{"text_format":"1","workbook":"xlsx","n_sheets":2,"sheets":["Case","Data"],"not_rendered":{"charts":0,"images":2,"macros":1,"external_links":0,"defined_names":0,"comments":0,"pivot_tables":0},"unopened":[],"bounds":{"document_bytes":16777216,"sheet_cells":100000,"rows_first":2000,"rows_last":500,"rows_between":2000,"halvings":0,"cell_chars":16384,"cell_head_chars":4096},"cells_cut":0,"cells_raw":0,"read":"whole","date_system":"1900"}

{"sheet":"Case","index":0,"n_rows":29,"n_cols":8,"rows_kept":29,"cut":false,"hidden":false,"merged":[]}
[]
[]
[]
[null,"Epsilon (Risk Measurement)"]
[null,"Prof. Hugues Pirotte"]
[null,"version 2012"]
[]
[null,"C","Epsilon Inc."]
[null,null,"Family office firm dedicated to the investment policy of a group of some wealthy families"]
[null,null,"you are asked to determine the overall exposure of a given portfolio (Jan 16, 2004):"]
[]
[null,null,"Asset","Description","Quantity","Market value","Yield","Currency"]
[null,null,1,"Solvay shares",140,67.45,null,"EUR"]
[null,null,2,"Shares of Eurostoxx 50 index fund",7,1439.97,null,"EUR"]
[null,null,3,"US Treasury 10y 0-coupon bonds",6,null,4.03,"USD"]
[null,null,4,"1y Short term loans",6,null,2.09,"EUR"]
[null,null,5,"Shares of DJ index fund",2,5300.26,null,"USD"]
[]
[null,null,"All loans and bonds have a 1'000 nominal face value per security (in both currencies)."]
[null,null,"Current USD/EUR exchange rate is…. :",null,1.2451000000000001,"USD/EUR"]
[]
[null,null,"You have all the necessary historical data for stock prices, index values, interest rate levels and forex values for the statistical analysis of the risk sources present here. "]
[]
[null,"Q","Questions"]
[null,1,"Identify the risk sources"]
[null,2,"Report on standard deviations and correlations of the required series"]
[null,3,"Provide some estimate of the risk level or VaR of this portfolio"]
[null,4,"Determine how much is every position contributing to the portfolio in terms of risk and which ones are diversifying the risk of your portfolio"]
[null,5,"Show what could happen if the included funds were not matching so closely the related indices. "]

{"sheet":"Data","index":1,"n_rows":114,"n_cols":9,"rows_kept":114,"cut":false,"hidden":false,"merged":[]}
[]
[]
[]
[null,"Epsilon (Risk Measurement)"]
[null,"Prof. Hugues Pirotte"]
[null,"version 2012"]
[]
[null,"D","Historical Market Data"]
[]
[null,null,"DATE","SOLBt.BR",".DJI",".STOXX50E","EUR=X","US10YT=RR","EU1YT=RR"]
[null,null,"2002-01-25",71.45,9840.08,3701.3,0.8659,5.0663200000000002,3.39]
[null,null,"2002-02-01",73.599999999999994,9907.26,3682.69,0.8619,4.9768999999999997,3.36]
[null,null,"2002-02-08",75.5,9744.24,3507.46,0.87319999999999998,4.8809800000000001,3.32]
[null,null,"2002-02-15",75,9903.0400000000009,3555.15,0.87319999999999998,4.8589799999999999,3.34]
[null,null,"2002-02-22",74.5,9968.15,3430.18,0.87539999999999996,4.8309600000000001,3.34]
[null,null,"2002-03-01",76,10368.9,3645.33,0.86470000000000002,4.9771700000000001,3.36]
[null,null,"2002-03-08",76.3,10572.5,3789.88,0.87370000000000003,5.3245899999999997,3.51]
[null,null,"2002-03-15",74.5,10607.2,3755.75,0.88219999999999998,5.3335299999999997,3.55]
[null,null,"2002-03-22",75.2,10427.700000000001,3744.37,0.87690000000000001,5.3951200000000004,3.66]
[null,null,"2002-03-29",75.25,10403.9,3784.05,0.87150000000000005,5.4018499999999996,3.69]
[null,null,"2002-04-05",75.25,10271.6,3677.72,0.87870000000000004,5.20573,3.62]
[null,null,"2002-04-12",74.95,10190.799999999999,3611.79,0.87980000000000003,5.1568500000000004,3.58]
[null,null,"2002-04-19",74,10257.1,3709.01,0.89200000000000002,5.1962099999999998,3.57]
[null,null,"2002-04-26",74.25,9910.7199999999993,3561.08,0.90149999999999997,5.0557600000000003,3.48]
[null,null,"2002-05-03",72.7,10006.6,3496.44,0.91710000000000003,5.0560200000000002,3.59]
[null,null,"2002-05-10",74,9939.92,3465.12,0.91369999999999996,5.1189299999999998,3.68]
[null,null,"2002-05-17",74.5,10353.1,3554.77,0.92030000000000001,5.2527499999999998,3.81]
[null,null,"2002-05-24",74.5,10104.299999999999,3477.06,0.91979999999999995,5.1401000000000003,3.7]
[null,null,"2002-05-31",74.05,9925.25,3425.79,0.93340000000000001,5.0447300000000004,3.68]
[null,null,"2002-06-07",71.8,9589.67,3210.5,0.94330000000000003,5.06419,3.64]
[null,null,"2002-06-14",68.650000000000006,9474.2099999999991,3054.5,0.9456,4.8007299999999997,3.58]
[null,null,"2002-06-21",67.5,9253.7900000000009,3036.29,0.97050000000000003,4.7579500000000001,3.59]
[null,null,"2002-06-28",72.900000000000006,9243.26,3133.39,0.99150000000000005,4.8087799999999996,3.5]
[null,null,"2002-07-05",74.5,9379.5,3165.47,0.9718,4.85792,3.5]
[null,null,"2002-07-12",69.8,8684.5300000000007,2886.3,0.9909,4.5738000000000003,3.39]
[null,null,"2002-07-19",69.5,8019.26,2695.46,1.0113000000000001,4.5183600000000004,3.38]
[null,null,"2002-07-26",67.400000000000006,8264.39,2536.9299999999998,0.98540000000000005,4.3673999999999999,3.25]
[null,null,"2002-08-02",68.25,8313.1299999999992,2547.12,0.98660000000000003,4.2726600000000001,3.17]
[null,null,"2002-08-09",69.95,8745.4500000000007,2750.16,0.96940000000000004,4.2574500000000004,3.16]
[null,null,"2002-08-16",70.8,8778.06,2713.96,0.9839,4.3140599999999996,3.15]
[null,null,"2002-08-23",70.45,8872.9599999999991,2821.04,0.97199999999999998,4.2309999999999999,3.26]
[null,null,"2002-08-30",70.55,8663.5,2709.29,0.98180000000000001,4.12948,3.18]
[null,null,"2002-09-06",67.349999999999994,8427.2000000000007,2618.1799999999998,0.98060000000000003,4.0117399999999996,2.99]
[null,null,"2002-09-13",65.900000000000006,8312.69,2530.8000000000002,0.9708,3.9020000000000001,3.02]
[null,null,"2002-09-20",62.5,7986.02,2308.0300000000002,0.98209999999999997,3.7789999999999999,2.96]
[null,null,"2002-09-27",62.05,7701.45,2343.2199999999998,0.98070000000000002,3.6621000000000001,2.92]
[null,null,"2002-10-04",60,7528.4,2224.7399999999998,0.97889999999999999,3.66831,2.84]
[null,null,"2002-10-11",59.8,7850.29,2351.81,0.98709999999999998,3.7919999999999998,2.85]
[null,null,"2002-10-18",63.65,8322.4,2527.38,0.9718,4.10914,2.92]
[null,null,"2002-10-25",61.05,8443.99,2456.91,0.97570000000000001,4.0932899999999997,2.92]
[null,null,"2002-11-01",59.7,8517.64,2487.66,0.99660000000000004,4.00495,2.86]
[null,null,"2002-11-08",60.3,8537.1299999999992,2450.42,1.0126999999999999,3.83317,2.82]
[null,null,"2002-11-15",62.8,8579.09,2535.73,1.0091000000000001,4.02677,2.77]
[null,null,"2002-11-22",64.45,8804.84,2648.14,0.99650000000000005,4.1779999999999999,2.78]
[null,null,"2002-11-29",66,8896.09,2656.85,0.99429999999999996,4.2110200000000004,2.8]
[null,null,"2002-12-06",64.3,8645.77,2531.66,1.0096000000000001,4.0865400000000003,2.73]
[null,null,"2002-12-13",63.8,8433.7099999999991,2429.42,1.0232000000000001,4.0650000000000004,2.64]
[null,null,"2002-12-20",63.9,8511.32,2438.9699999999998,1.0266999999999999,3.952,2.62]
[null,null,"2002-12-27",63.55,8303.7800000000007,2364.9899999999998,1.0436000000000001,3.8106200000000001,2.57]
[null,null,"2003-01-03",65.25,8601.69,2502.19,1.0421,4.0193399999999997,2.6]
[null,null,"2003-01-10",62.95,8784.89,2489.0100000000002,1.0573999999999999,4.13591,2.54]
[null,null,"2003-01-17",64.900000000000006,8586.74,2390.36,1.0667,4.0149999999999997,2.5]
[null,null,"2003-01-24",62.05,8131.01,2234.56,1.0820000000000001,3.9297,2.4300000000000002]
[null,null,"2003-01-31",61.25,8053.81,2248.17,1.0767,3.9658799999999998,2.4300000000000002]
[null,null,"2003-02-07",58.35,7864.23,2133.6,1.0822000000000001,3.93187,2.35]
[null,null,"2003-02-14",56.8,7908.8,2199.9699999999998,1.0789,3.9551099999999999,2.34]
[null,null,"2003-02-21",58.25,8018.11,2208.25,1.0765,3.8901300000000001,2.2999999999999998]
[null,null,"2003-02-28",55,7891.08,2140.73,1.0795999999999999,3.6915200000000001,2.19]
[null,null,"2003-03-07",48.41,7740.03,1992.45,1.1006,3.6257100000000002,2.14]
[null,null,"2003-03-14",54.4,7859.71,2079.71,1.0739000000000001,3.7006800000000002,2.2999999999999998]
[null,null,"2003-03-21",58.4,8521.9699999999993,2249.11,1.0530999999999999,4.0992300000000004,2.33]
[null,null,"2003-03-28",56.6,8145.77,2132.11,1.0779000000000001,3.8995500000000001,2.2599999999999998]
[null,null,"2003-04-04",60.2,8277.15,2223.17,1.0729,3.9458799999999998,2.2200000000000002]
[null,null,"2003-04-11",61.5,8203.41,2247.4699999999998,1.0745,3.97458,2.2799999999999998]
[null,null,"2003-04-18",62.3,8337.65,2324.27,1.0871,3.9586199999999998,2.36]
[null,null,"2003-04-25",60.5,8306.35,2271.92,1.1031,3.8860399999999999,2.2400000000000002]
[null,null,"2003-05-02",63.7,8582.68,2321.9,1.1228,3.9248400000000001,2.19]
[null,null,"2003-05-09",62.4,8604.6,2314.1,1.1484000000000001,3.6776800000000001,2.17]
[null,null,"2003-05-16",64.849999999999994,8678.9699999999993,2349.13,1.1589,3.4167000000000001,2.08]
[null,null,"2003-05-23",65.25,8601.3799999999992,2246.58,1.1835,3.3345199999999999,2.0099999999999998]
[null,null,"2003-05-30",65.7,8850.26,2330.06,1.1772,3.3698600000000001,1.98]
[null,null,"2003-06-06",67.55,9062.7900000000009,2421.92,1.1697,3.3537599999999999,1.88]
[null,null,"2003-06-13",64,9117.1200000000008,2440.3200000000002,1.1868000000000001,3.1139399999999999,1.78]
[null,null,"2003-06-20",62.6,9200.75,2515.33,1.1606000000000001,3.3671099999999998,1.84]
[null,null,"2003-06-27",60,8989.0499999999993,2453.4899999999998,1.1426000000000001,3.5434100000000002,1.91]
[null,null,"2003-07-04",58.4,9070.2099999999991,2408.1799999999998,1.1491,3.65625,1.87]
[null,null,"2003-07-11",60.05,9119.59,2477.7199999999998,1.1287,3.6330900000000002,1.91]
[null,null,"2003-07-18",58.7,9188.15,2458.92,1.1268,3.9994399999999999,1.96]
[null,null,"2003-07-25",58.3,9284.57,2442.13,1.1509,4.1787700000000001,1.95]
[null,null,"2003-08-01",58,9153.9699999999993,2479.6999999999998,1.1272,4.3959599999999996,2.12]
[null,null,"2003-08-08",58.65,9191.09,2460.14,1.1306,4.2859600000000002,2.06]
[null,null,"2003-08-15",59.55,9321.69,2548.86,1.1254999999999999,4.5299199999999997,2.1]
[null,null,"2003-08-22",59.85,9348.8700000000008,2593.5500000000002,1.0884,4.4717799999999999,2.1800000000000002]
[null,null,"2003-08-29",59.9,9415.82,2556.71,1.0976999999999999,4.4631800000000004,2.1800000000000002]
[null,null,"2003-09-05",63.3,9503.34,2614.81,1.1106,4.3534800000000002,2.15]
[null,null,"2003-09-12",62.6,9471.5499999999993,2546.7800000000002,1.1288,4.2521000000000004,2.1]
[null,null,"2003-09-19",64.400000000000006,9644.82,2582.4699999999998,1.1378999999999999,4.1637700000000004,2.0699999999999998]
[null,null,"2003-09-26",62.05,9313.08,2447.92,1.1467000000000001,4.0109500000000002,1.99]
[null,null,"2003-10-03",61.4,9572.31,2516.48,1.1577,4.2019599999999997,2.13]
[null,null,"2003-10-10",60.75,9674.68,2518.44,1.1796,4.2556599999999998,2.12]
[null,null,"2003-10-17",61.85,9721.7900000000009,2550.8200000000002,1.1680999999999999,4.3935000000000004,2.21]
[null,null,"2003-10-24",61.15,9582.4599999999991,2482.56,1.1787000000000001,4.23048,2.1800000000000002]
[null,null,"2003-10-31",64.05,9801.1200000000008,2575.04,1.1581999999999999,4.2972900000000003,2.2200000000000002]
[null,null,"2003-11-07",65.099999999999994,9809.7900000000009,2657.6,1.1533,4.4428299999999998,2.3199999999999998]
[null,null,"2003-11-14",64.8,9768.68,2656.94,1.1777,4.2252299999999998,2.21]
[null,null,"2003-11-21",64.349999999999994,9628.5300000000007,2578.2399999999998,1.1914,4.1523399999999997,2.16]
[null,null,"2003-11-28",64.650000000000006,9782.4599999999991,2630.47,1.1991000000000001,4.32958,2.3199999999999998]
[null,null,"2003-12-05",67.5,9862.68,2672.02,1.2161999999999999,4.2186399999999997,2.2400000000000002]
[null,null,"2003-12-12",66.599999999999994,10042.200000000001,2685.39,1.2286999999999999,4.2433899999999998,2.1800000000000002]
[null,null,"2003-12-19",67,10278.200000000001,2725.26,1.2372000000000001,4.13659,2.17]
[null,null,"2003-12-26",67.95,10324.700000000001,2721.57,1.2425999999999999,4.1524400000000004,2.15]
[null,null,"2004-01-02",69.05,10409.9,2797.56,1.2582,4.3741099999999999,2.15]
[null,null,"2004-01-09",69.150000000000006,10458.9,2800.16,1.2833000000000001,4.0839400000000001,2.0299999999999998]
[null,null,"2004-01-16",67.95,10600.5,2865.96,1.2383,4.0158100000000001,2.0299999999999998]