Division 3 Individual portfoliosF1
United Kingdom
Provide the required risk measures, along with the present value, of the following individual portfolios:
| Portfolio | Combination of instruments Instrument (as stated by its number in section 2 – quantity of each instrument | Base currency | Risk measures required |
|---|---|---|---|
| EQUITY | |||
| 1 | 1 – 1 000 instruments | EUR | VaR and sVaR |
| 2 | 1 – 1 000 instruments 1 – 1 000 instruments 1 – 1 000 instruments | EUR | VaR and sVaR |
| 3 | 1 – 100 instruments 1 – 100 instruments | EUR | VaR and sVaR |
| 4 | 1 – 100 instruments 1 – 100 instruments | GBP | VaR and sVaR |
| 5 | 1 – 1 000 instruments | JPY | VaR and sVaR |
| 6 | 1 – 500 instruments 1 – 500 instruments | EUR | VaR and sVaR |
| 7 | 18 – 1 instrument | EUR | VaR and sVaR |
| 8 | 1 – 1 000 instruments 1 – 1 000 instruments | USD | VaR and sVaR |
| 9 | 2 – 1 instruments 1 – 100 instruments | EUR | VaR and sVaR |
| 10 | 6 – 1 000 instruments 1 – 1 000 instruments 1 – 1 000 instruments | EUR | VaR and sVaR |
| IR | |||
| 11 | 1 – 1 instrument | EUR | VaR and sVaR |
| 12 | 20 – 1 instrument | EUR | VaR and sVaR |
| 13 | 1 – 1 instrument | USD | VaR and sVaR |
| 14 | 1 – 1 instrument | GBP | VaR and sVaR |
| 15 | 23 – 1 instrument | USD | VaR; sVaR; IRC |
| 16 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 17 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 18 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 19 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR; |
| 20 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR; |
| 21 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR; |
| 22 | 1 – 1 instrument 20 – 1 instrument | EUR | VaR and sVaR; |
| 23 | 1 – 1 instrument | GBP | VaR; sVaR; IRC |
| 24 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 25 | 1 – 1 instrument 1 – 1 instrument | USD | VaR and sVaR |
| 26 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| FX | |||
| 27 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR |
| 28 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR |
| 29 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR |
| 30 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR and sVaR |
| 31 | 1 – 1 instrument | EUR | VaR and sVaR |
| 32 | 47 – 1 instrument | EUR | VaR and sVaR |
| COMM. | |||
| 33 | 1 – 1 instrument 1 – 1 instrument | USD | VaR and sVaR |
| 34 | 1 – 1 instrument 1 – 1 instrument | USD | VaR and sVaR |
| 35 | 1 – 1 instrument 1 – 1 instrument | USD | VaR and sVaR |
| Credit Spread | |||
| 36 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 37 | 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 38 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 39 | 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 40 | 1 – 1 instrument 1 – 1 instrument | GBP | VaR; sVaR; IRC |
| 41 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 42 | 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 43 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 44 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 45 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 46 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 47 | 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 48 | 1 – 1 instrument 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 49 | 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 50 | 1 – 1 instrument 1 – 1 instrument | EUR | VaR; sVaR; IRC |
| 51 | 1 – 5 instruments 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 52 | 1 – 5 instruments 1 – 1 instrument | USD | VaR; sVaR; IRC |
| 53 | 1 – 5 instruments 1 – 1 instrument 1 – 5 instruments 1 – 1 instrument | USD | VaR; sVaR; IRC |
| CTP | |||
| 54 | 1 – 1 instrument | EUR | VaR; sVaR; APR |
| 55 | 1 – 1 instrument | USD | VaR; sVaR; APR |
| 56 | 1 – 5 instruments 1 – 5 instruments 1 – 1 instrument 1 – 1 instrument | USD | VaR; sVaR; APR |