mg var results for the 27 th july hi ,
i have run the var with updated factor loadings for the gold , silver and cocoa
bean positions . the biggest change in var from
adding this information has been to the cocoa bean position which has
increased from approx $ 45 , 900 to $ 506 , 553 .
the overal var has not changed by very much as the position file i was sent
from andreas had not changed from the 26 th - i
have queried this and it will not be a problem to re - run the numbers on
monday if i recieve a further file .
the var summary for all the metals is as follows :
also , after having a conversation with bjorn about stress / scenario analysis i
thought i might quickly try to set up a few scenarios to
see how sensitive the var is to a position change in aluminium , nickel and
copper .
i have only applied position increases ( thge direction of the shifts are
dependent on the monthly outright position direction ) up until dec 2000 .
the shifts and results are given in the following attached spreadsheet .
it is interesting that the individual var ' s are particuarly sensitive to
increasing the position for nickel .
i would like to discuss these results on monday and any further suggestions
for senarios would also be gratefully recieved .
have a good weekend ,
kirstee .
mg var results for the 27 th july
hi ,
i have run the var with updated factor loadings for the gold , silver and cocoa
bean positions . the biggest change in var from
adding this information has been to the cocoa bean position which has
increased from approx $ 45 , 900 to $ 506 , 553 .
the overal var has not changed by very much as the position file i was sent
from andreas had not changed from the 26 th - i
have queried this and it will not be a problem to re - run the numbers on
monday if i recieve a further file .
the var summary for all the metals is as follows :
also , after having a conversation with bjorn about stress / scenario analysis i
thought i might quickly try to set up a few scenarios to
see how sensitive the var is to a position change in aluminium , nickel and
copper .
i have only applied position increases ( thge direction of the shifts are
dependent on the monthly outright position direction ) up until dec 2000 .
the shifts and results are given in the following attached spreadsheet .
it is interesting that the individual var ' s are particuarly sensitive to
increasing the position for nickel .
i would like to discuss these results on monday and any further suggestions
for senarios would also be gratefully recieved .
have a good weekend ,
kirstee .