Value at Risk & Expected shortfall
- 1. GBP Base-case 5% shock 10% shock 15% shock 99% VaR -213.965 -350.249 -388.076 -408.725 99% ES -313.201 -100.264 -122.752 -123.809 USD Base-case 5% shock 10% shock 15% shock 99% VaR -169.567 -126.73 -231.838 -166.817 99% ES -201.696 -66.7206 -93.7533 -82.0938 EURO Base-case 5% shock 10% shock 15% shock 99% VaR -159.449 -242.837 -289.792 -293.988 99% ES -273.407 -76.4372 -57.431 -68.4501 YEN Base-case 5% shock 10% shock 15% shock 99% VaR -206.811 -279.364 -295.241 -244.691 99% ES -254.937 -71.9356 -126.507 -105.192 Portfolio Base-case 5% shock 10% shock 15% shock 99% VaR -462.983 -592.569 -23129.1 -23080.8 99% ES -155.766 -846.321 -906.582 -974.859 HDFC Base-case 5% shock 10% shock 15% shock 99% VaR -5567.69 -13899.94 -14122.27 -14315.90 99% ES -14093.81 150.16 -93.43 -320.98 INFY Base-case 5% shock 10% shock 15% shock 99% VaR -16259.84 -21126.34 -21846.40 -22607.33 99% ES -21474.61 324.05 -455.73 -1238.31 ITC Base-case 5% shock 10% shock 15% shock 99% VaR -1776.75 -3355.94 -3401.70 -3556.42 99% ES -3407.72 -4.17 -147.53 -207.44 MARUTI Base-case 5% shock 10% shock 15% shock 99% VaR -11417.22 -13631.21 -14053.26 -14460.47 99% ES -13859.90 216.90 -155.05 -699.15
- 2. SUNPHARMA Base-case 5% shock 10% shock 15% shock 99% VaR -4319.14 -12930.92 -13155.73 -13388.34 99% ES -12972.02 -11.67 -209.38 -438.80 Portfolio Base-case 5% shock 10% shock 15% shock 99% VaR -19016.72 -23048.52 -23086.08 -23127.29 99% ES -223.16 -38836.18 -40662.35 -42463.12