100
[2003]94
100 100 100 100 100
100 100
1.00
0.9% 1.2%
100 1.2% 1.5%
1.3% 1.6%
25%
3
1.2% 1.5%
100 1.5% 1.8%
1.6% 1.9%
25%
0.3%
0.2%
1,000 10
1,000 10
1,000 10
T 0.001 T+1
1 1 12 31
VaR
100
100 100
90% 100 50% 100
100
75% 100 + 25%
100 0.5%
100 100 100
VaR
30%
75% + 25%
Va R -
....................................................................................................................................2
....................................................................................................................................2
........................................................................................................................2
................................................................................................................2
................................................................................................2
................................................................................................................2
....................................................................................................2
................................................................................................2
............................................................................................2
........................................................................................................................2
....................................................................................................................2
....................................................................................................................2
............................................................................................................2
....................................................................................................................2
........................................................................................................................2
........................................................................................................................2
................................................................................................................2
............................................................................................................2
............................................................................................................2
........................................................................................................2
........................................................................................................2
................................................................................................................2
................................................................................................................2
....................................................................................2
....................................................................................................................2
100
100
100
1997 11 14
2000 10 8
3
T
:
10%
[2003]94
1
2
10 6-8
0755 82950511
0755 82950679
0755 83160288
55
010-66106912
A
10 6-8
0755 82950511
0755 82950679
0755 83160288
B
1
55
010-66107900
2
25
010-67597114
3
188
021-58781234
4
5047
0755-82080714
5
4
4
95568
010-65229422
010-65226699--2055
6
618
135
021-62580818
021-62583439
7
68
800-820-0108 010 65186758
010 65182261
8
26 2611
020 87555888 875 895
9
98
021-53830794
021-53831026
10
171
021-54033888
021-64738844
11
99
0591 7541476
0591 7541476
12
8
027-65799883
021-63291352
13
1012 16-26
800-810-8868
0755-82130833
0755-82130570
14
5047 25 24 10
(0755)82493561
19 703
19 703
010 85262828
010 85262826
568 200120
333 12 200021
Kent Watson
021 63863388
021 63863300
18
2003 8 26 2003 9 26
1 1000 1000 10
2
1
0.9% 100 1.2% 1.3%
2
1.2% 100
1.5% 1.6% 25%
1
= -
+ /
2
= + /
5,000
3
5,000 0.9%=45
=5000-45=4955
4955+3 /1.00=4958
5,000 4,958
100 5,000
3
5,000 1.2%=60
=5000-60=4940
4940+3 /1.00=4943
5,000 4,943 100
5,000 3
5,000 1.3%=65
=5000-65=4935
4935+3 /1.00=4938
5,000 4,938
100 5,000 3
5000+3 /1.00=5003
5,000 5003 100
3
2 100
30
20
100 20 5000 60 100 60 5000
100
1 3 3
2 9:30-11:30 1:00-3:00 9 30- 3 00
3 3
1
2
3
4 3
100
1
2
3
4
5
6
7
8
9
10 0
11
12
13
14 3
1
2
T T+2
3
T+5
1 1000 10
2 300
3 1000
4 1000
5 3
1
1.2% 100 1.5% 1.6%
2
1.5% 100
1.8% 1.9% 25%
3 0.3%
1 0.3%
1 3 0.15%
100
3 0
4
3
5
100 0.3%
100
0.1%
0.4%
100 0
100
0.2%
0
0.2% 0
1
1
=
/T
2
= /T
5,000 1.200
5,000 1.2%=60
=5000-60=4940
4940/1.200=4116.67
5,000 4,116.67
100 5,000
1.200
5,000 1.5%=75
=5000-75=4925
4925/1.200=4104.17
5,000 4,104.17 100
5,000 1.200
5,000 1.6%=80
=5000-80=4920
4920/1.200=4100
5,000 4,100
100 5,000 1.200
5000/1.200=4,166.67
5,000 4,166.67 100
2
1
T
-
2
T
=
= - -
3
T
=
= - -
T 1.200 10,000 10
=10,000 1.2000 =12,000
=12,000 0.3%=36
=12,000-36=11,964
T 1.200 10,000 2 0.9%
10,000 1.2000 =12,000
= 10,000 1.000 0.9%=90
12,000 0.15%=18
=12,000-90-18=11,892
T 1.200 10,000 3.5 1.300 0.45%
10,000 1.2000 =12,000
= 10,000 1.200 0.45%=54
12,000 0=0
=12,000-54-0=11,946
3
T
=
= - - / T
T 1.200 1.050 0.2% 0.4% 10,000
10,000 1.2000=12,000
=12,000 0.2%=24
12,000 0.4%=48
= 12,000-24-48 /1.050=11360
4 T T+1
5
6
7
T+1 T+2 T+1
3
1
10%
2
1
2 10%
3 3
20
1
1
2
3
4
5
6
1 5
6
2
1
2
3
4
3
2
1
3
10 6-8
10 6-8
518026
12500
[2001]8 2001
5 22
60 57%
2 1 2003 8
19
2001.05.25 2001.8.29 2002.9.13
5 20 15.51
( /) 0.8875 0.9709 1.0102
0.8875 1.0009 1.0702
( /) - 0.03 0.06
184738 500038 -
1
1962 1995
1947 1996
7
1964 1996
1965 2000
1966 2000 11
1960
1964 1997
1945 MBA
1961
1968 1993 5
1966 12
1963 1993 2001
1963
1964 10
1962 9
2
30 6 1
100 40 8 2
32 10 4
1
1
2
3
4
5
6
7
8
9
10
11
12
2
1
2 ,
3
4
5
6 ,
7
8
9
10
11
12
13
14
15
16 15
17
18 ,
19
20
21
22
23
24
1
2
3
4
5
1
2
3
1
1
2
3
4
5
6
7
2
A
B
3
4
5
6
7
1
2
3
1
1
2
3 50% 50%
4
2
1
2
3
4 5 5
5
55
100032
010-66106912
1710.24
1
1
2
3
4
5
2
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16 15
17
18
19
20
21
22
23
24
1
2
3
1
2
3
4
5
6
4
5
1
2
3
4
6
1
2
3
4
1
1
2
3 50% 50%
4
2
1
2
3
4 5
5
1
2
3
4
5
6
7
8
1
2
3
4
5
6
1
10%
10%
1
2
3
4
5
6
7
8
10% 10%
1
2
3
4
5
6
7
2
1
2
3 10% 10% 10% 10%
3
20
1
2
3
4
5
4
1
30% 30% 30% 30%
2
30% 30% 30% 30%
10
15% 15% 15% 15%
15% 15% 15% 15%
5
1
10 10
10% 15
10
2
50% 50%
20
6
1
2
50% 50% 50% 50%
50%
50% 50% 50%
3
4
5
7
1
2
8
5
1
10 15
2
1
0755-83160288
2
http://www.rtfund.com
service@mail.rtfund.com
A
1
2
3
4
Va R
1
2
3
4
5
1 80% 20%
2 10%
3
B 100
100 100 100
100
100 100
90% 100 50% 100 0.5%
100
1 100
2
3
4
5
6
7
8
1 80% 20%
2 10%
3 10%
4
5 100%
C
30%
1
2
3
GDP
4
30%
1
1
2
3
4
5
6
2
1
2
3
4
5
6
7
1 80% 20%
2 10%
3 10%
4
1
2
3
4
5
6
7
1
2
3
1
1
2
3
4
5
2
3
4
5
IT
6
7
A
B 100
100 100 100
C
1
2
3
1
2
1
2
3
4
5
6
7
8
9
1
2
3
1
2
1
2
3
4
5
1
2
0.5%
1
2
1
2
3
4
5
6
7
3
1
2
3
4
5 0.5%
1 4
2
1
2
3
4
5 3 4
6
7
8
1
2
1
2
3
4
5
6
7
A
1
0.6%
0.6%
H=E 0.6%
H
E
2
2.0
H=E 2.0
H
E
3 3 7
B 100
1
1.0%
1.0%
H=E 1.0%
H
E
2
2.0
H=E 2.0
H
E
3 3 7
C
1
1.5%
1.5%
H=E 1.5%
H
E
,
2
2.5
H=E 2.5
H
E
3 3 7
1
2 1 1 12 31
3
4
5
6
7
8
1
2
3 5
1 90
2 60
1
2
3
4 30%
5
6
7
8
9
10
11
12
13
14
15
15
15
1
2
3
4
1 60 100
60 5000
2
3
4
5
6
1 30
2
3
1
2
3
4
5
6
7
1
2
1
2
5 3
15
1997 11 14 2000 10 8 ( )
100 100
1
1
2
2
1
2
3
4
5
1
2
3
4
5
6
7 15
8
9
10
( ) ,
,
1
2
3
1
2
3
4
5
1
2
3
1
1
2
3
4
5
6
2
2003 8 21
