[2004]32
80%
1.00
1.3% 100 0.
9%
100 1.6%
25%
3
1.6% 100
1.10% 100
1.9%
25%
0.3%
1,000 10
1,000
1,000 10
T 0.001
T+1
1 1 12 31
80%
70% + 30%
VaR -
1997 11 14
2000 10 8
3
T
:
10%
[2004]32
1
2
10 6-8
0755 82950532
0755 82950383
0755 83160288
18
021 58781234
021 58408836
1
10 6-8
0755 82950532
0755 82950383
0755 83160288
2
188
021 58781234
021 58408836
19 703
19 703
010 85262828
010 85262826
568
333 12
021 63863388
010 63863300
2004 3 24 2004 4 26
1 1000
1000 10
2
1.3% 100 0.9% 100
1.6% 25%
= -
/
5,000
3
5,000 1.3%=65
=5000-65=4935
4935+3 /1.00=4938
5,000 4,938
5,000
3
5000+3 /1.00=5003
5,000 5003
3 2
100
30
20 100
20 5000
60 100 60 50
00
1 3
3
2
9:30-11:30 1
:00-3:00 9 30- 3 00
3
3
1
2
3
4
3
1
2
T T+2
3
T+5
1 1000
10
2 200
3 1000
4
3
1 1.6% 100 1.10% 10
0 1.9%
25%
2 0.3%
1
0.3%
1 3
0.15%
3
0
3
3
4
1
1
=
/T
2
= /T
5,000
1.200
5,000 1.6%=80
=5000-80=4920
4920/1.200=4100
5,000 4,100
5,000
1.200
5000/1.200=4,166.67
5,000 4,166.67
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 0.8%
10,000 1.2000 =12,000
= 10,000 1.000 0.8%=80
12,000 0.15%=18
=12,000-80-18=11,902
T 1.200 10,000
3.5 1.300
0.47%
10,000 1.2000 =12,000
= 10,000 1.200 0.47%=56.40
12,000 0=0
=12,000-56.4-0=11,943.6
3 T T+1
4
5
6
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
2
3
10 6-8
10 6-8
518048
12500
[2001]8 2001
5 22
1
2
3
4
5
6
7
8
9
10
11
74 57%
1
1962 1995
1947 1996 7
1966
1946 5
1945
MBA
1943
1961
1966 12
1963
1962 9
1970 ,
2
1971
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
18
021 58781234
021 58408836
1987 4 1
1987
1998 1999
2002 7668.74
15.55
46
1996 10 2000 6
2000 6
2000 6
1998 5
1
2
7
3
1998
13
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
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
1 10% 10%
2
3
4
5
6
7
8
9
2
1
2
3
10%
3
30
1
2
3
4
5
6
7
4
1
50%
2
2
50%
5
1
10
10
10%
15
1
0
2
7
50% 50%
30
6
1
2
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
80%
20%
1
20%
30-80%
20-70% 5%
95%
2 /
3
1
2
3
4
5
6
1
2
3
4
GDP
1
1
2
3
4
5
6
2
1
2
3
4
5
6
7
1 80%
20%
2 10%
3
10%
4
5
1
2
3
4
5
6
7
1
2
3
1
1
2
3
4
5
2
3
4
5
IT
6
7
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
8 10
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
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
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 60 100 60
5000 2
3
4
5
6
7
1 30
2
3
1
2
3
4
5
6
7
5
3
15
1997 11 14
2000 10 8
(
)
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
2
2004 3 22
