Spreadsheet: vkaminski__40828__VARMODEL2000
Sheet: Inputs

MG METALS GLOBAL VaR |  |  |  |  |  |  |  |  | Number of Portfolios | 10 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -175328 | 1
 | Curve | Portfolio | Row | Seasonal? | Use FwdFwd? |  |  |  | Number of Monthly Curves | 10 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -166138 | 4
Aluminium | 1 | 1 | 1 | 0 | 0 |  |  |  | Number of Weekly Curves | 1 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -156948 | 0
Copper | 2 | 2 | 2 | 0 | 0 |  |  |  | CorrMatrix Size | 10 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -147758 | 5
Lead | 3 | 3 | 3 | 0 | 0 |  |  |  | Number of Deal Months | 79 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -138568 | 16
Nickel | 4 | 4 | 4 | 0 | 0 |  |  |  | Number of Deal Weeks | 5 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -129378 | 21
Silver | 5 | 5 | 5 | 0 | 0 |  | Update the fields in bold |  | Evaluation Date | 2000-06-30 00:00:00 | MG Metals Global Positions as of 19th July 2000 |  |  |  |  |  |  |  |  |  |  |  |  |  | -120188 | 38
Tin | 6 | 6 | 6 | 0 | 0 |  | Then click button |  | TimeHorizon | 1 | First Forward month position is July |  |  |  |  |  |  |  |  |  |  |  |  |  | -110998 | 45
Zinc | 7 | 7 | 7 | 0 | 0 |  |  |  | NumberSimulations | 5000 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -101808 | 84
Gold | 8 | 8 | 8 | 0 | 0 |  |  |  | Percentile | 0.05 |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -92618 | 118
Cocoa Beans | 9 | 9 | 9 | 0 | 0 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | -83428 | 134
TC | 10 | 10 | 10 | 0 | 0 |  |  |  | Portfolio number | VAR by pfolio |  |  | ValueCopy 19th July |  |  |  |  |  |  |  |  |  |  |  | -74238 | 200
[NAME] | 11 | 10 | 10 | 0 | 0 |  | Aluminium |  | 1 | -556459.3097732175 |  |  | -556459.3097732146 |  |  |  |  |  |  |  |  |  |  |  | -65048 | 225
 |  |  |  |  |  |  | Copper |  | 2 | -3083235.475173727 |  |  | -3083235.475173728 |  |  |  |  |  |  |  |  |  |  |  | -55858 | 227
 |  |  |  |  |  |  | Lead |  | 3 | -387894.7341959834 |  |  | -387894.7341959833 |  |  |  |  |  |  |  |  |  |  |  | -46668 | 242
 |  |  |  |  |  |  | Nickel |  | 4 | -2493145.317158976 |  |  | -2493145.317158975 |  |  |  |  |  |  |  |  |  |  |  | -37478 | 304
 |  |  |  |  |  |  | Silver |  | 5 | -67251.31192203084 |  |  | -67251.31192203079 |  |  |  |  |  |  |  |  |  |  |  | -28288 | 312
 |  |  |  |  |  |  | Tin |  | 6 | -65689.66902175288 |  |  | -65689.66902175292 |  |  |  |  |  |  |  |  |  |  |  | -19098 | 331
 |  |  |  |  |  |  | Zinc |  | 7 | -351922.1758228669 |  |  | -351922.1758228669 |  |  |  |  |  |  |  |  |  |  |  | -9908 | 311
 |  |  |  |  |  |  | Gold |  | 8 | -12421.69608568247 |  |  | -12421.69608568246 |  |  |  |  |  |  |  |  |  |  |  | -718 | 308
 | DO NOT RE_ESTABLISH LINKS |  |  |  |  |  | Cocoa Beans |  | 9 | -59082.6624502195 |  |  | -59082.6624502195 |  |  |  |  |  |  |  |  |  |  |  | 8472 | 307
 | (TO POSITIONS LOOKUP SHEET) |  |  |  |  |  | TC |  | 10 | -1247.997168974093 |  |  | -1247.997168974093 |  |  |  |  |  |  |  |  |  |  |  | 17662 | 283
 |  |  |  |  |  |  | PORTFOLIO 11 | Total |  | -4755460.534720317 |  |  | -4755460.534720313 |  |  |  |  |  |  |  |  |  |  |  | 26852 | 216
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 36042 | 200
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 45232 | 186
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 54422 | 160
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 63612 | 152
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 72802 | 108
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 81992 | 96
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 91182 | 77
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 100372 | 72
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 109562 | 52
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 118752 | 41
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 127942 | 39
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 137132 | 22
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 146322 | 13
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 155512 | 11
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 164702 | 11
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 173892 | 9
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 183082 | 3
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 192272 | 3
For each curve, |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 201462 | 4
choose seasonal flag to be 1 if the volatility curve has cycles |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 210652 | 3
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 219842 | 0
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 229032 | 2
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 238222 | 1
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 247412 | 1
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 256602 | 0
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 265792 | 1
 |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  | 274982 | 1