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Value at Risk Report (VaR)

Friday, 23 July, 2011

Following to valuation report of Coca cola Hellenic Bottling, consulting bureau for studies and financial analyzing has measured the potential loss (in value) due to market movements. The parametric and historical simulations were involved for VaR calculation. Moreover, the VaR for 99% confidence level is 4.23%, and for 95% confidence level is 3.25%. This means that the worst case of loss in of cap. Value is $ 433,944,764, $ 313,522,183 respectively. Moreover, the worst scenario of loss for the underlying stock (26.69$) is $ 1.12, $ 0.89 respectively. It is the maximum loss which can occur with 99%, 95% confidence over a holding period (one day) .

 

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