Rmsc2001_T9.xlsx

	A	B	C	E	F	G	I	J	L	N	O	P
1	Date	AAPL	AMZN	scenario	AAPL	AMZN	Portfolio value	Portfolio loss	Sorted Portfolio loss	Portfolio	AAPL	AMZN
2	2013/1/2	68.38	257.31	1	58.75	263.14	$ 99,628.21	$ 362.62	$ 4,836.04	# shares	800	200
3	2013/1/3	67.52	258.48	2	57.84	262.63	$ 98,800.72	$ 1,190.11	$ 2,178.22	Close	59.50	261.95
4	2013/1/4	65.64	259.15	3	59.15	271.36	$ 101,592.94	$ (1,602.12)	$ 2,084.70
5	2013/1/7	65.25	268.46	4	59.66	259.92	$ 99,713.03	$ 277.79	$ 1,661.23	Portfolio value	99990.82
6	2013/1/8	65.42	266.38	5	58.57	261.92	$ 99,240.97	$ 749.85	$ 1,534.09	Confidence	90%
7	2013/1/9	64.40	266.35	6	60.24	260.96	$ 100,382.21	$ (391.39)	$ 1,190.11	# of scenario	26
8	2013/1/10	65.20	265.34	7	59.14	264.52	$ 100,212.31	$ (221.49)	$ 967.67	26*10% =	2.6
9	2013/1/11	64.80	267.94	8	57.38	266.63	$ 99,230.32	$ 760.50	$ 760.50	=> Want to find 2nd largest loss
10	2013/1/14	62.49	272.73	9	57.62	261.15	$ 98,329.60	$ 1,661.23	$ 749.85	i.e.	2178.219932
11	2013/1/15	60.52	271.90	10	61.97	259.09	$ 101,394.42	$ (1,403.59)	$ 389.88
12	2013/1/16	63.03	268.93	11	59.10	263.46	$ 99,972.05	$ 18.77	$ 362.62	1-day Historical VaR	2178.219932
13	2013/1/17	62.61	270.48	12	59.18	263.54	$ 100,054.70	$ (63.88)	$ 294.08	10-day Historical VaR	6888.13623
14	2013/1/18	62.27	272.12	13	60.07	260.09	$ 100,073.37	$ (82.54)	$ 277.79
15	2013/1/22	62.87	270.19	14	60.59	259.93	$ 100,458.84	$ (468.02)	$ 18.77
16	2013/1/23	64.02	268.11	15	52.15	267.18	$ 95,154.79	$ 4,836.04	$ (63.88)
17	2013/1/24	56.11	273.46	16	58.10	272.04	$ 100,886.05	$ (895.22)	$ (82.54)
18	2013/1/25	54.78	283.99	17	60.85	254.62	$ 99,600.94	$ 389.88	$ (221.49)
19	2013/1/28	56.02	276.04	18	60.62	247.06	$ 97,906.12	$ 2,084.70	$ (391.39)
20	2013/1/29	57.08	260.35	19	59.31	274.44	$ 102,338.50	$ (2,347.68)	$ (468.02)
21	2013/1/30	56.90	272.76	20	59.33	254.98	$ 98,456.74	$ 1,534.09	$ (895.22)
22	2013/1/31	56.73	265.50	21	59.26	261.46	$ 99,696.74	$ 294.08	$ (1,017.79)
23	2013/2/1	56.50	265.00	22	58.02	256.99	$ 97,812.60	$ 2,178.22	$ (1,033.50)
24	2013/2/4	55.09	259.98	23	61.59	268.91	$ 103,053.51	$ (3,062.69)	$ (1,403.59)
25	2013/2/5	57.02	266.89	24	59.44	257.37	$ 99,023.15	$ 967.67	$ (1,602.12)
26	2013/2/6	56.96	262.22	25	61.27	259.96	$ 101,008.61	$ (1,017.79)	$ (2,347.68)
27	2013/2/7	58.65	260.23	26	60.36	263.68	$ 101,024.33	$ (1,033.50)	$ (3,062.69)
28	2013/2/8	59.50	261.95
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