VaR of some scrips

Table 1: Some scrips in the rolling settlement

Scrip Name/VaR	$VaR_{99\%}$	$VaR_{95\%}$	$VaR_{90\%}$
PentaSoft	0.102	0.082	0.072
Visual Soft	0.084	0.082	0.052

Table 2: Sensex Scrips

Scrip Name/VaR	$VaR_{99\%}$	$VaR_{95\%}$	$VaR_{90\%}$
ACC	0.082	0.06	0.46
BSES	0.082	0.054	0.038
Bajaj Auto	0.074	0.042	0.03
BHEL	0.082	0.68	0.048
Castrol	0.064	0.034	0.026
Cipla	0.082	0.05	0.038
Colgate	0.07	0.04	0.032
Dr Reddy's Lab	0.082	0.06	0.038
Glaxo	0.08	0.048	0.034
Grasim	0.06	0.062	0.046
Guj Ambuja Cem	0.082	0.05	0.04
Hindalco	0.08	0.046	0.034
Hindustan Lever	0.064	0.04	0.028
Hindustan Petro	0.082	0.062	0.048
ICICI	0.082	0.064	0.046
ITC	0.082	0.046	0.034
Infosys	0.082	0.064	0.042
Larsen and Toubro	0.082	0.056	0.042
MTNL	0.082	0.058	0.048
Mahindra &Mahindra	0.082	0.068	0.048
NIIT	0.082	0.068	0.05
Nestle	0.07	0.038	0.03
Ranbaxy	0.082	0.048	0.038
Reliance	0.078	0.044	0.036
Reliance-petrol	0.064	0.044	0.032
Satyam Computers	0.104	0.082	0.06
SBI	0.082	0.052	0.038
Tisco	0.082	0.066	0.048
Telco	0.082	0.052	0.04
Zee	0.102	0.082	0.066

Note: To be technically correct all the numbers in the above two tables should carry a negative sign in front, but we prefer to use the loose meaning that value at risk is value that could be lost, therefore present the numbers without signs.

References

1

Jean-Philippe Bouchaud
Power-laws in economy and finance: some ideas from physics
http://xxx.imsc.res.in/e-print/cond-mat/00008103

2

Hendrics, D (1996)
Evaluation of Value at Risk models using Historical Data
Federal Reserve Bank of New York Economic Policy Reiew, April, pp39-69

3

G Barone-Adesi and K Giannopoulos
Non Parametric VaR techniques : Myths and Realities
Preprint, November 2000

4

Mandira Sarma, Susan Thomas and Ajay Shah
Performance evaluation of alternative VaR models
Working paper, IGIDR, March 2000

5

J R Varma
Report of the committee on risk containment for futures markets
Committee report, SEBI