NSE - Debt - NSE VaR - VaR for all outstanding securities

Home > Debt > Products & Services > NSE VaR for Govt. Secs > VaR for the Day > All outstanding sec.

For all outstanding securities
As on June 22, 2004

1 day VaR | 10 day VaR | 1 month VaR | Download entire list

	Next \| Last [ 1 - 50 of 154 ]
Sec Type	Security	Issue Name	Normal	Wt Normal	Hist Simulation	Wt Hist Simulation	EVT	Clean Price
GS	CG2004	11.24%	0.006	0.006	0.008	0.008	0.007	100.016
GS	CG2004	11.30%	0.281	0.323	0.396	0.416	0.324	102.046
GS	CG2004	11.95%	0.091	0.095	0.121	0.062	0.098	100.588
GS	CG2004	11.98%	0.194	0.215	0.268	0.144	0.221	101.354
GS	CG2005	10.20%	0.541	0.682	0.754	0.567	0.637	105.059
GS	CG2005	10.50%	0.507	0.633	0.716	0.515	0.584	104.651
GS	CG2005	11.19%	0.559	0.705	0.779	0.554	0.645	106.518
GS	CG2005	11.25%	0.520	0.652	0.747	0.532	0.603	105.643
GS	CG2005	13.75%	0.494	0.615	0.684	0.455	0.571	107.151
GS	CG2005	14%	0.516	0.647	0.741	0.530	0.599	108.142
GS	CG2005	6.18%	0.575	0.727	0.807	0.572	0.662	101.103
GS	CG2005	6.50%	0.589	0.744	0.831	0.590	0.670	101.559
GS	CG2005	8.25%	0.592	0.747	0.836	0.589	0.672	103.766
GS	CG2005	9.90%	0.486	0.603	0.672	0.446	0.557	103.767
GS	CG2005B	14%	0.572	0.723	0.802	0.571	0.658	110.235
GS	CG2006	10%	0.620	0.778	0.870	0.631	0.695	106.917
GS	CG2006	11%	0.675	0.803	0.912	0.743	0.738	111.286
GS	CG2006	11.25%	0.677	0.802	0.912	0.539	0.738	111.877
GS	CG2006	11.50%	0.691	0.794	0.933	0.506	0.739	113.500
GS	CG2006	11.68%	0.649	0.799	0.917	0.770	0.729	110.922
GS	CG2006	11.75%	0.651	0.800	0.916	0.771	0.730	111.137
GS	CG2006	13.85%	0.660	0.796	0.900	0.552	0.725	116.185
GS	CG2006	14%	0.642	0.793	0.891	0.785	0.723	114.530
GS	CG2006	4.83%	0.701	0.815	0.948	0.529	0.768	99.128
GS	CG2006	6.75%	0.669	0.812	0.923	0.755	0.739	102.690
GS	CG2006A	11.50%	0.657	0.801	0.914	0.569	0.728	111.114
GS	CG2006A	13.85%	0.675	0.797	0.909	0.532	0.735	117.458
GS	CG2007	11.50%	0.753	0.695	0.927	0.525	0.746	118.363
GS	CG2007	11.90%	0.727	0.738	0.912	0.466	0.743	117.701
GS	CG2007	12.50%	0.715	0.758	0.918	0.583	0.761	118.265
GS	CG2007	13.05%	0.717	0.749	0.922	0.472	0.760	120.143
GS	CG2007	13.65%	0.705	0.766	0.916	0.481	0.744	120.524
GS	CG2007	6.75%	0.793	0.676	0.979	0.430	0.770	104.333
GS	CG2008	10.80%	0.824	0.580	0.933	0.364	0.730	119.562
GS	CG2008	11.40%	0.831	0.566	0.934	0.386	0.727	122.143
GS	CG2008	11.50%	0.803	0.604	0.918	0.456	0.751	121.359
GS	CG2008	12%	0.795	0.614	0.911	0.388	0.757	122.811
GS	CG2008	12.10%	0.805	0.594	0.917	0.374	0.746	123.829
GS	CG2008	12.15%	0.786	0.630	0.906	0.399	0.746	122.796
GS	CG2008	12.22%	0.814	0.581	0.930	0.366	0.731	124.740
GS	CG2008	12.25%	0.825	0.565	0.928	0.355	0.723	125.459
GS	CG2008	5.73%	0.812	0.658	0.960	0.416	0.779	101.191
GS	CG2008	9.50%	0.796	0.641	0.928	0.406	0.765	113.582
GS	CG2009	11.50%	0.903	0.471	0.924	0.305	0.710	125.604
GS	CG2009	11.99%	0.887	0.486	0.910	0.320	0.711	127.207
GS	CG2009	5%	0.982	0.470	1.015	0.366	0.746	98.047
GS	CG2009	5.48%	1.006	0.444	1.025	0.312	0.743	99.953
GS	CG2009	6.65%	0.957	0.471	0.984	0.323	0.731	104.905
GS	CG2009	6.96%	0.950	0.473	0.979	0.322	0.728	106.188
GS	CG2009	7%	0.970	0.454	0.982	0.320	0.719	106.472
	Next \| Last [ 1 - 50 of 154 ]

Standard approaches to VaR estimation | Extreme Value theory and Value-at-Risk
Issues in Fixed Income VaR | VaR over multi-day horizon | Technical Paper

Top