 11,660
262 12,463
263 11,720
264 12,282
265 13,023
266 13,453
267 12,072
268 10,911
269 13,007
270 13,426
271 12,568
272 12,508
273 13,066
274 13,669
275 12,622
276 12,176
277 12,924
278 13,372
279 10,612
280 13,306
281 15,204
282 12,792
283 10,702
284 13,767
285 13,135
286 13,618
287 11,878
288 12,333
289 12,686
290 10,769
291 12,044
292 11,051
293 13,161
294 10,648
295 14,692
296 11,385
297 10,737
298 9,499
299 11,236
300 12,587
301 11,214
302 11,131
303 14,165
304 12,213
305 10,983
306 12,762
307 15,448
308 14,221
309 12,645
310 14,214
311 11,101
312 12,992
313 11,454
314 12,225
315 11,522
316 13,201
317 12,811
318 12,608
319 12,184
320 12,287
321 13,117
322 10,490
323 13,702
324 12,361
325 9,813
326 12,703
327 12,728
328 14,304
329 12,144
330 12,770
331 9,652
332 12,240
333 11,691
334 14,448
335 12,161
336 12,566
337 12,672
338 12,976
339 12,384
340 12,428
341 13,073
342 9,661
343 11,060
344 12,056
345 10,814
346 12,893
347 12,181
348 11,658
349 13,544
350 10,734
351 14,806
352 10,667
353 12,547
354 13,127
355 12,371
356 10,468
357 12,757
358 12,572
359 10,773
360 11,114
361 12,948
362 12,225
363 13,508
364 12,757
365 11,302
366 13,588
367 15,405
368 10,926
369 14,959
370 12,422
371 12,854
372 10,739
373 10,371
374 13,940
375 11,419
376 12,106
377 12,128
378 14,219
379 13,923
380 11,910
381 10,705
382 11,909
383 15,028
384 13,417
385 12,208
386 10,942
387 11,255
388 13,509
389 12,499
390 11,587
391 14,659
392 12,716
393 11,790
394 14,726
395 12,429
396 9,304
397 13,434
398 11,734
399 9,881
400 11,452
10,255
10,573
10,890
11,207
11,524
11,841
12,159
12,476
12,793
13,110
Normal

13,427
13,745
Price Distribution

14,062
14,379
14,696
15,013
15,331
15,648
15,965
16,282
16,600
Cumulative
Distribution

16,917
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Monte Carlo Simulation VaR
Position 1,000,000 CL 95%
Volatility 1.36% VaR 307,431,172 41,053,659 100
Date Spot Return P/L P/L Freq Freq %
6-Jun-21 12,230 -512,403,279 0 100.00%
1 12,278 0.39% 48,082,469 -471,349,620 1 99.00%
18
2 12,328 0.80% 97,950,579 -430,295,961 0 99.00%
3 12,161 -0.56% (68,827,353) -389,242,302 1 98.00% 16
4 12,232 0.02% 2,425,863 -348,188,643 0 98.00%
5 12,316 0.70% 85,765,421 -307,134,985 4 94.00% 14
6 12,235 0.04% 5,406,347 -266,081,326 2 92.00%
7 11,896 -2.77% (338,381,331) -225,027,667 5 87.00% 12
8 11,975 -2.11% (257,931,570) -183,974,008 2 85.00%
9 11,924 -2.54% (310,167,545) -142,920,349 2 83.00% 10
10 12,222 -0.06% (7,861,693) -101,866,690 4 79.00%
11 12,157 -0.60% (73,506,323) -60,813,031 16 63.00% 8
12 12,315 0.69% 84,856,068 -19,759,372 10 53.00%
13 12,185 -0.37% (45,350,727) 21,294,286 8 45.00% 6
14 11,993 -1.96% (239,292,136) 62,347,945 14 31.00%
15 12,203 -0.22% (27,453,734) 103,401,604 15 16.00% 4
16 12,397 1.36% 166,113,928 144,455,263 3 13.00%
2
17 12,271 0.33% 40,579,215 185,508,922 5 8.00%
18 12,035 -1.61% (196,526,600) 226,562,581 5 3.00% 0
19 12,167 -0.52% (63,036,476) 267,616,240 2 1.00%

-512,403,279
-471,349,620
-430,295,961
-389,242,302
-348,188,643
20 12,153 -0.63% (77,495,657) 308,669,899 0 1.00%
21 11,960 -2.23% (272,823,384) 349,723,557 0 1.00%
22 12,242 0.10% 11,871,235 390,777,216 0 1.00%
23 12,012 -1.80% (220,138,589) 431,830,875 0 1.00%
24 12,287 0.46% 56,681,068 472,884,534 1 0.00%
25 12,283 0.43% 52,484,576
26 12,451 1.79% 219,077,114
27 12,428 1.61% 196,728,398
28 12,226 -0.03% (3,519,425)
29 12,135 -0.78% (95,727,495)
30 12,446 1.75% 214,521,011
31 12,175 -0.45% (54,835,196)
32 12,173 -0.47% (56,918,816)
33 12,670 3.53% 431,830,875
34 12,175 -0.45% (55,408,586)
35 12,161 -0.57% (69,293,228)
36 12,143 -0.72% (87,717,645)
37 12,332 0.83% 101,268,598
38 12,434 1.65% 202,092,099
39 12,135 -0.78% (95,014,043)
40 12,273 0.35% 42,740,847
41 12,284 0.44% 53,533,805
42 12,118 -0.92% (112,779,738)
43 12,130 -0.82% (100,270,555)
44 12,413 1.49% 181,999,720
45 12,058 -1.42% (173,479,425)
46 12,163 -0.55% (66,928,713)
47 12,097 -1.09% (133,434,527)
48 12,006 -1.85% (226,287,068)
49 12,252 0.18% 21,904,192
50 12,386 1.27% 155,273,690
51 12,266 0.29% 36,029,602
52 12,261 0.26% 31,393,637
53 12,366 1.11% 135,550,782
54 12,329 0.81% 98,479,215
55 12,387 1.27% 155,646,631
56 12,128 -0.84% (102,387,632)
57 11,927 -2.51% (307,287,152)
58 12,225 -0.04% (4,979,834)
59 12,339 0.88% 108,120,283
60 12,302 0.59% 71,817,006
61 12,131 -0.82% (99,830,799)
62 12,208 -0.18% (22,302,665)
63 12,419 1.53% 187,119,975
64 12,275 0.37% 44,886,719
65 12,237 0.05% 6,520,673
66 11,917 -2.59% (316,722,605)
67 12,205 -0.21% (25,433,356)
68 11,728 -4.19% (512,403,279)
69 12,139 -0.75% (91,679,884)
70 12,307 0.63% 76,664,165
71 12,049 -1.49% (182,291,309)
72 11,839 -3.25% (397,261,964)
73 12,136 -0.77% (94,665,044)
74 12,411 1.47% 179,387,373
75 12,200 -0.25% (30,245,457)
76 12,308 0.64% 77,874,680
77 12,328 0.80% 97,546,201
78 12,474 1.97% 241,122,768
79 12,114 -0.96% (116,994,262)
80 12,320 0.73% 89,371,547
81 12,162 -0.56% (68,646,218)
82 12,268 0.31% 37,995,759
83 11,939 -2.41% (294,162,898)
84 12,290 0.49% 59,570,007
85 12,162 -0.56% (68,557,245)
86 12,327 0.79% 96,184,236
87 12,287 0.46% 56,686,445
88 12,005 -1.86% (227,399,452)
89 12,303 0.60% 72,938,658
90 11,978 -2.08% (254,624,692)
91 12,204 -0.21% (26,271,401)
92 12,285 0.45% 55,135,100
93 12,186 -0.36% (43,787,091)
94 12,162 -0.56% (68,615,287)
95 12,299 0.56% 68,870,507
 96 12,464 1.89% 231,567,693
97 12,298 0.55% 67,834,564
98 12,349 0.97% 118,672,891
99 12,240 0.08% 10,274,755
100 12,309 0.64% 78,846,467
-512,403,279
-471,349,620
-430,295,961
-389,242,302
-348,188,643
-307,134,985
-266,081,326
-225,027,667
-183,974,008
-142,920,349
-101,866,690
-60,813,031
-19,759,372
P/L Distribution

21,294,286
62,347,945
103,401,604
144,455,263
185,508,922
226,562,581
267,616,240
308,669,899
349,723,557
390,777,216
431,830,875
Cumulative Distribution

472,884,534
Binomial Backtest
CL 95% Exception 31
a 5% #Data 250
n x
p-value
Data
1
2
3
0%
Hypothetical P/L
8,474,506
(1,555,382)
5,329,734
Accept
VaR
11,549,448
7,473,834
8,023,365
No
Exception
0
0
0
()
P ( x|n , p )= p 1− p
x
( ) n−x

4 49,859,751 8,523,568 1
5 41,632,922 79,936,242 0
6 24,474,573 79,730,893 0
7 14,087,837 44,283,881 0
8 1,549,005 39,549,515 0
9 8,237,022 35,972,929 0
10 (13,961,178) 674,820,332 0
11 3,031,173 655,701,084 0
12 62,667,693 636,910,742 0
13 122,097,683 610,477,009 0
14 383,129,903 600,454,270 0
15 634,130,997 795,010,932 0
16 621,731 870,313,161 0
17 624,897,044 837,613,490 0
18 (101,440,310) 822,860,140 0
19 641,033,620 802,842,543 0
20 488,859,450 892,242,537 0
21 424,265,142 874,298,724 0
22 233,538,286 837,658,429 0
23 283,121,328 817,045,997 0
24 2,235,830,531 793,383,945 1
25 529,479,271 1,304,046,235 0
26 (27,390,771) 1,273,715,116 0
27 478,149,277 1,221,128,114 0
28 700,699,299 1,190,853,410 0
29 (140,782,861) 1,167,028,524 0
30 (499,410,459) 1,558,777,550 0
31 315,827,886 1,534,182,710 0
32 10,053,839 1,468,846,633 0
33 805,319,065 1,430,459,937 0
34 113,098,262 1,406,845,037 0
35 (1,280,328,506) 1,399,038,910 0
36 394,143,883 1,413,786,836 0
37 1,096,001,927 1,350,335,613 0
38 (314,500,911) 1,330,546,610 0
39 (718,622,336) 1,301,537,702 0
40 (307,890,064) 1,289,762,369 0
41 682,703,905 1,246,774,009 0
42 (144,057,448) 1,261,811,430 0
43 694,344,605 1,327,318,716 0
44 3,309,947,362 1,295,806,765 1
45 368,175,662 1,882,520,230 0
46 215,773 1,828,454,766 0
47 (525,157,880) 1,742,720,713 0
48 1,671,482,964 1,712,219,938 0
49 (413,150,825) 1,696,450,651 0
50 (138,151,748) 1,722,216,245 0
51 474,997,917 1,680,014,113 0
52 (37,993,931) 1,600,708,054 0
53 (223,895,740) 1,558,411,523 0
54 545,921,689 1,521,254,043 0
55 167,579,235 1,481,135,778 0
56 349,780,471 1,441,969,907 0
57 (635,709,414) 1,372,190,340 0
58 565,558,603 1,352,393,793 0
59 (350,376,285) 1,281,944,439 0
60 (93,600,263) 1,256,546,955 0
61 16,747,560 1,194,142,464 0
62 842,890,932 1,157,849,078 0
63 364,482,351 1,126,353,538 0
64 445,042,545 1,157,857,489 0
65 1,243,580,352 1,124,597,990 1
66 (651,071,173) 1,086,861,670 0
67 35,189,019 1,076,085,429 0
68 790,141,040 994,982,592 0
69 1,850,541,687 999,544,489 1
70 (628,980,776) 1,042,771,331 0
71 1,475,279,222 1,033,491,599 1
72 (816,007,603) 1,073,186,324 0
73 487,892,678 1,069,107,441 0
74 (446,993,681) 1,041,315,418 0
75 715,177,671 1,025,235,125 0
76 373,357,946 1,007,831,909 0
77 (252,589,403) 981,393,083 0
78 21,845,618 961,940,508 0
79 157,331,817 921,075,496 0
80 42,828,155 896,752,901 0
81 660,054,083 876,481,594 0
82 (108,174,980) 817,389,076 0
83 210,055,230 797,209,779 0
84 424,614,130 762,535,101 0
85 2,289,030,163 746,563,973 1
86 (119,255,140) 866,397,984 0
87 659,600,395 890,397,724 0
88 (328,619,187) 874,215,812 0
89 40,547,966 842,364,317 0
90 655,604,461 822,126,810 0
91 (1,766,647) 807,309,163 0
92 213,832,723 825,973,893 0
93 (126,447,127) 799,611,982 0
94 468,268,318 762,878,121 0
95 (134,567,357) 744,586,212 0
 96 (40,477) 726,879,441 0
97 985,282,576 706,342,340 1
98 (535,945,930) 713,489,547 0
99 973,623,034 683,191,121 1
100 958,532,341 682,639,363 1
101 (483,328,472) 689,633,399 0
102 82,633,586 658,048,468 0
103 574,716,735 639,237,921 0
104 (345,412,571) 612,721,352 0
105 301,711,695 603,396,399 0
106 1,549,203,891 584,284,223 1
107 (14,472,401) 637,209,819 0
108 924,520,924 619,954,116 1
109 (14,953,752) 606,434,005 0
110 286,888,441 589,619,132 0
111 44,736,346 573,661,613 0
112 (433,805,613) 870,231,554 0
113 276,747,695 859,152,068 0
114 (206,539,824) 819,997,701 0
115 89,533,314 801,780,072 0
116 2,686,143 779,548,738 0
117 2,163,019,341 759,586,585 1
118 (2,046,077,006) 879,027,935 1
119 81,439,391 992,294,933 0
120 214,349,124 964,304,834 0
121 773,512,936 935,635,251 0
122 (614,901,616) 908,879,189 0
123 450,996,465 907,251,386 0
124 (190,612,469) 860,429,879 0
125 676,768,157 839,421,152 0
126 (379,980,129) 822,598,839 0
127 919,557,808 813,162,118 1
128 (154,799,744) 811,739,470 0
129 897,017,071 778,880,342 1
130 (266,101,256) 755,122,980 0
131 14,043,506 740,268,945 0
132 (157,584,143) 719,470,032 0
133 645,399,164 689,386,392 0
134 789,745,361 684,322,689 1
135 (1,238,094,271) 682,396,265 1
136 106,280,394 759,855,751 0
137 26,277 739,806,603 0
138 80,437,305 702,002,185 0
139 112,695,685 680,599,200 0
140 640,553,739 659,878,212 0
141 (345,575,191) 650,003,002 0
142 31,838,133 642,732,046 0
143 (42,970,868) 604,623,487 0
144 324,217,142 586,659,723 0
145 35,519,403 558,466,692 0
146 406,529,939 705,299,498 0
147 (645,604,358) 687,967,893 0
148 (113,108,842) 679,626,339 0
149 383,938,509 661,517,786 0
150 1,049,217,899 642,217,231 1
151 (519,511,497) 659,709,394 0
152 290,028,904 670,711,833 0
153 570,573,417 632,553,042 0
154 110,905,324 622,382,630 0
155 (784,037,239) 603,254,366 1
156 151,459,933 638,160,234 0
157 (6,358) 616,666,953 0
158 216,436,329 582,169,856 0
159 (221,963,035) 562,849,504 0
160 20,156,936 554,428,318 0
161 (206,425,065) 536,850,276 0
162 231,633,206 526,226,837 0
163 (3,314,827) 494,305,614 0
164 (119,669,212) 479,178,832 0
165 176,019,271 468,110,813 0
166 (122,812,739) 445,715,486 0
167 274,055,107 434,665,804 0
168 (124,526,122) 406,057,153 0
169 67,305,841 397,546,773 0
170 (59,975,110) 384,465,954 0
171 227,464,243 374,402,685 0
172 (147,089,373) 363,926,064 0
173 (74,397,444) 344,543,316 0
174 247,857,494 334,950,758 0
175 (259,805,115) 327,996,671 0
176 142,598,390 328,441,138 0
177 (104,531,736) 309,266,534 0
178 (32,940,589) 286,185,554 0
179 333,349,685 278,934,911 1
180 (215,438,505) 280,768,998 0
181 (98,163,120) 277,574,127 0
182 24,645,455 239,468,929 0
183 8,853,111 231,895,046 0
184 71,228,322 222,584,783 0
185 (17,293,516) 209,356,861 0
186 (52,271,945) 200,876,771 0
187 244,234,666 195,745,408 1
188 (152,076,478) 198,140,237 0
189 (103,794,946) 197,753,130 0
190 55,211,035 188,581,997 0
191 218,754,779 181,706,995 1
192 (87,165,552) 181,733,402 0
193 (131,160,048) 175,386,112 0
194 (35,683,955) 174,454,242 0
195 42,223,121 165,058,423 0
196 (534,793) 160,318,240 0
197 24,196,747 155,875,140 0
198 (36,410,635) 149,637,332 0
199 96,432,253 145,864,209 0
200 (11,248,212) 138,435,743 0
201 73,508,997 134,489,477 0
202 (188,282,941) 130,816,387 1
203 221,842,581 138,655,342 1
204 (130,088,865) 146,022,698 0
205 (239,067,922) 141,938,559 1
206 (118,380,147) 166,244,073 0
207 (14,487,516) 167,918,090 0
208 (1,800,035) 158,899,365 0
209 281,200,382 153,348,169 1
210 86,835,664 161,308,869 0
211 (248,262,956) 155,060,884 1
212 119,047,244 172,956,020 0
213 (50,635,746) 171,243,228 0
214 124,485,108 167,020,789 0
215 (78,402,715) 152,973,453 0
216 (62,100,288) 148,683,454 0
217 (45,603,658) 146,544,863 0
218 (18,198,613) 150,440,431 0
219 121,408,420 145,552,469 0
220 (81,323,820) 136,875,384 0
221 79,070,435 134,894,349 0
222 (42,805,326) 131,306,128 0
223 68,460,784 129,063,741 0
224 (62,985,562) 125,027,091 0
225 (59,584,558) 115,187,732 0
226 73,349,595 112,540,428 0
227 468,176 108,509,669 0
228 352,642 99,107,041 0
229 (46,421,444) 89,299,307 0
230 7,390,835 87,351,817 0
231 111,769,578 83,471,069 1
232 (88,856,350) 87,113,686 1
233 (11,321,557) 92,274,923 0
234 (41,325,060) 83,067,022 0
235 102,087,259 80,093,022 1
236 (41,672,918) 79,276,406 0
237 (32,874,802) 80,895,880 0
238 21,690,318 77,832,061 0
239 25,199,814 67,802,919 0
240 (55,731,319) 64,110,803 0
241 17,543,703 63,381,855 0
242 (9,610,640) 57,965,490 0
243 17,038,806 52,151,925 0
244 10,197,672 49,805,418 0
245 4,195,062 47,347,503 0
246 13,456,454 44,789,304 0
247 1,476,235 42,476,395 0
248 20,621,332 37,240,716 0
249 (24,702,691) 35,368,345 0
250 (12,781,947) 35,194,500 0
) x
p 1− p
( ) n−x
Backtest Methods
Number of data 250

Expected Time Until

Confidence Actual LRPOF Critical Kupiec n00
Exceptio First
Level Exceptions Value X2(1) Test
ns Failure

95.0% 12.5 18 24 2.26 3.84 Accept 216

97.5% 6.3 11 24 3.03 5.02 Accept 229
99.0% 2.5 5 202 1.96 6.63 Accept 241
 Critical Christoff
n01 n10 n11 p0 p1 p LRInd Value ersen LRCC
X2(1) Test
16 16 2 6.90% 11.11% 7.20% 0.39 3.84 Accept 2.65
10 10 1 4.18% 9.09% 4.40% 0.47 5.02 Accept 3.50
4 4 1 1.63% 20.00% 2.00% 3.16 6.63 Accept 5.12
Critical Conditional
Value Coverage
X2(2) Test
5.99 Accept
7.38 Accept
9.21 Accept