Sheet1
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Yellow = inputs, all other cells are calculated
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Green = liquidity-adjusted value at risk (VaR)
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Confidence level
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95%
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NORMSINV(confidence)
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1.645
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Initial Portfolio Value (V0)
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$100.00
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VaR Time horizon (days)
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1
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Time horizon (years)
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0.0040
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Spread
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2.00%
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Annual assumptions:
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Expected return, annual
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10%
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Standard deviation, annual
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25%
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Periodic equivalents:
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Exp return, period (days)
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0.04%
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Std Dev, period (days)
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1.58%
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Normal distribution
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Value at Risk (VaR), %
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2.6%
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Value at Risk (VaR), $
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$2.56
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Liquidity-adjusted VaR, %
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3.56%
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Liquidity-adjusted VaR, $
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$3.56
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Ratio (LVaR/VaR)
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1.39
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Lognormal distribution
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Value at Risk (VaR), %
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2.53%
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Value at Risk (VaR), $
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$2.53
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Liquidity-adjusted VaR, %
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3.53%
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Liquidity-adjusted VaR, $
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$3.53
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Ratio (LVaR/VaR)
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1.40
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Sheet2
Sheet3
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