Tuesday, February 27, 2007

What a Day!!!

*) S&P 500: 50 pts drop
*) Russell 2000: 30 pts drop
*) Dow: 400 pts drop
*) NASDAQ: 96 pts drop

10d,Theta
10d,65%VAR
10d,95%VAR
10d,99%VAR
9.1%
14.0%
71.3%
151.9%

VAR numbers are too HIGH!!!! Need to reduce risks!!!


No comments: