PRÀCTICA DE RIESGO(MVC)

VaR para un portafolio con varios activos

ACCCIONES ARGOS BANCOLOMBIA
MONTOS-VP(Millones) 200 300

MATRIZ DE PRECIOS
FECHAS ARGOS BANCOLOMBIA
1 1/3/2021 5610 30710
2 25/2/2021 5845 30300
3 24/2/2021 5845 31800
4 23/2/2021 5815 31050
5 22/2/2021 5770 31000
6 19/2/2021 5740 31100
7 18/2/2021 5770 30890
8 17/2/2021 5895 31200
9 16/2/2021 5910 30900
10 15/2/2021 5815 30900
11 12/2/2021 5865 30850
12 11/2/2021 5930 31060
13 10/2/2021 5750 31510
14 9/2/2021 5810 31690
15 8/2/2021 5870 31650
16 5/2/2021 5870 31500
17 4/2/2021 5900 31000
18 3/2/2021 6000 31000
19 2/2/2021 5930 31610
20 1/2/2021 5820 31210
21 29/1/2021 5840 30600
22 28/1/2021 5810 29900
23 27/1/2021 5830 30000
24 26/1/2021 5830 30800
25 25/1/2021 5870 30480
26 19/1/2021 5950 32860
27 18/1/2021 5860 33450
28 15/1/2021 5865 33100
29 14/1/2021 5930 34380
30 13/1/2021 5915 34580
31 12/1/2021 5900 35000
32 8/1/2021 5870 35100
33 7/1/2021 5700 34310
34 6/1/2021 5865 34100
35 5/1/2021 5860 35670
36 4/1/2021 6100 33500
37 30/12/2020 6180 34980
38 29/12/2020 6140 34880
39 28/12/2020 5865 34500
40 24/12/2020 5705 34100
41 23/12/2020 5750 34040
42 22/12/2020 5820 34370
43 21/12/2020 5600 33060
44 18/12/2020 5835 34900
45 17/12/2020 5800 35200
46 16/12/2020 5715 34010
47 15/12/2020 5615 33730
48 14/12/2020 5650 32700
49 11/12/2020 5480 32000
50 10/12/2020 5485 31720
51 9/12/2020 5510 32000
52 7/12/2020 5350 30700
53 4/12/2020 5290 30600
54 3/12/2020 5005 29400
55 2/12/2020 5030 28800
56 1/12/2020 5140 28200
57 30/11/2020 4980 27680
58 27/11/2020 5000 27590
59 26/11/2020 5025 27590
60 25/11/2020 5060 27700
61 24/11/2020 5050 28300
62 23/11/2020 4868 28200
63 20/11/2020 4780 27680
64 19/11/2020 4775 26970
65 18/11/2020 4836 27000
66 17/11/2020 4820 26560
67 13/11/2020 4800 26400
68 12/11/2020 4801 25940
69 11/11/2020 4841 26580
70 10/11/2020 4720 26350
71 9/11/2020 4750 26780
72 6/11/2020 4565 25500
73 5/11/2020 4594 25180
74 4/11/2020 4589 24990
75 3/11/2020 4570 24800
76 30/10/2020 4555 24500
77 29/10/2020 4300 23980
78 28/10/2020 4200 24400
79 27/10/2020 4460 25690
80 26/10/2020 4512 25900
81 23/10/2020 4582 24990
82 22/10/2020 4573 25090
83 21/10/2020 4542 25660
84 20/10/2020 4585 25800
85 19/10/2020 4560 25170
86 16/10/2020 4558 24330
87 15/10/2020 4565 24300
88 14/10/2020 4580 24980
89 13/10/2020 4530 24600
90 9/10/2020 4645 25490
 91 8/10/2020 4633 25460
92 7/10/2020 4561 24660
93 6/10/2020 4520 25090
94 5/10/2020 4590 24290
95 2/10/2020 4540 24500
96 1/10/2020 4590 24160
97 30/9/2020 4630 24280
98 29/9/2020 4540 24460
99 28/9/2020 4610 24900
100 25/9/2020 4500 25200
101 24/9/2020 4500 24980
102 23/9/2020 4700 25000
103 22/9/2020 4795 24800
104 21/9/2020 4750 25340
105 18/9/2020 4700 26200
106 17/9/2020 4410 25700
107 16/9/2020 4585 25360
108 15/9/2020 4670 25340
109 14/9/2020 4905 25600
110 11/9/2020 4950 26160
111 10/9/2020 4920 26520
112 9/9/2020 5110 27300
113 8/9/2020 5030 27040
114 7/9/2020 5050 27380
115 4/9/2020 5000 27260
116 3/9/2020 5000 27300
117 2/9/2020 5170 27700
118 1/9/2020 5080 27400
119 31/8/2020 5000 26000
120 28/8/2020 4900 26700
121 27/8/2020 4900 26720
122 26/8/2020 4935 27000
123 25/8/2020 4800 26800
124 24/8/2020 4700 26200
125 21/8/2020 4450 25620
126 20/8/2020 4400 25620
127 19/8/2020 4290 25520
128 18/8/2020 4150 25100
129 14/8/2020 4050 25520
130 13/8/2020 4025 25140
131 12/8/2020 4005 25500
132 11/8/2020 4000 24800
133 10/8/2020 4010 24780
134 6/8/2020 4035 25400
135 5/8/2020 3825 25000
136 4/8/2020 3730 25340
137 3/8/2020 3840 25000
138 31/7/2020 3660 25620
139 30/7/2020 4060 26800
140 29/7/2020 4100 26400
141 28/7/2020 4100 26500
142 27/7/2020 4150 26340
143 24/7/2020 4105 26380
144 23/7/2020 4150 25480
145 22/7/2020 4000 25480
146 21/7/2020 3900 24900
147 17/7/2020 3760 24560
148 16/7/2020 3745 24440
149 15/7/2020 3700 24320
150 14/7/2020 3600 23860
151 13/7/2020 3590 24120
152 10/7/2020 3665 24680
153 9/7/2020 3730 24980
154 8/7/2020 3740 24800
155 7/7/2020 3630 25500
156 6/7/2020 3495 24120
157 3/7/2020 3435 24440
158 2/7/2020 3465 24940
159 1/7/2020 3405 24100
160 30/6/2020 3435 24000
161 26/6/2020 3445 23940
162 25/6/2020 3465 23820
163 24/6/2020 3505 24740
164 23/6/2020 3665 25000
165 19/6/2020 3700 25420
166 18/6/2020 3615 27380
167 17/6/2020 3490 25600
168 16/6/2020 3430 25360
169 12/6/2020 3510 25500
170 11/6/2020 3385 25700
171 10/6/2020 3800 25220
172 9/6/2020 3730 26300
173 8/6/2020 3880 29000
174 5/6/2020 3740 29600
175 4/6/2020 3630 28600
176 3/6/2020 3635 27320
177 2/6/2020 3600 26800
178 1/6/2020 3600 25000
179 29/5/2020 3500 25020
180 28/5/2020 3460 25000
181 27/5/2020 3510 23700
182 26/5/2020 3575 23980
183 22/5/2020 3510 22300
184 21/5/2020 3575 21220
185 20/5/2020 3510 21700
186 19/5/2020 3600 21520
187 18/5/2020 3615 21620
188 15/5/2020 3650 22240
189 14/5/2020 3355 21520
190 13/5/2020 3340 21480
191 12/5/2020 3530 22260
192 11/5/2020 3645 23500
193 8/5/2020 3710 23600
194 7/5/2020 3720 24000
195 6/5/2020 3610 24240
196 5/5/2020 3650 23000
197 4/5/2020 3730 23780
198 30/4/2020 3895 24140
199 29/4/2020 3850 25320
200 28/4/2020 3775 25020
201 27/4/2020 3700 25500
202 24/4/2020 3750 24500
203 23/4/2020 3800 23040
204 22/4/2020 3680 24500
205 21/4/2020 3490 24780
206 20/4/2020 3805 24800
207 17/4/2020 3830 26200
208 16/4/2020 3860 26500
209 15/4/2020 3855 26880
210 14/4/2020 3945 26800
211 13/4/2020 3820 26720
212 8/4/2020 3905 26960
213 7/4/2020 4005 26100
214 6/4/2020 4015 26000
215 3/4/2020 3945 25400
216 2/4/2020 3990 23800
217 1/4/2020 3900 23800
218 31/3/2020 4090 24000
219 30/3/2020 3875 25080
220 27/3/2020 4000 25040
221 26/3/2020 3930 25700
222 25/3/2020 3300 25800
223 24/3/2020 2700 22000
224 20/3/2020 2500 18500
225 19/3/2020 2420 18700
226 18/3/2020 2550 20100
227 17/3/2020 3200 20000
228 16/3/2020 3040 22880
229 12/3/2020 4000 23440
230 11/3/2020 4430 28600
231 10/3/2020 4465 29900
232 9/3/2020 4220 31720
233 6/3/2020 5050 31420
234 5/3/2020 5110 36700
235 4/3/2020 5080 37540
236 3/3/2020 4920 37500
237 2/3/2020 5300 36740
238 28/2/2020 5120 38120
239 27/2/2020 5200 39000
240 26/2/2020 5250 39500
241 25/2/2020 5460 39680
242 24/2/2020 5610 40340
243 21/2/2020 5800 40080
244 20/2/2020 6060 40520
245 19/2/2020 6110 43860
246 18/2/2020 6120 44180
247 17/2/2020 6180 43900
248 14/2/2020 6200 44460
249 13/2/2020 6200 44700
250 12/2/2020 6230 44480
251 11/2/2020 6140 43980
252 10/2/2020 6220 44080
 PRÀCTICA DE RIESGO(MVC)
VaR para un portafolio con varios activos
CELSIA
1500 2000

MATRIZ DE PRECIOS MATRIZ DE RENTABILIDADES (Continuas) DIARIAS

CELSIA ARGOS BANCOLOMBIA
4740 -0.0410358753894268 0.01344062194
4820 0 -0.04831857727
4800 0.00514580895340395 0.02386748141
4700 0.00776870545061949 0.00161160389
4686 0.00521287018853321 -0.0032206147
4700 -0.0052128701885331 0.00677531225
4730 -0.0214324534693261 -0.00998558788
4735 -0.00254129742867253 0.00966191091
4750 0.016205045447379 0
4738 -0.00856169613481104 0.00161943355
4721 -0.0110217309041953 -0.00678406737
4740 0.0308243582003751 -0.01438413805
4754 -0.0103807160545607 -0.00569621793
4770 -0.0102740629761852 0.00126302511
4819 0 0.00475060276
4807 -0.00509771707166872 0.01600034135
4708 -0.0168071183163813 0
4704 0.0117352562184209 -0.01948632174
4730 0.0187239512662876 0.01273496994
4680 -0.00343053509678925 0.01973854732
4800 0.00515022597631586 0.02314152856
4742 -0.0034364294985811 -0.00333890127
4790 0 -0.02631730832
4800 -0.00683763347760408 0.01044395916
4795 -0.0135365857175333 -0.07518538179
4685 0.015241615968617 -0.01779567397
4698 -0.000852878516517515 0.01051850419
4670 -0.0110217309041953 -0.03794171757
4780 0.00253271557928406 -0.0058004803
4800 0.00253914651867624 -0.01207258123
4752 0.00509771707166858 -0.00285306898
4780 0.0293884589995007 0.0227642736
4820 -0.0285363072649344 0.00613947258
4819 0.000852878516517606 -0.04501261508
4820 -0.0401391675903443 0.06276456054
4820 -0.0130295002903338 -0.04323103076
4898 0.00649352931054831 0.00286287055
4869 0.0458222600536124 0.010954275
4826 0.0276594987913998 0.01166193975
4690 -0.00785687149522013 0.00176108058
4670 -0.0121004069340873 -0.00964778716
4750 0.038533664002243 0.03885999847
4779 -0.0411076679974158 -0.05416273682
4690 0.00601634818614569 -0.0085592534
4670 0.0147636203055996 0.03439148358
4650 0.0176527090563676 0.00826694995
4611 -0.00621395696794304 0.03101257117
4610 0.0305504441984255 0.0216391751
4607 -0.000911992767269351 0.00878850603
4712 -0.00454752943762952 -0.00878850603
4738 0.0294680622569079 0.04147324821
4680 0.0112783150377073 0.00326264563
4620 0.0553808331030241 0.04000533461
4600 -0.00498257134446394 0.0206192872
4535 -0.0216330953554259 0.0210534092
4500 0.0316231884305121 0.01861184719
4488 -0.00400802139753882 0.00325674252
4470 -0.00498754151103905 0
4451 -0.00694102935423469 -0.00397902496
4437 0.00197824001210572 -0.02142939146
4400 0.0367050681619877 0.00353982671
4401 0.0182426286219162 0.01861184719
4440 0.00104657257067112 0.0259849936
4410 -0.0126939588198527 -0.00111172885
4334 0.00331400469003729 0.0164305414
4355 0.00415801014866368 0.00604231446
4315 -0.000208311634958012 0.01757783126
4381 -0.00829708140875398 -0.0243728744
4300 0.0253125113600932 0.0086907783
4430 -0.00633581844908578 -0.01618706528
4349 0.039726103999618 0.0489768881
4335 -0.0063325902199747 0.01262842355
4356 0.00108896885421005 0.00757428377
4316 0.00414893050658315 0.00763209168
4206 0.00328767419419171 0.01217053562
4402 0.0576105080124049 0.02145296795
4450 0.023530497410194 -0.0173629827
4501 -0.06006424074265 -0.05151867882
4550 -0.011591748163785 -0.00814115758
4609 -0.015395069835546 0.03576722386
4610 0.00196613935538574 -0.00399361553
4616 0.00680200099255133 -0.02246399881
4630 -0.00942266202506146 -0.00544113274
4600 0.00546748218213339 0.02472168278
4600 0.000438692702802135 0.03394265235
4541 -0.00153458322343932 0.00123380645
4640 -0.00328048407916184 -0.02759915435
4600 0.010977058631151 0.01532906176
4640 -0.0250694327708592 -0.03553977545
4639 0.00258676583129041 0.00117762526
4630 0.0156627087049478 0.03192609539
4580 0.00902990388542362 -0.01728686264
4570 -0.0153680302283139 0.03240461736
4645 0.0109530120191971 -0.00860837454
4560 -0.0109530120191972 0.01397474448
4620 -0.00867684402568897 -0.00495459312
4530 0.0196298560448861 -0.00738616407
4555 -0.0153008449553005 -0.01782867321
4430 0.0241504602322831 -0.01197619105
4445 0 0.00876848982
4475 -0.0434851119397388 -0.00080032017
4520 -0.0200111996193886 0.0080321717
4660 0.00942909028885169 -0.02154052172
4545 0.010582109330537 -0.03337523587
4520 0.0636878192572582 0.01926841887
4500 -0.0389154162496735 0.01331786233
4480 -0.0183689659723778 0.00078895468
4510 -0.0490960213365205 -0.01020817659
4445 -0.00913248356327247 -0.0216391751
4465 0.00607904607638219 -0.01366763873
4520 -0.0378908737113964 -0.02898753687
4550 0.0157794201039652 0.00956945102
4550 -0.00396825917562062 -0.01249556869
4600 0.00995033085316809 0.00439239359
4640 0 -0.00146627592
4635 -0.0334347760862373 -0.014545711
4670 0.0175614269299472 0.0108893998
4640 0.0158733491562902 0.05244647537
4630 0.0202027073175195 -0.02656702738
4660 0 -0.00074878326
4650 -0.00711746776886399 -0.01042451734
4590 0.0277367549715996 0.00743497849
4485 0.0210534091978323 0.02264247675
4440 0.054658412537864 0.0223861143
4420 0.0112995552539335 0
4375 0.0253178079842898 0.00391083799
4380 0.0331783986973186 0.01659461234
4325 0.0243914531241593 -0.01659461234
4285 0.00619197024792098 0.01500225531
4315 0.00498133035020416 -0.014218249
4275 0.0012492194004319 0.02783479899
4220 -0.00249688019858715 0.00080677697
4295 -0.00621506040343428 -0.02471229782
4220 0.053447834443413 0.01587334916
4205 0.0251502336227749 -0.01350835002
4205 -0.0290641329439114 0.01350835002
4205 0.0480092191863607 -0.0244974716
4280 -0.103719826200366 -0.04502859105
4280 -0.00980400009662097 0.01503787736
4280 0 -0.00378072284
4320 -0.0121213605323449 0.00605603668
4310 0.0109025913382154 -0.00151745097
4385 -0.0109025913382154 0.03471231659
4270 0.0368139731227164 0
4300 0.0253178079842898 0.02302602723
4290 0.0365575957337975 0.01374870019
4235 0.00399734043262039 0.00489796898
4200 0.012088797319004 0.00492207721
4200 0.0273989741881143 0.01909564043
4230 0.00278164296187677 -0.01083795519
4185 -0.0206761328384273 -0.02295182718
4160 -0.0175798983171094 -0.01208230566
4145 -0.0026773777707164 0.00723185153
4090 0.0298529631496811 -0.02783479899
4095 0.0378992725909857 0.05563708031
4130 0.017316450011461 -0.01317976244
4100 -0.00869570696755393 -0.02025180595
4115 0.0174676930403908 0.03426109976
4115 -0.00877198607283699 0.00415801015
4060 -0.00290697879130927 0.00250313022
4060 -0.00578872817624465 0.0050251362
4050 -0.0114778878446869 -0.03789580304
4050 -0.0446378148520614 -0.0104544579
4070 -0.00950448431156396 -0.01666044089
4155 0.0232409640394507 -0.0742765541
4150 0.0351901193963922 0.06722046837
4190 0.0173414750364872 0.00941922192
4195 -0.0230557762999259 -0.0055053226
4185 0.036262131113536 -0.00781253974
4305 -0.115647160368102 0.01885366136
4235 0.0185928330766159 -0.04193160865
4220 -0.0394269199794579 -0.0977268908
4200 0.0367495422087414 -0.02047853134
4250 0.0298529631496811 0.0343676435
4330 -0.00137646270872324 0.04578768312
4050 0.00967526552341834 0.01921714719
4000 0 0.06952606265
4080 0.0281708769666962 -0.00079968017
4120 0.0114943794257352 0.00079968017
4060 -0.0143474484081415 0.05340077673
4100 -0.0183491386681965 -0.01174510146
4130 0.0183491386681966 0.07263347113
4040 -0.0183491386681965 0.04964254528
4040 0.0183491386681966 -0.02236812736
4040 -0.0253178079842899 0.00832952525
4100 -0.00415801014866368 -0.00463607692
4040 -0.00963531198367214 -0.02827365717
4040 0.084275397170755 0.03290973409
4100 0.00448096343503602 0.00186046565
4125 -0.0553270639565963 -0.03566907621
4170 -0.0320584945154161 -0.0542090753
4265 -0.0176755111587223 -0.00424629088
4345 -0.00269179166571141 -0.01680711832
4200 0.0300158959402656 -0.00995033085
4175 -0.0110193952496105 0.05250994527
4175 -0.021681066061324 -0.03335067533
4200 -0.0432854456669874 -0.01502532441
4290 0.0116205310230188 -0.04772438161
4310 0.0196727655987049 0.01191909224
4250 0.0200675630508092 -0.01900294713
4300 -0.0134230203321407 0.04000533461
4105 -0.0132452267500207 0.06144128172
4200 0.0320883145515004 -0.06144128172
4170 0.0530110159665037 -0.01136375865
4450 -0.0864142550993133 -0.00080677697
4300 -0.00654881187890544 -0.0549157576
4290 -0.0078023802841849 -0.01138532223
4290 0.00129617646144668 -0.01423778266
4290 -0.0230779472825447 0.00298062814
4180 0.0321985316793537 0.00298953885
4105 -0.0220073606731655 -0.00894193738
4165 -0.0252857972286732 0.03241897172
4120 -0.00249376687840235 0.00383877631
4000 0.0175883931008872 0.023347364
4120 -0.0113422766039345 0.06506359335
4290 0.0228146777661713 0
4200 -0.0475684169191097 -0.00836824967
4200 0.0539993072494 -0.04401688542
4350 -0.0317486983145803 0.00159616953
4190 0.0176549352387207 -0.02601644567
3905 0.174716957408735 -0.00388350003
3655 0.200670695462151 0.15933203857
3700 0.0769610411361284 0.17327172127
3450 0.0325231917055599 -0.01075279178
3780 -0.0523258190017398 -0.0721962912
3520 -0.227057450635346 0.00498754151
4100 0.0512932943875505 -0.13453089296
4375 -0.27443684570176 -0.0241807982
4510 -0.102105222937154 -0.19896275312
4255 -0.0078696302714181 -0.04445176257
4505 0.0564340862805419 -0.05908891637
4600 -0.179553115239348 0.00950276394
4660 -0.0118111609283446 -0.15533212223
4570 0.00588814262522253 -0.0226302761
4590 0.0320027310861737 0.00106609818
4500 -0.0743982900538594 0.02047485319
4605 0.0345523815066597 -0.036872999
4750 -0.0155041865359652 -0.02282256734
4815 -0.00956945101615067 -0.01273902578
4750 -0.0392207131532813 -0.00454661051
4650 -0.0271019297777913 -0.01649625011
4575 -0.0333071980177687 0.00646607575
4535 -0.0438518825288494 -0.0109182226
4480 -0.00821697310228082 -0.07920706361
4475 -0.00163532334073075 -0.007269455
4495 -0.00975617494536469 0.00635787791
4460 -0.00323102058144642 -0.01267558845
4400 0 -0.00538359308
4415 -0.00482704074831587 0.00493385168
4425 0.0145515906403107 0.01130466482
 4470 -0.012945164592037 -0.00227117972
4535

-0.00041123182157962 -0.00143991
0.00167280969109703 0.00124988
0.0408999962236799 0.035353645
Otra forma de calcular las volatilidades 0.0408999962236799 0.0353536452
Cov(A,B) Cov(A,C)
0.000371032367543872 0.000137937
Corr(A,B) Corr(A,C)
Criterios: menos 0,4 (baja); entre 0,4 y 0,7 (moderada); 0,7 y 1 (alta) 0.256598628553368 0.155409591

200 300
0.000371032367543872
10% 15%

Nivel de confianza 99%

Factor alfa 2.32634787404084

-0.00012500220787061 -0.0001250022

Polinomial 0.000346309677023 Dato principal

0.0186093975459349

ARGOS BANCOLOMBIA
VaRes porcentuales individuales diarios (Con 99% de N.de C.), con promedios. 9.56% 8.37%
VaRes porcentuales individuales diarios (Con 99% de N.de C.), sin promedios. 9.51% 8.22%
VaRes individuales diarios en u.m. (Con 99% de N.de C.), con promedios. 19.1117702169632 25.10543669
VaRes individuales diarios en u.m. (Con 99% de N.de C.), sin promedios. 19.0295238526472 24.67346319
Hay una probabilid
pérdida diaria del p
superior a 86,58...
cuenta el promedio
O en forma equiva
máximo en el 1% d
tenga pérdidas sup
 Hay una probabilid
pérdida diaria del p
VaR porcentual diario del portafolio (Con 99% de N.de C.), con promedio. 4.34% superior a 86,58...
cuenta el promedio
VaR en u.m. diario del portafolio (Con 99% de N.de C.), con promedio. 86.833869252074 O en forma equiva
VaR porcentual diario del portafolio (Con 99% de N.de C.), sin promedio. 4.33% máximo en el 1% d
VaR en u.m. diario del portafolio (Con 99% de N.de C.), sin promedio. 86.5838648363328 tenga pérdidas sup
millones.
VaR semanal aplicando la regla de la raiz
promedio semanal -0.00062501
volatilidad semanal 0.041611878
Var semanal porcentual con promedio 9.74%
Var semanal porcentual sinn promedio 9.68%
VaR semanal en u.m. con promedio 194.8574296074
VaR semanal en u.m. sin promedio 193.607407528694
Continuas) DIARIAS
CELSIA
-0.016736792 -0.022908
0.00415801
0.021053409
0.002983169
-0.002983169
-0.006362694
-0.001056524
-0.003162891
0.002529512
0.003594464
-0.004016494
-0.002949233
-0.003359936
-0.010220133
0.002493249
0.02081
0.000849979
-0.005511992
0.010627093
-0.025317808
0.01215693
-0.010071424
-0.002085506
0.00104221
0.023207793
-0.002770971
 0.005977815
-0.023281475
-0.004175371
0.010050336
-0.005874964
-0.008333382
0.00020749
-0.00020749
0
-0.01605303
0.005938381
0.00887061
0.028585385
0.004273511
-0.016985546
-0.006086702
0.018798737
0.004273511
0.004291852
0.008422466
0.000216896
0.000650971
-0.02253556
-0.005502659
0.012316996
0.012903405
0.004338402
0.01423122
0.007747687
0.002670229
0.00401876
0.004259619
 0.003150318
0.008373931
-0.000227247
-0.008822589
0.006779687
0.017383786
-0.004833707
0.009227286
-0.015179684
0.018661986
-0.029784561
0.01845365
0.003224323
-0.004832595
0.009225158
0.02581697
-0.045546906
-0.010845113
-0.011395498
-0.010827639
-0.012883681
-0.000216943
-0.001300672
-0.003028339
0.006500565
0
0.012909051
-0.021567114
0.008658063
-0.008658063
0.00021554
0.001941958
 0.01085787
0.002185793
-0.016278167
0.018468749
-0.013072082
0.019672766
-0.005503591
0.027825947
-0.003380285
-0.006726483
-0.010005642
-0.030503454
0.024987721
0.005515734
0.004434597
0.00445435
-0.006674107
0.014517285
-0.004489345
-0.01224278
-0.006615239
0
-0.010929071
-0.008658063
0.001078167
-0.007522873
0.006444705
0.002157498
-0.00645858
0.002148229
0.012987196
0.023141529
 0.010084119
0.00451468
0.010233176
-0.001142205
0.012636584
0.009291588
-0.006976772
0.009313222
0.012948974
-0.017616427
0.017616427
0.003560835
0
0
-0.017678716
0
0
-0.009302393
0.002317498
-0.017251722
0.026575799
-0.007001195
0.00232829
0.012903405
0.008298803
0
-0.007117468
0.010695289
0.00599163
0.003612286
0.013357819
-0.001221747
 -0.00851069
0.007290433
-0.00365186
0
0.013455861
0
0.002466092
0
-0.004926118
-0.020669429
0.001204094
-0.0095924
-0.001192606
0.002386636
-0.028270434
0.01639381
0.0035482
0.004750603
-0.011834458
-0.018648559
0.066850661
0.01242252
-0.019802627
-0.009756175
0.01467019
-0.009804
-0.007290433
0.022032715
0
0
-0.014742282
0.014742282
 0
-0.014742282
-0.006079046
-0.010850016
-0.022526145
-0.018583578
0.033941233
0.005970167
0
-0.005970167
-0.021202208
-0.004651171
0.014018921
-0.01169604
0.04640928
-0.022878782
0.007168489
-0.06498806
0.034289073
0.00232829
0
0
0.025975486
0.018105504
-0.014510533
0.010863112
0.029558802
-0.029558802
-0.04043357
0.021202208
0
-0.03509132
 0.037475111
0.070442951
0.06616169
-0.012236726
0.069958589
-0.091349779
0.07126302
-0.152525984
-0.064919546
-0.030390634
0.058202391
-0.057093129
-0.020868412
-0.012959145
0.019502243
-0.004366819
0.019802627
-0.023065273
-0.031001948
-0.013591427
0.013591427
0.021277398
0.016260521
0.008781615
0.012202037
0.001116695
-0.004459316
0.007816902
0.013544225
-0.003403293
-0.002262444
-0.01011813
 -0.014436675

0.0001761 VaR para un portafolio con varios activos

0.0004709
0.0217009
0.021700923
Cov(B,C)
2.1065E-05 Inversión total
Corr(B,C) Vo

0.027457
1500 2000

75%

r = Variablaes Aleatorias

CELSIA
5.03%
5.05%
75.461628
75.725844
Hay una probabilidad del 99% de que la
pérdida diaria del portafolio no sea
superior a 86,58... millones, sin tener en
cuenta el promedio.
O en forma equivalente: Se espera que
máximo en el 1% de los días el portafolio
tenga pérdidas superiores a 86,58...
Hay una probabilidad del 99% de que la
pérdida diaria del portafolio no sea
superior a 86,58... millones, sin tener en
cuenta el promedio.
O en forma equivalente: Se espera que
máximo en el 1% de los días el portafolio Forma polinomial
tenga pérdidas superiores a 86,58...
millones.
= Variablaes Aleatorias