Sheet1 (2)
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Single-deal distribution
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Prob.
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15%
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85%
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Payoff
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-15
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5
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Expected payoff
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$2.00
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Portfolio Size
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$100
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No. of
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Size of
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Expected
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No. of
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Value at
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Actual
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Deals
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Deal
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Profit
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Failures
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Risk (VaR)
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Confidence
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1
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$100.0
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$2.00
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1
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$15.00
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100.0%
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5
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$20.0
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$2.00
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2
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$3.00
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97.3%
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10
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$10.0
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$2.00
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3
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$1.00
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95.0%
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15
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$6.7
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$2.00
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5
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$1.67
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98.3%
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20
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$5.0
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$2.00
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6
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$1.00
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97.8%
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25
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$4.0
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$2.00
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7
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$0.60
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97.5%
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30
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$3.3
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$2.00
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8
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$0.33
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97.2%
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35
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$2.9
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$2.00
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9
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$0.14
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97.1%
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40
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$2.5
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$2.00
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10
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$0.00
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97.0%
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45
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$2.2
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$2.00
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11
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($0.11)
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97.0%
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50
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$2.0
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$2.00
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12
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($0.20)
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97.0%
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100
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$1.0
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$2.00
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21
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($0.80)
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96.1%
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Sheet1
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N
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30
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L
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p
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rho
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0.00
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30.0
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0.03
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16.0
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0.05
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12.2
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0.10
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7.7
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0.20
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4.4
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0.50
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1.9
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Sheet2
Sheet3
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