Value at Risk and

Bootstrapping of
Glenmark Pharma
and Cipla Ltd.
Financial Modeling and Analysis

Atiq Shaikh To: Prof. Shantanu

JAIPURIA INSTITUTE OF MANAGEMENT INDORE
Das
Table of Contents
Value at Risk ........................................................................................................................ 2
Genmark VaR ..................................................................................................................... 2
For Time period: 2007-01-01 to 2021-09-20..................................................................... 2
For period: 1-1-2007 till 31-12-2011 ................................................................................. 2
Calculation of Cipla Ltd. .................................................................................................... 3
For the period of 2007-01-01 to 2021-09-20 .................................................................. 3
For period: 1-1-2007 till 31-12-2011 ................................................................................. 3
Bootstrapping...................................................................................................................... 3
Bootstrapping Glenmark Pharma ..................................................................................... 4
Bootstrapping Cipla Ltd. .................................................................................................... 6
For this project, I have chosen Glenmark Pharma and Cipla to predict their Value at
Risk (VaR) and Bootstrapping so that we can find deviations and ascertain the risk
involved in purchasing their shares.

Value at Risk
Value at Risk is a method to find the level of risk that we can assume while investing in
any particular asset/ stock given the period. It helps us in finding the loss that we can
aspect following the historical data available and keeping in mind the level of loss
expected.

Genmark VaR
For Time period: 2007-01-01 to 2021-09-20
To calculate VaR: I have used the RStudio to get the data of both the companies

• VaR 1 day of Glenmark Pharma at 95% probability is: -0.03789982

• VaR (14) days of Glenmark Pharma at 95% probability is: -0.1414346

From this, we can predict that if Mr. X has invested Rs 100 in Glenmark:

We can say that we are 95% confident that his daily loss will not exceed Rs. 3.7

And if he invests Rs. 100 for 14 days we are 95% confident that his loss will not exceed
Rs. 14.14.

(Var is calculated using the historical method of Var calculation).

For period: 1-1-2007 till 31-12-2011

• VaR 1 day of Glenmark Pharma at 95% probability is: -0.05049887
• VaR (14) days of Glenmark Pharma at 95% probability is: -0.1414346

From this, we are 95% confident if we invest in Glenmark for Rs. 100 our daily loss will
not exceed Rs. 5.04

And if we invest Rs. 100 for 14 days we are 95% confident that our loss will not exceed
Rs. 14.14.

From the result, it is visible that the VaR of 14 days is the same in both.
Calculation of Cipla Ltd.
For the period of 2007-01-01 to 2021-09-20
• VaR 1 day of Cipla Ltd. at 95% probability is: -0.02665267
• VaR (14) days of Cipla Ltd. at 95% probability is: -0.1193589

From this, we can predict that if Mr. X has invested Rs 100 in Cipla:

We can say that we are 95% confident that his daily loss will not exceed Rs. 2.6

And if he invests Rs. 100 for 14 days we are 95% confident that his loss will not exceed
Rs. 11.9.

(is Var is calculated using the historical method of Var calculation).

For period: 1-1-2007 till 31-12-2011

• VaR 1 day of Cipla Ltd. at 95% probability is: -0.03198638
• VaR (14) days of Glenmark Pharma at 95% probability is: - -0.1193589

From this, we are 95% confident if we invest in Glenmark for Rs. 100 our daily loss will
not exceed Rs. Rs. 3.19

And if we invest Rs. 100 for 14 days we are 95% confident that our loss will not exceed
Rs. 11.9.

From the result, it is visible that the VaR of 14 days is the same in both.

We can also say that from VaR of Cipla Ltd. is lower and it is less risky to invest in Cipla.
From this, VaR looks like a better option than Glenmark.

Bootstrapping
Bootstrapping is a method to increase the sample size of any particular data (stocks
price) so that we can reduce in standard deviation while keeping the characteristic
features of the data intact. It helps us increase the sample size and provide a way to
get a better prediction from a smaller sample size.

To calculate the bootstrapping method, I have used the data available on the
moneycontrol website.

The data taken is from the 1st of October, 2021 to the 20th of September, 2021.
Date Glenmark Price Cipla Price Glenmark Ret Cipla Ret
Oct 01, 2021 513.15 986.2
Sep 30, 2021 510.45 983.55 -0.005261619 -0.002687082
Sep 29, 2021 509.1 987.6 -0.002644725 0.004117737
Sep 28, 2021 497.05 971 -0.02366922 -0.016808424
Sep 27, 2021 503.6 962.7 0.013177749 -0.008547889
Sep 24, 2021 508.1 967.65 0.008935663 0.005141789
Sep 23, 2021 512 968.1 0.007675654 0.000465044
Sep 22, 2021 511.95 963.5 -9.76563E-05 -0.004751575
Sep 21, 2021 506.2 956.1 -0.011231566 -0.007680332
Sep 20, 2021 494.6 938.1 -0.022915844 -0.018826483
In this table, the stock prices of Glenmark Pharma and Cipla Ltd are visible. From this
data, I have calculated the Returns of Glenmark and Cipla using (New stock price –
Old stock price)/ Old stock price or we can predict it using LN(new stock price/old
stock price).

Glenmark Cipla
Mean 506.62 968.45
SD 6.397621086 15.085939
Skewness -1.050465714 -0.569458
Kurtosis -0.031281489 0.5453564

The mean, standard deviation, skewness, and kurtosis of the following data using excel
formulas.

Bootstrapping Glenmark Pharma

From the small sample size by using the bootstrapping method this data is calculated
of Glenmark Pharma. From this data, I have again calculated the Mean, Standard
deviation, skewness, and kurtosis of each row. Then take the average of that data.
From that following data is found.

Mean Std Dev Skewness Kurtosis

Averages 506.8603 5.891846 -1.0392 0.127961

Now when we compare this data with the data that we got from a small sample, it is
visible that:

• The mean is the same in both cases.

• The standard deviation has reduced from 6.39 to 5.89.
• The skewness of the data is reduced to some extent but still, the data is leftward
skewed.
• The kurtosis of the following data has also come near-zero or mesokurtic
distribution from platykurtic distribution.

From this, we can say that the bootstrapping method helps in creating data that
follows the central limit theorem.
Bootstrapping Cipla Ltd.
Bootstraping Mean SD Skewness Kurtosis
963.5 967.65 938.1 968.1 986.2 956.1 971 963.5 967.65 968.1 963.5 938.1 971 956.1 956.1 956.1 956.1 968.1 983.55 962.7 963.0625 11.89571 -0.35554 1.012988
962.7 986.2 963.5 983.55 968.1 986.2 986.2 971 956.1 963.5 968.1 968.1 956.1 971 971 967.65 986.2 967.65 956.1 987.6 971.3275 10.88256 0.313035 -1.15363
956.1 963.5 962.7 968.1 971 986.2 987.6 986.2 938.1 963.5 967.65 987.6 986.2 971 967.65 967.65 963.5 963.5 938.1 983.55 968.97 14.58572 -0.57447 0.290447
971 962.7 967.65 971 956.1 938.1 971 938.1 962.7 956.1 938.1 956.1 963.5 967.65 968.1 971 971 956.1 956.1 987.6 961.485 12.66371 -0.46816 0.427712
987.6 968.1 986.2 971 963.5 962.7 963.5 963.5 963.5 967.65 956.1 968.1 986.2 967.65 987.6 986.2 938.1 987.6 986.2 938.1 969.955 15.30219 -0.57406 -0.01427
987.6 938.1 983.55 983.55 987.6 962.7 983.55 987.6 983.55 987.6 956.1 967.65 963.5 987.6 938.1 971 967.65 983.55 962.7 986.2 973.4725 16.02201 -1.08608 0.339613
986.2 963.5 956.1 938.1 986.2 971 956.1 986.2 962.7 971 967.65 983.55 938.1 962.7 987.6 986.2 986.2 938.1 987.6 963.5 968.915 17.36547 -0.56696 -0.75914
987.6 983.55 956.1 971 962.7 956.1 968.1 983.55 968.1 962.7 971 962.7 967.65 986.2 938.1 987.6 968.1 968.1 963.5 938.1 967.5275 14.0911 -0.48822 0.334556
956.1 967.65 971 987.6 956.1 983.55 967.65 987.6 968.1 963.5 968.1 971 968.1 986.2 962.7 962.7 987.6 962.7 956.1 987.6 971.0825 11.39545 0.43335 -1.20902
938.1 962.7 971 983.55 962.7 962.7 968.1 956.1 938.1 967.65 971 987.6 967.65 963.5 986.2 967.65 971 963.5 967.65 971 966.3725 12.55541 -0.69849 1.507995
967.65 938.1 987.6 983.55 986.2 983.55 986.2 963.5 963.5 986.2 963.5 968.1 962.7 983.55 983.55 971 987.6 963.5 968.1 938.1 971.7875 15.12857 -0.9502 0.505782
962.7 956.1 963.5 956.1 971 956.1 956.1 962.7 983.55 971 938.1 962.7 967.65 963.5 971 963.5 987.6 963.5 956.1 938.1 962.53 11.95608 -0.11925 1.153185
983.55 963.5 987.6 967.65 962.7 956.1 962.7 987.6 987.6 971 967.65 967.65 983.55 986.2 938.1 986.2 968.1 971 962.7 983.55 972.235 13.25892 -0.67565 0.551669
938.1 987.6 983.55 956.1 983.55 968.1 971 962.7 968.1 938.1 983.55 956.1 968.1 968.1 956.1 968.1 956.1 967.65 971 967.65 965.9675 13.43168 -0.49277 0.347878
963.5 968.1 967.65 956.1 971 963.5 963.5 987.6 956.1 967.65 963.5 967.65 956.1 962.7 963.5 987.6 963.5 983.55 971 956.1 966.995 9.526499 1.126604 0.791277
967.65 956.1 956.1 986.2 987.6 962.7 986.2 987.6 971 987.6 968.1 967.65 968.1 986.2 967.65 971 983.55 962.7 956.1 962.7 972.125 11.64198 0.211788 -1.45474
962.7 962.7 956.1 968.1 967.65 956.1 987.6 956.1 938.1 962.7 962.7 956.1 968.1 967.65 987.6 956.1 962.7 987.6 962.7 968.1 964.86 11.97841 0.436828 1.180407
986.2 987.6 971 962.7 962.7 963.5 956.1 971 963.5 986.2 967.65 956.1 987.6 938.1 962.7 968.1 963.5 967.65 967.65 967.65 967.86 12.07685 -0.08258 1.065664
983.55 938.1 956.1 963.5 983.55 956.1 986.2 956.1 968.1 986.2 971 956.1 963.5 956.1 986.2 986.2 968.1 968.1 986.2 986.2 970.26 14.54663 -0.36306 -0.75669
968.1 963.5 987.6 967.65 963.5 956.1 983.55 983.55 956.1 983.55 956.1 956.1 963.5 986.2 986.2 956.1 962.7 986.2 968.1 938.1 968.625 14.11702 -0.12032 -0.70309
971 963.5 963.5 938.1 967.65 986.2 968.1 971 956.1 962.7 987.6 983.55 968.1 983.55 968.1 987.6 956.1 967.65 956.1 938.1 967.215 14.27282 -0.42362 0.119481
971 968.1 963.5 938.1 983.55 968.1 987.6 986.2 962.7 986.2 971 987.6 962.7 987.6 962.7 967.65 968.1 986.2 963.5 986.2 972.915 13.12497 -0.71072 0.8349
987.6 987.6 968.1 967.65 983.55 938.1 967.65 963.5 938.1 986.2 986.2 983.55 986.2 968.1 962.7 956.1 986.2 956.1 986.2 983.55 972.1475 16.10122 -0.88689 -0.10524
983.55 962.7 987.6 962.7 938.1 983.55 983.55 963.5 986.2 983.55 968.1 967.65 963.5 968.1 967.65 968.1 956.1 987.6 968.1 962.7 970.63 12.75087 -0.498 0.608725
963.5 987.6 938.1 967.65 971 963.5 986.2 962.7 986.2 963.5 962.7 962.7 963.5 967.65 987.6 956.1 963.5 963.5 962.7 956.1 966.8 12.18786 0.196865 0.927956
987.6 986.2 938.1 967.65 987.6 956.1 987.6 956.1 971 971 983.55 967.65 983.55 956.1 967.65 986.2 956.1 963.5 956.1 968.1 969.8725 14.27019 -0.29973 -0.56188
971 986.2 938.1 967.65 987.6 971 967.65 967.65 963.5 986.2 963.5 967.65 963.5 971 971 956.1 963.5 986.2 938.1 968.1 967.76 13.42397 -0.66052 1.065354
938.1 938.1 967.65 938.1 967.65 956.1 968.1 956.1 968.1 971 956.1 971 938.1 938.1 971 971 971 967.65 956.1 983.55 959.63 14.36835 -0.51805 -0.98225
963.5 968.1 963.5 967.65 963.5 986.2 967.65 983.55 987.6 967.65 956.1 967.65 987.6 967.65 968.1 968.1 938.1 938.1 983.55 987.6 969.0725 14.39178 -0.62719 0.500714
971 962.7 968.1 983.55 963.5 987.6 956.1 971 963.5 938.1 962.7 956.1 987.6 971 963.5 963.5 938.1 986.2 962.7 963.5 966.0025 13.66003 -0.26157 0.465762
963.5 938.1 956.1 968.1 962.7 962.7 968.1 956.1 968.1 962.7 962.7 968.1 968.1 983.55 987.6 986.2 968.1 963.5 987.6 956.1 966.8875 12.1143 0.053197 0.865426
986.2 983.55 962.7 956.1 986.2 971 986.2 963.5 967.65 983.55 967.65 987.6 963.5 968.1 956.1 986.2 963.5 938.1 986.2 956.1 970.985 14.07255 -0.4452 -0.36144
986.2 938.1 956.1 983.55 967.65 963.5 938.1 956.1 938.1 971 963.5 963.5 986.2 983.55 956.1 963.5 956.1 968.1 968.1 962.7 963.4875 14.69969 -0.19196 -0.26107
971 983.55 986.2 987.6 968.1 967.65 971 971 956.1 962.7 986.2 971 967.65 971 968.1 962.7 971 986.2 962.7 986.2 972.8825 9.608909 0.356606 -0.99803
962.7 962.7 968.1 963.5 956.1 963.5 986.2 983.55 956.1 963.5 962.7 967.65 968.1 962.7 967.65 938.1 967.65 962.7 956.1 971 964.515 9.893021 -0.1631 2.922024
986.2 987.6 967.65 967.65 968.1 956.1 986.2 971 967.65 987.6 968.1 971 983.55 968.1 968.1 987.6 956.1 971 963.5 987.6 973.52 10.66818 0.162875 -1.19449
968.1 986.2 986.2 986.2 968.1 968.1 983.55 956.1 938.1 987.6 967.65 963.5 956.1 962.7 986.2 987.6 938.1 971 956.1 971 969.41 15.51682 -0.55062 -0.30391
987.6 983.55 987.6 938.1 956.1 963.5 987.6 986.2 971 986.2 986.2 962.7 987.6 968.1 987.6 986.2 971 963.5 987.6 986.2 976.7075 14.15845 -1.28389 1.199944
987.6 967.65 968.1 968.1 983.55 968.1 987.6 987.6 983.55 956.1 938.1 938.1 983.55 968.1 963.5 983.55 956.1 986.2 938.1 962.7 968.7975 16.93946 -0.64005 -0.57876
938.1 963.5 963.5 938.1 967.65 987.6 986.2 987.6 956.1 971 968.1 962.7 967.65 956.1 983.55 971 983.55 963.5 971 962.7 967.46 14.12865 -0.46793 0.282532
968.1 967.65 956.1 986.2 963.5 956.1 983.55 987.6 987.6 983.55 986.2 983.55 962.7 986.2 938.1 938.1 938.1 987.6 956.1 956.1 968.635 18.00656 -0.47037 -1.11299
987.6 983.55 938.1 983.55 963.5 956.1 963.5 983.55 967.65 987.6 956.1 986.2 986.2 967.65 971 986.2 987.6 983.55 967.65 967.65 973.725 13.92672 -0.90036 0.401703
962.7 956.1 967.65 967.65 938.1 986.2 956.1 986.2 971 971 938.1 938.1 956.1 938.1 963.5 968.1 983.55 987.6 971 938.1 962.2475 17.16344 -0.17492 -1.04006
962.7 983.55 938.1 971 938.1 956.1 967.65 987.6 967.65 968.1 962.7 987.6 938.1 987.6 962.7 938.1 983.55 963.5 956.1 987.6 965.405 17.55982 -0.29386 -0.93526
968.1 956.1 983.55 963.5 986.2 967.65 963.5 938.1 986.2 987.6 971 956.1 967.65 971 938.1 968.1 963.5 968.1 983.55 987.6 968.76 14.60555 -0.59434 0.19727
938.1 963.5 968.1 967.65 983.55 963.5 987.6 983.55 986.2 968.1 962.7 938.1 987.6 983.55 956.1 956.1 967.65 967.65 956.1 971 967.82 14.71688 -0.44457 -0.11681
987.6 987.6 967.65 986.2 956.1 967.65 962.7 968.1 938.1 971 962.7 968.1 971 986.2 967.65 963.5 967.65 968.1 938.1 963.5 967.46 13.51373 -0.54105 0.966927
938.1 968.1 971 983.55 938.1 986.2 962.7 971 968.1 962.7 987.6 986.2 983.55 968.1 956.1 983.55 938.1 987.6 938.1 986.2 968.2325 18.17782 -0.6699 -0.83949
971 986.2 963.5 986.2 956.1 986.2 967.65 956.1 963.5 983.55 938.1 938.1 967.65 986.2 962.7 986.2 963.5 938.1 962.7 963.5 966.3375 16.148 -0.35406 -0.56825
956.1 963.5 967.65 967.65 968.1 938.1 968.1 968.1 963.5 971 986.2 963.5 986.2 962.7 962.7 986.2 968.1 971 986.2 956.1 968.035 11.78174 -0.24248 1.267756

From the small sample size by using the bootstrapping method this data is calculated
of Cipla Ltd. From this data, I have again calculated the Mean, Standard deviation,
skewness, and kurtosis of each row. Then take the average of that data.
Mean Std Skewness Kurtosis
Deviation
Averages 968.3754 13.80749 -0.35279 0.122502

The same results are also visible in Cipla Ltd.

• The mean is the same.

• Std deviation is reduced.
• Skewness is reduced and moving towards normal distribution.
• Kurtosis was Leptokurtic and now moving towards mesokurtic distribution.