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[]
[]
[]
[null,"Indextron (VaR measurement)"]
[null,"Prof. Hugues Pirotte"]
[null,"version 2011"]
[]
[null,1,"Positions","Base currency","EUR",null,"USD/EUR",1.25,"price of EUR in USD"]
[]
[null,null,null,"Quantity","Unit Price","Value","Currency","Total value in EUR"]
[null,"a","EuroStoxx 50",7,1500,{"$f":"D11*E11","v":10500},"EUR"]
[null,"b","DJ",2,10000,{"$f":"D12*E12","v":20000},"USD"]
[null,"c","Zero US 10y",10,650,6500,"USD"]
[null,null,null,"Bonds have a nominal value of 1'000"]
[]
[]
[]
[]
[]
[null,2,"Mapping"]
[]
[null,null,null,"EuroStoxx index","DJ index","USD","10yUSD"]
[null,"a","EuroStoxx 50"]
[null,"b","DJ"]
[null,"c","Zero US 10y"]
[]
[]
[]
[]
[null,3,"Correlations and stdev"]
[null,null,null,null,"Correlations"]
[null,null,null,"Std dev","EuroStoxx 50","DJ","USD","US 10 an"]
[null,null,"EuroStoxx 50",0.3,1,0.49,0.64,-0.28000000000000003]
[null,null,"DJ",0.2,0.49,1,0.8,-0.37]
[null,null,"USD",0.1,0.64,0.8,1,-0.43]
[null,null,"US 10 an",0.09,-0.28000000000000003,-0.37,-0.43,1]
[null,null,null,null,{"$f":"TRANSPOSE(D33:D36)","v":0.3},0.2,0.1,0.09]
[]
[]
[null,4,"Variance-covariance matrix"]
[]
[null,null,null,null,"EuroStoxx 50","DJ","USD","US 10 an"]
[null,null,null,"EuroStoxx 50"]
[null,null,null,"DJ"]
[null,null,null,"USD"]
[null,null,null,"US 10 an"]
[]
[null,5,"VaR"]
[]
[null,null,"Variance"]
[null,null,"Std. Deviation"]
[null,null,"time horizon"]
[null,null,"confidence"]
[null,null,"z-factor"]
[null,null,"VaR"]
[null,null,"VaR(%)"]
[]
[]
[]
[null,6,"Contribution to VaR"]
[null,null,"Incremental","a"]
[null,null,"VaR","b"]
[null,null,null,"c"]
[]
[]
[null,null,"Component"]
[null,null,"VaR",null,"EuroStoxx 50","DJ","USD","US 10 an"]
[null,null,null,"Delta VaR"]
[]
[null,null,"Positions","EuroStoxx 50"]
[null,null,null,"DJ"]
[null,null,null,"Zero US"]