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Simulación Historica: Fecha Precio Cierre

This document discusses historical simulation, which uses historical data to model future risk but assumes history repeats. It notes a limitation is for unprecedented events like pandemics. It then provides a Value at Risk analysis of a portfolio from September 2019 to January 2020, with daily closing prices, returns, and estimated prices with 99% confidence and 1% significance level.

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Michelle Rubiano
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25 views9 pages

Simulación Historica: Fecha Precio Cierre

This document discusses historical simulation, which uses historical data to model future risk but assumes history repeats. It notes a limitation is for unprecedented events like pandemics. It then provides a Value at Risk analysis of a portfolio from September 2019 to January 2020, with daily closing prices, returns, and estimated prices with 99% confidence and 1% significance level.

Uploaded by

Michelle Rubiano
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as XLSX, PDF, TXT or read online on Scribd
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SIMULACIÓN HISTORICA

Parte de informació n historica, pero asume que la historia es repetitiva, lo que ocurrio en el pasado volvera a ocurrir
Una desventaja es como la pandemia que estamos viviendo en este momento, ya que es algo inesperado

Posición 100,000,000
Numero de Acciones 42,372.88 100,000,000.00
Nivel de confianza 99%
Percentil 1% Nivel de significancia

VaR - 3,203,054

Fecha Precio Cierre Rendimiento Precios Estimados

10/09/2019 00:00:00 2,170.00 2,360.00


11/09/2019 00:00:00 2,180.00 0.46% 2,370.88 0.46%
12/09/2019 00:00:00 2,180.00 0.00% 2,360.00 -0.46%
13/09/2019 00:00:00 2,175.00 -0.23% 2,354.59 -0.23%
16/09/2019 00:00:00 2,180.00 0.23% 2,365.43 0.46%
17/09/2019 00:00:00 2,160.00 -0.92% 2,338.35 -1.15%
18/09/2019 00:00:00 2,170.00 0.46% 2,370.93 1.38%
19/09/2019 00:00:00 2,200.00 1.37% 2,392.63 0.91%
20/09/2019 00:00:00 2,210.00 0.45% 2,370.73 -0.92%
23/09/2019 00:00:00 2,210.00 0.00% 2,360.00 -0.45%
24/09/2019 00:00:00 2,185.00 -1.14% 2,333.30 -1.14%
25/09/2019 00:00:00 2,195.00 0.46% 2,370.80 1.59%
26/09/2019 00:00:00 2,195.00 0.00% 2,360.00 -0.46%
27/09/2019 00:00:00 2,195.00 0.00% 2,360.00 0.00%
30/09/2019 00:00:00 2,185.00 -0.46% 2,349.25 -0.46%
01/10/2019 00:00:00 2,205.00 0.91% 2,381.60 1.37%
02/10/2019 00:00:00 2,205.00 0.00% 2,360.00 -0.91%
03/10/2019 00:00:00 2,210.00 0.23% 2,365.35 0.23%
04/10/2019 00:00:00 2,210.00 0.00% 2,360.00 -0.23%
07/10/2019 00:00:00 2,215.00 0.23% 2,365.34 0.23%
08/10/2019 00:00:00 2,215.00 0.00% 2,360.00 -0.23%
09/10/2019 00:00:00 2,220.00 0.23% 2,365.33 0.23%
10/10/2019 00:00:00 2,220.00 0.00% 2,360.00 -0.23%
11/10/2019 00:00:00 2,215.00 -0.23% 2,354.68 -0.23%
15/10/2019 00:00:00 2,215.00 0.00% 2,360.00 0.23%
16/10/2019 00:00:00 2,210.00 -0.23% 2,354.67 -0.23%
17/10/2019 00:00:00 2,160.00 -2.29% 2,306.61 -2.06%
18/10/2019 00:00:00 2,160.00 0.00% 2,360.00 2.29%
21/10/2019 00:00:00 2,170.00 0.46% 2,370.93 0.46%
22/10/2019 00:00:00 2,180.00 0.46% 2,370.88 0.00%
23/10/2019 00:00:00 2,185.00 0.23% 2,365.41 -0.23%
24/10/2019 00:00:00 2,170.00 -0.69% 2,343.80 -0.92%
25/10/2019 00:00:00 2,190.00 0.92% 2,381.75 1.61%
28/10/2019 00:00:00 2,165.00 -1.15% 2,333.06 -2.07%
29/10/2019 00:00:00 2,165.00 0.00% 2,360.00 1.15%
30/10/2019 00:00:00 2,165.00 0.00% 2,360.00 0.00%
31/10/2019 00:00:00 2,175.00 0.46% 2,370.90 0.46%
01/11/2019 00:00:00 2,190.00 0.69% 2,376.28 0.23%
05/11/2019 00:00:00 2,200.00 0.46% 2,370.78 -0.23%
06/11/2019 00:00:00 2,190.00 -0.46% 2,349.27 -0.91%
07/11/2019 00:00:00 2,180.00 -0.46% 2,349.22 0.00%
08/11/2019 00:00:00 2,170.00 -0.46% 2,349.17 0.00%
12/11/2019 00:00:00 2,180.00 0.46% 2,370.88 0.92%
13/11/2019 00:00:00 2,165.00 -0.69% 2,343.76 -1.15%
14/11/2019 00:00:00 2,160.00 -0.23% 2,354.55 0.46%
15/11/2019 00:00:00 2,175.00 0.69% 2,376.39 0.92%
18/11/2019 00:00:00 2,180.00 0.23% 2,365.43 -0.46%
19/11/2019 00:00:00 2,185.00 0.23% 2,365.41 0.00%
20/11/2019 00:00:00 2,165.00 -0.92% 2,338.40 -1.15%
21/11/2019 00:00:00 2,180.00 0.69% 2,376.35 1.61%
22/11/2019 00:00:00 2,175.00 -0.23% 2,354.59 -0.92%
25/11/2019 00:00:00 2,170.00 -0.23% 2,354.57 0.00%
26/11/2019 00:00:00 2,185.00 0.69% 2,376.31 0.92%
27/11/2019 00:00:00 2,180.00 -0.23% 2,354.60 -0.92%
28/11/2019 00:00:00 2,180.00 0.00% 2,360.00 0.23%
29/11/2019 00:00:00 2,195.00 0.69% 2,376.24 0.69%
02/12/2019 00:00:00 2,185.00 -0.46% 2,349.25 -1.14%
03/12/2019 00:00:00 2,185.00 0.00% 2,360.00 0.46%
04/12/2019 00:00:00 2,170.00 -0.69% 2,343.80 -0.69%
05/12/2019 00:00:00 2,185.00 0.69% 2,376.31 1.38%
06/12/2019 00:00:00 2,190.00 0.23% 2,365.40 -0.46%
09/12/2019 00:00:00 2,185.00 -0.23% 2,354.61 -0.46%
10/12/2019 00:00:00 2,180.00 -0.23% 2,354.60 0.00%
11/12/2019 00:00:00 2,185.00 0.23% 2,365.41 0.46%
12/12/2019 00:00:00 2,175.00 -0.46% 2,349.20 -0.69%
13/12/2019 00:00:00 2,185.00 0.46% 2,370.85 0.92%
16/12/2019 00:00:00 2,185.00 0.00% 2,360.00 -0.46%
17/12/2019 00:00:00 2,185.00 0.00% 2,360.00 0.00%
18/12/2019 00:00:00 2,190.00 0.23% 2,365.40 0.23%
19/12/2019 00:00:00 2,205.00 0.68% 2,376.16 0.45%
20/12/2019 00:00:00 2,210.00 0.23% 2,365.35 -0.46%
23/12/2019 00:00:00 2,245.00 1.57% 2,397.38 1.34%
24/12/2019 00:00:00 2,280.00 1.55% 2,396.79 -0.02%
26/12/2019 00:00:00 2,275.00 -0.22% 2,354.82 -1.77%
27/12/2019 00:00:00 2,250.00 -1.10% 2,334.07 -0.89%
30/12/2019 00:00:00 2,220.00 -1.34% 2,328.53 -0.24%
02/01/2020 00:00:00 2,210.00 -0.45% 2,349.37 0.89%
03/01/2020 00:00:00 2,225.00 0.68% 2,376.02 1.13%
07/01/2020 00:00:00 2,245.00 0.89% 2,381.21 0.22%
08/01/2020 00:00:00 2,260.00 0.67% 2,375.77 -0.23%
09/01/2020 00:00:00 2,280.00 0.88% 2,380.88 0.22%
10/01/2020 00:00:00 2,265.00 -0.66% 2,344.47 -1.54%
13/01/2020 00:00:00 2,270.00 0.22% 2,365.21 0.88%
14/01/2020 00:00:00 2,300.00 1.31% 2,391.19 1.09%
15/01/2020 00:00:00 2,300.00 0.00% 2,360.00 -1.31%
16/01/2020 00:00:00 2,320.00 0.87% 2,380.52 0.87%
17/01/2020 00:00:00 2,310.00 -0.43% 2,349.83 -1.30%
20/01/2020 00:00:00 2,310.00 0.00% 2,360.00 0.43%
21/01/2020 00:00:00 2,305.00 -0.22% 2,354.89 -0.22%
22/01/2020 00:00:00 2,325.00 0.86% 2,380.48 1.08%
23/01/2020 00:00:00 2,370.00 1.92% 2,405.68 1.05%
24/01/2020 00:00:00 2,370.00 0.00% 2,360.00 -1.92%
27/01/2020 00:00:00 2,360.00 -0.42% 2,350.04 -0.42%
28/01/2020 00:00:00 2,375.00 0.63% 2,375.00 1.06%
29/01/2020 00:00:00 2,385.00 0.42% 2,369.94 -0.21%
30/01/2020 00:00:00 2,395.00 0.42% 2,369.90 0.00%
31/01/2020 00:00:00 2,395.00 0.00% 2,360.00 -0.42%
03/02/2020 00:00:00 2,405.00 0.42% 2,369.85 0.42%
04/02/2020 00:00:00 2,440.00 1.44% 2,394.35 1.03%
05/02/2020 00:00:00 2,425.00 -0.62% 2,345.49 -2.06%
06/02/2020 00:00:00 2,390.00 -1.45% 2,325.94 -0.84%
07/02/2020 00:00:00 2,390.00 0.00% 2,360.00 1.45%
10/02/2020 00:00:00 2,380.00 -0.42% 2,350.13 -0.42%
11/02/2020 00:00:00 2,380.00 0.00% 2,360.00 0.42%
12/02/2020 00:00:00 2,400.00 0.84% 2,379.83 0.84%
13/02/2020 00:00:00 2,410.00 0.42% 2,369.83 -0.42%
14/02/2020 00:00:00 2,400.00 -0.42% 2,350.21 -0.83%
17/02/2020 00:00:00 2,410.00 0.42% 2,369.83 0.83%
18/02/2020 00:00:00 2,395.00 -0.62% 2,345.31 -1.04%
19/02/2020 00:00:00 2,400.00 0.21% 2,364.93 0.83%
20/02/2020 00:00:00 2,465.00 2.67% 2,423.92 2.46%
21/02/2020 00:00:00 2,480.00 0.61% 2,374.36 -2.07%
24/02/2020 00:00:00 2,580.00 3.95% 2,455.16 3.35%
25/02/2020 00:00:00 2,570.00 -0.39% 2,350.85 -4.34%
26/02/2020 00:00:00 2,495.00 -2.96% 2,291.13 -2.57%
27/02/2020 00:00:00 2,490.00 -0.20% 2,355.27 2.76%
28/02/2020 00:00:00 2,410.00 -3.27% 2,284.18 -3.06%
02/03/2020 00:00:00 2,450.00 1.65% 2,399.17 4.91%
03/03/2020 00:00:00 2,495.00 1.82% 2,403.35 0.17%
04/03/2020 00:00:00 2,520.00 1.00% 2,383.65 -0.82%
05/03/2020 00:00:00 2,525.00 0.20% 2,364.68 -0.80%
06/03/2020 00:00:00 2,445.00 -3.22% 2,285.23 -3.42%
09/03/2020 00:00:00 2,315.00 -5.46% 2,234.52 -2.24%
10/03/2020 00:00:00 2,360.00 1.93% 2,405.87 7.39%
nivel de confianCon que precision me acerco al valor real
asado volvera a ocurrir

PyC Valores y de menor a mayor


Valor estimado de la Utilidad o Utilidad o
posicion Pérdida Pérdida
- 5,316,973
100,460,829.49 460,829 - 3,212,851
100,000,000.00 - - 3,168,317
99,770,642.20 - 229,358 - 2,918,288
100,229,885.06 229,885 - 2,262,443
99,082,568.81 - 917,431 - 1,443,299
100,462,962.96 462,963 - 1,333,333
101,382,488.48 1,382,488 - 1,141,553
100,454,545.45 454,545 - 1,131,222
100,000,000.00 - - 1,098,901
98,868,778.28 - 1,131,222 - 917,431
100,457,665.90 457,666 - 915,332
100,000,000.00 - - 688,073
100,000,000.00 - - 686,499
99,544,419.13 - 455,581 - 686,499
100,915,331.81 915,332 - 657,895
100,000,000.00 - - 622,407
100,226,757.37 226,757 - 614,754
100,000,000.00 - - 458,716
100,226,244.34 226,244 - 457,666
100,000,000.00 - - 456,621
100,225,733.63 225,734 - 455,581
100,000,000.00 - - 455,581
99,774,774.77 - 225,225 - 454,545
100,000,000.00 - - 450,450
99,774,266.37 - 225,734 - 431,034
97,737,556.56 - 2,262,443 - 421,941
100,000,000.00 - - 418,410
100,462,962.96 462,963 - 414,938
100,460,829.49 460,829 - 387,597
100,229,357.80 229,358 - 230,947
99,313,501.14 - 686,499 - 229,885
100,921,658.99 921,659 - 229,358
98,858,447.49 - 1,141,553 - 229,358
100,000,000.00 - - 228,833
100,000,000.00 - - 228,833
100,461,893.76 461,894 - 228,311
100,689,655.17 689,655 - 225,734
100,456,621.00 456,621 - 225,225
99,545,454.55 - 454,545 - 219,298
99,543,379.00 - 456,621 - 216,450
99,541,284.40 - 458,716 - 200,401
100,460,829.49 460,829 -
99,311,926.61 - 688,073 -
99,769,053.12 - 230,947 -
100,694,444.44 694,444 -
100,229,885.06 229,885 -
100,229,357.80 229,358 -
99,084,668.19 - 915,332 -
100,692,840.65 692,841 -
99,770,642.20 - 229,358 -
99,770,114.94 - 229,885 -
100,691,244.24 691,244 -
99,771,167.05 - 228,833 -
100,000,000.00 - -
100,688,073.39 688,073 -
99,544,419.13 - 455,581 -
100,000,000.00 - -
99,313,501.14 - 686,499 -
100,691,244.24 691,244 -
100,228,832.95 228,833 -
99,771,689.50 - 228,311 -
99,771,167.05 - 228,833 -
100,229,357.80 229,358 -
99,542,334.10 - 457,666 198,413
100,459,770.11 459,770 208,768
100,000,000.00 - 220,751
100,000,000.00 - 225,734
100,228,832.95 228,833 226,244
100,684,931.51 684,932 226,757
100,226,757.37 226,757 226,757
101,583,710.41 1,583,710 228,833
101,559,020.04 1,559,020 228,833
99,780,701.75 - 219,298 229,358
98,901,098.90 - 1,098,901 229,358
98,666,666.67 - 1,333,333 229,358
99,549,549.55 - 450,450 229,885
100,678,733.03 678,733 229,885
100,898,876.40 898,876 416,667
100,668,151.45 668,151 416,667
100,884,955.75 884,956 417,537
99,342,105.26 - 657,895 419,287
100,220,750.55 220,751 421,053
101,321,585.90 1,321,586 454,545
100,000,000.00 - 456,621
100,869,565.22 869,565 457,666
99,568,965.52 - 431,034 459,770
100,000,000.00 - 460,829
99,783,549.78 - 216,450 460,829
100,867,678.96 867,679 460,829
101,935,483.87 1,935,484 461,894
100,000,000.00 - 462,963
99,578,059.07 - 421,941 462,963
100,635,593.22 635,593 608,519
100,421,052.63 421,053 635,593
100,419,287.21 419,287 668,151
100,000,000.00 - 678,733
100,417,536.53 417,537 684,932
101,455,301.46 1,455,301 688,073
99,385,245.90 - 614,754 689,655
98,556,701.03 - 1,443,299 691,244
100,000,000.00 - 691,244
99,581,589.96 - 418,410 692,841
100,000,000.00 - 694,444
100,840,336.13 840,336 840,336
100,416,666.67 416,667 867,679
99,585,062.24 - 414,938 869,565
100,416,666.67 416,667 884,956
99,377,593.36 - 622,407 898,876
100,208,768.27 208,768 915,332
102,708,333.33 2,708,333 921,659
100,608,519.27 608,519 1,002,004
104,032,258.06 4,032,258 1,321,586
99,612,403.10 - 387,597 1,382,488
97,081,712.06 - 2,918,288 1,455,301
99,799,599.20 - 200,401 1,559,020
96,787,148.59 - 3,212,851 1,583,710
101,659,751.04 1,659,751 1,659,751
101,836,734.69 1,836,735 1,836,735
101,002,004.01 1,002,004 1,935,484
100,198,412.70 198,413 1,943,844
96,831,683.17 - 3,168,317 2,708,333
94,683,026.58 - 5,316,973 4,032,258
101,943,844.49 1,943,844
Cantidad de datos 123
Tamaño percentil 1.23
2 años SIMULACION DE MONTECERLI 1500 ALTEATORIO
del 17/09/2018 SIMULACION HISTORICA NIVEL DE SIGNIFICACNIA 1%
9/17/2020 posicion
precio de hoy

posicion 50.000 acciones

grupo argos
IFICACNIA 1%

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