NSE - Debt - NSE VaR - 1 month VaR for all outstanding securities

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For all outstanding securities
As on June 22, 2004

1 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
GS	CG2004	11.24%	0.034	0.034	0.045	0.046	0.021	100.016
GS	CG2004	11.30%	1.537	1.770	2.171	2.279	0.904	102.046
GS	CG2004	11.95%	0.496	0.518	0.664	0.339	0.297	100.588
GS	CG2004	11.98%	1.063	1.176	1.466	0.787	0.643	101.354
GS	CG2005	10.20%	2.966	3.733	4.132	3.107	1.796	105.059
GS	CG2005	10.50%	2.776	3.468	3.922	2.823	1.557	104.651
GS	CG2005	11.19%	3.064	3.864	4.266	3.036	1.791	106.518
GS	CG2005	11.25%	2.848	3.572	4.089	2.914	1.639	105.643
GS	CG2005	13.75%	2.707	3.370	3.748	2.492	1.517	107.151
GS	CG2005	14%	2.828	3.544	4.057	2.902	1.626	108.142
GS	CG2005	6.18%	3.152	3.980	4.418	3.132	1.842	101.103
GS	CG2005	6.50%	3.229	4.077	4.551	3.234	1.853	101.559
GS	CG2005	8.25%	3.243	4.094	4.576	3.227	1.866	103.766
GS	CG2005	9.90%	2.661	3.303	3.681	2.444	1.462	103.767
GS	CG2005B	14%	3.135	3.958	4.393	3.127	1.834	110.235
GS	CG2006	10%	3.397	4.260	4.764	3.454	2.027	106.917
GS	CG2006	11%	3.700	4.397	4.995	4.067	2.257	111.286
GS	CG2006	11.25%	3.706	4.394	4.993	2.952	2.266	111.877
GS	CG2006	11.50%	3.784	4.348	5.112	2.770	2.257	113.500
GS	CG2006	11.68%	3.557	4.377	5.020	4.216	2.302	110.922
GS	CG2006	11.75%	3.564	4.380	5.018	4.223	2.304	111.137
GS	CG2006	13.85%	3.613	4.359	4.931	3.022	2.222	116.185
GS	CG2006	14%	3.514	4.345	4.882	4.300	2.268	114.530
GS	CG2006	4.83%	3.839	4.463	5.194	2.899	2.429	99.128
GS	CG2006	6.75%	3.663	4.447	5.057	4.137	2.284	102.690
GS	CG2006A	11.50%	3.599	4.390	5.005	3.119	2.257	111.114
GS	CG2006A	13.85%	3.696	4.363	4.980	2.911	2.268	117.458
GS	CG2007	11.50%	4.126	3.809	5.080	2.876	2.177	118.363
GS	CG2007	11.90%	3.980	4.043	4.997	2.552	2.253	117.701
GS	CG2007	12.50%	3.915	4.153	5.027	3.195	2.401	118.265
GS	CG2007	13.05%	3.927	4.105	5.052	2.587	2.413	120.143
GS	CG2007	13.65%	3.863	4.194	5.019	2.632	2.264	120.524
GS	CG2007	6.75%	4.343	3.702	5.361	2.353	2.321	104.333
GS	CG2008	10.80%	4.515	3.175	5.113	1.994	2.201	119.562
GS	CG2008	11.40%	4.551	3.102	5.114	2.117	2.178	122.143
GS	CG2008	11.50%	4.400	3.310	5.029	2.498	2.343	121.359
GS	CG2008	12%	4.355	3.364	4.989	2.127	2.334	122.811
GS	CG2008	12.10%	4.408	3.252	5.020	2.050	2.354	123.829
GS	CG2008	12.15%	4.305	3.449	4.963	2.184	2.155	122.796
GS	CG2008	12.22%	4.457	3.185	5.095	2.004	2.253	124.740
GS	CG2008	12.25%	4.521	3.095	5.080	1.944	2.174	125.459
GS	CG2008	5.73%	4.448	3.605	5.259	2.279	2.316	101.191
GS	CG2008	9.50%	4.357	3.512	5.084	2.223	2.266	113.582
GS	CG2009	11.50%	4.946	2.582	5.060	1.671	2.069	125.604
GS	CG2009	11.99%	4.856	2.664	4.986	1.753	2.097	127.207
GS	CG2009	5%	5.381	2.575	5.557	2.005	2.123	98.047
GS	CG2009	5.48%	5.511	2.431	5.612	1.709	2.146	99.953
GS	CG2009	6.65%	5.243	2.578	5.389	1.768	2.074	104.905
GS	CG2009	6.96%	5.204	2.593	5.362	1.763	2.060	106.188
GS	CG2009	7%	5.314	2.486	5.379	1.754	2.017	106.472
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