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As on June 22, 20041 day VaR | 10 day VaR | 1 month VaR | Download entire list
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| Sec Type | Security | Issue Name | Normal | Wt Normal | Hist Simulation | Wt Hist Simulation | EVT | Clean Price |
| TB | 91D | 230704 | 0.084 | 0.087 | 0.112 | 0.119 | 0.091 | 99.565 |
| TB | 91D | 250604 | 0.009 | 0.009 | 0.012 | 0.012 | 0.009 | 99.958 |
| TB | 91D | 270804 | 0.163 | 0.178 | 0.222 | 0.119 | 0.186 | 99.076 |
| TB | 91D | 300704 | 0.101 | 0.106 | 0.136 | 0.070 | 0.110 | 99.467 |
| | First | Prev [ 151 - 154 of 154 ] |
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Issues in Fixed Income VaR | VaR over multi-day horizon | Technical Paper
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