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Risk Management (VaR) Monte Carlo

Thursday, 04.08.2011

According to VaR for Coca Cola Hellenic (CCH) the consulting bureau for studies and financial analyzing cites the worst scenarios of loss using Monte Carlo method  related  to the recent bearish market movement. Moreover, the maximum loss for 99% confidence level is 23.7% ($6.29) so it will reach $ 20.25. Furthermore, for 95% confidence level the maximum loss is 15.27% ($3.61) so it will reach $ 22.93. Note that the calculation is taken over  daily holding period.

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