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Return Rank 1.8349% 41 1.8019% 42 1.7596% 43 1.7392% 44 1.7094% 45 1.5625% 46 1.1236% 47 1.1111% 48 1.0638% 49 1.0638% 50 1.0526% 51 0.6601% 52 0.6270% 53 0.5831% 54 0.5666% 55 0.5602% 56 0.5391% 57 0.5333% 58 0.5277% 59 0.0000% 60

Return Rank 0.0000% 61 0.0000% 62 0.0000% 63 0.0000% 64 0.0000% 65 0.0000% 66 0.0000% 67 0.0000% 68 0.0000% 69 0.0000% 70 0.0000% 71 0.0000% 72 0.0000% 73 0.0000% 74 -0.5333% 75 -0.5391% 76 -0.5666% 77 -0.5731% 78 -0.5797% 79 -0.5970% 80

Return Rank -0.6116% 81 -0.6734% 82 -0.6969% 83 -0.8811% 84 -1.0753% 85 -1.1173% 86 -1.2195% 87 -1.3158% 88 -1.3334% 89 -1.5915% 90 -1.6173% 91 -1.6349% 92 -1.6713% 93 -1.7596% 94 -1.8127% 95 -1.9934% 96 -2.0203% 97 -2.0340% 98 -2.1165% 99 -2.1979% 100

Return -2.2223% -2.4846% -2.5318% -2.8371% -2.8492% -2.8820% -2.9853% -2.9853% -3.2790% -3.4133% -3.9221% -4.1385% -4.2925% -4.4452% -4.7628% -5.1672% -7.1459% -7.8781% -8.4557% -9.4491%

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Mean Median Mode Std. Dev. Skewness Kurtosis Minimum Maximum

-0.0299% 0 0 3.432% 0.39453 1.58936 -9.449% 9.467%

Stock : Begin Date: End Date : # of Obs. :

BBL 970213 970714 100

10

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9DOXHDW5LVN

BBL

Return PTTEP

-2.9853% 1.8019% -0.5970% -1.8127% 4.1797% 2.3122% -0.5731% 1.7094% 0.0000% -0.5666% 0.0000% 0.0000% -2.8820% 0.5831% -1.7596% 1.7596% 2.8655% 5.4959% 0.0000% -1.6173% -4.4452% 0.5666% 1.1236% 1.1111% 0.0000% -1.6713% 3.3152% 0.0000% 0.0000% 0.0000% -2.1979% -1.1173% 0.5602% 4.3723% 0.0000% 1.0638% 0.5277% -1.5915% 0.5333% -0.5333% 1.0638% 1.0526% -2.1165% -1.0753% 0.5391% 0.0000% -0.5391% -1.6349% -2.2223% -2.8492%

-3.1155% 7.3203% -1.1834% -2.4098% 4.7628% -1.1696% 0.0000% -4.2048% -3.1155% 1.8809% -1.2500% -5.8269% 1.3245% 1.3072% 0.0000% 6.8993% -0.6079% 3.0032% -1.7911% -3.0583% -0.6231% -2.5318% 2.5318% 0.0000% 1.8576% -0.6154% 5.4067% -2.9676% 1.7911% 0.0000% 0.5900% 0.0000% -2.3811% 1.7911% -4.8494% 5.4394% 0.5865% -4.1797% 0.0000% -1.8462% 0.6192% 3.0397% -1.8127% -0.6116% -0.6154% 0.0000% 1.2270% -1.8462% -4.4452% 3.1952%

Simulated Price BBL PTTEP 165.00 380.00 160.15 368.34 163.06 396.32 162.09 391.66 159.18 382.33 165.97 400.98 169.85 396.32 168.88 396.32 171.79 380.00 171.79 368.34 170.82 375.34 170.82 370.67 170.82 349.69 165.97 354.36 166.94 359.02 164.03 359.02 166.94 384.66 171.79 382.33 181.50 393.99 181.50 386.99 178.59 375.34 170.82 373.01 171.79 363.68 173.74 373.01 175.68 373.01 175.68 380.00 172.76 377.67 178.59 398.65 178.59 386.99 178.59 393.99 178.59 393.99 174.71 396.32 172.76 396.32 173.74 386.99 181.50 393.99 181.50 375.34 183.44 396.32 184.41 398.65 181.50 382.33 182.47 382.33 181.50 375.34 183.44 377.67 185.38 389.33 181.50 382.33 179.56 380.00 180.53 377.67 180.53 377.67 179.56 382.33 176.65 375.34 172.76 359.02 167.91 370.67



Portfolio Value 355,000.00 344,318.84 361,218.33 357,916.46 350,342.11 366,461.39 368,012.45 367,041.86 361,794.12 355,965.90 358,492.24 356,160.95 345,670.16 343,148.50 346,450.38 343,538.61 359,272.46 362,959.76 378,493.87 374,996.93 366,256.95 357,326.60 353,634.61 360,238.36 362,179.54 365,676.47 361,599.06 377,913.39 372,085.17 375,582.10 375,582.10 372,865.39 370,924.22 367,232.23 378,493.87 369,168.71 381,600.69 383,736.92 372,665.64 373,636.23 369,168.71 372,275.53 380,044.93 372,665.64 369,558.82 369,363.77 369,363.77 370,724.47 364,315.77 352,273.91 353,249.19

Portfolio Returns -3.0550% 4.7914% -0.9183% -2.1389% 4.4983% 0.4224% -0.2641% -1.4401% -1.6240% 0.7072% -0.6524% -2.9898% -0.7322% 0.9576% -0.8440% 4.4782% 1.0211% 4.1908% -0.9282% -2.3583% -2.4685% -1.0386% 1.8502% 0.5374% 0.9609% -1.1213% 4.4129% -1.5542% 0.9354% 0.0000% -0.7260% -0.5220% -1.0003% 3.0205% -2.4946% 3.3121% 0.5582% -2.9276% 0.2601% -1.2029% 0.8381% 2.0655% -1.9608% -0.8372% -0.0528% 0.0000% 0.3677% -1.7438% -3.3612% 0.2765%

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Day No. 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 Mean SD

9DOXHDW5LVN

Return BBL PTTEP -0.5797% -1.2658% 0.0000% -0.6390% 0.0000% 0.0000% -4.7628% -2.5975% -0.6116% 0.0000% 0.0000% -0.6601% -2.4846% 1.3158% 0.6270% 5.0966% -2.5318% -3.7979% -3.9221% 0.0000% -2.0203% 3.1749% 2.0203% 2.4693% 3.2790% 0.6079% -3.2790% -0.6079% 1.9803% -1.8462% -1.3158% -5.0966% -1.3334% 4.4736% -2.0340% -1.8928% 0.0000% -2.5808% 3.3673% 4.4736% 0.6601% 0.6231% -1.9934% -1.8809% 0.0000% 0.6309% -0.6734% 0.6270% -4.1385% -0.6270% 2.7780% 3.7041% 2.0340% -1.2195% -3.4133% 0.6116% -0.6969% -0.6116% -2.8371% -2.4846% -5.1672% 0.6270% -7.8781% -1.2579% -9.4491% -1.9170% -8.4557% -5.2993% 6.6375% 4.6520% 8.7776% 3.8221% -4.2925% -5.1293% -0.8811% 0.6557% 8.4797% 6.3312% 3.2003% 1.2195% 1.5625% 2.3953% 8.8947% 9.0457% 9.4665% 9.2850% 9.2373% 0.4914% -2.9853% 0.4890% -1.2195% -1.4742% 4.7913% 0.4938% 1.7392% 4.3380% -7.1459% -3.8466% 1.8349% -6.0625% -0.0299% 0.1637% 3.4322% 3.1498%

Simulated Price BBL PTTEP 166.94 366.01 166.94 363.68 166.94 363.68 159.18 354.36 158.21 354.36 158.21 352.02 154.32 356.69 155.29 375.34 151.41 361.35 145.59 361.35 142.68 373.01 145.59 382.33 150.44 384.66 145.59 382.33 148.50 375.34 146.56 356.69 144.62 373.01 141.71 366.01 141.71 356.69 146.56 373.01 147.53 375.34 144.62 368.34 144.62 370.67 143.65 373.01 137.82 370.67 141.71 384.66 144.62 380.00 139.76 382.33 138.79 380.00 134.91 370.67 128.12 373.01 118.41 368.34 107.74 361.35 99.00 342.70 105.79 359.02 115.50 373.01 110.65 354.36 109.68 356.69 119.38 380.00 123.26 384.66 125.21 393.99 136.85 431.29 150.44 473.25 165.00 475.58 160.15 477.91 158.21 470.92 165.97 473.25 168.88 494.23 157.24 475.58 160.15 447.61



Portfolio Value 349,947.31 348,781.67 348,781.67 336,354.38 335,383.80 334,218.15 332,667.09 342,962.83 332,086.61 326,263.08 329,179.54 336,753.88 342,772.46 336,753.88 336,168.71 324,902.38 331,120.71 324,712.02 320,049.44 333,061.89 335,198.12 328,789.43 329,955.07 330,150.13 323,160.95 334,037.17 334,617.65 330,930.35 328,794.12 320,249.19 314,620.71 302,583.54 288,410.14 270,349.69 285,303.32 302,003.07 287,824.97 288,020.03 309,382.35 315,595.99 322,199.75 352,497.11 387,066.94 402,791.41 399,104.11 393,666.01 402,596.36 415,998.92 395,026.71 383,950.74

Portfolio Returns -0.9391% -0.3336% 0.0000% -3.6281% -0.2890% -0.3482% -0.4652% 3.0480% -3.2226% -1.7692% 0.8899% 2.2749% 1.7715% -1.7715% -0.1739% -3.4088% 1.8958% -1.9544% -1.4463% 3.9853% 0.6393% -1.9304% 0.3539% 0.0591% -2.1397% 3.3102% 0.1736% -1.1081% -0.6476% -2.6332% -1.7732% -3.9010% -4.7974% -6.4667% 5.3837% 5.6884% -4.8085% 0.0677% 7.1548% 1.9885% 2.0709% 8.9871% 9.3555% 3.9821% -0.9197% -1.3719% 2.2432% 3.2748% -5.1729% -2.8439% 0.0784% 2.8382%

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Return Rank 9.3555% 21 8.9871% 22 7.1548% 23 5.6884% 24 5.3837% 25 4.7914% 26 4.4983% 27 4.4782% 28 4.4129% 29 4.1908% 30 3.9853% 31 3.9821% 32 3.3121% 33 3.3102% 34 3.2748% 35 3.0480% 36 3.0205% 37 2.2749% 38 2.2432% 39 2.0709% 40

Return Rank 2.0655% 41 1.9885% 42 1.8958% 43 1.8502% 44 1.7715% 45 1.0211% 46 0.9609% 47 0.9576% 48 0.9354% 49 0.8899% 50 0.8381% 51 0.7072% 52 0.6393% 53 0.5582% 54 0.5374% 55 0.4224% 56 0.3677% 57 0.3539% 58 0.2765% 59 0.2601% 60

Return Rank 0.1736% 61 0.0677% 62 0.0591% 63 0.0000% 64 0.0000% 65 0.0000% 66 -0.0528% 67 -0.1739% 68 -0.2641% 69 -0.2890% 70 -0.3336% 71 -0.3482% 72 -0.4652% 73 -0.5220% 74 -0.6476% 75 -0.6524% 76 -0.7260% 77 -0.7322% 78 -0.8372% 79 -0.8440% 80



Return Rank -0.9183% 81 -0.9197% 82 -0.9282% 83 -0.9391% 84 -1.0003% 85 -1.0386% 86 -1.1081% 87 -1.1213% 88 -1.2029% 89 -1.3719% 90 -1.4401% 91 -1.4463% 92 -1.5542% 93 -1.6240% 94 -1.7438% 95 -1.7692% 96 -1.7715% 97 -1.7732% 98 -1.9304% 99 -1.9544% 100

Return -1.9608% -2.1389% -2.1397% -2.3583% -2.4685% -2.4946% -2.6332% -2.8439% -2.9276% -2.9898% -3.0550% -3.2226% -3.3612% -3.4088% -3.6281% -3.9010% -4.7974% -4.8085% -5.1729% -6.4667%

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BBL 9.4665% 9.2373% 8.8947% 8.7776% 8.4797% 6.6375% 5.4959% 4.7913% 4.3723% 4.1797% 3.3673% 3.3152% 3.2790% 3.2003% 2.8655% 2.7780% 2.3122% 2.0340% 2.0203% 1.9803% 1.8349% 1.8019% 1.7596% 1.7392% 1.7094%

PTTEP Rank BBL PTTEP Rank BBL PTTEP Rank BBL PTTEP 9.2850% 26 1.5625% 1.7911% 51 0.0000% 0.0000% 76 -1.9934% -1.8462% 9.0457% 27 1.1236% 1.3245% 52 0.0000% 0.0000% 77 -2.0203% -1.8809% 7.3203% 28 1.1111% 1.3158% 53 0.0000% 0.0000% 78 -2.0340% -1.8928% 6.8993% 29 1.0638% 1.3072% 54 0.0000% 0.0000% 79 -2.1165% -1.9170% 6.3312% 30 1.0638% 1.2270% 55 -0.5333% -0.6079% 80 -2.1979% -2.3811% 5.4394% 31 1.0526% 1.2195% 56 -0.5391% -0.6079% 81 -2.2223% -2.4098% 5.4067% 32 0.6601% 0.6557% 57 -0.5666% -0.6116% 82 -2.4846% -2.4846% 5.0966% 33 0.6270% 0.6309% 58 -0.5731% -0.6116% 83 -2.5318% -2.5318% 4.7628% 34 0.5831% 0.6270% 59 -0.5797% -0.6154% 84 -2.8371% -2.5808% 4.6520% 35 0.5666% 0.6270% 60 -0.5970% -0.6154% 85 -2.8492% -2.5975% 4.4736% 36 0.5602% 0.6231% 61 -0.6116% -0.6231% 86 -2.8820% -2.9676% 4.4736% 37 0.5391% 0.6192% 62 -0.6734% -0.6270% 87 -2.9853% -3.0583% 4.3380% 38 0.5333% 0.6116% 63 -0.6969% -0.6390% 88 -2.9853% -3.1155% 3.8221% 39 0.5277% 0.6079% 64 -0.8811% -0.6601% 89 -3.2790% -3.1155% 3.7041% 40 0.0000% 0.5900% 65 -1.0753% -1.1696% 90 -3.4133% -3.7979% 3.1952% 41 0.0000% 0.5865% 66 -1.1173% -1.1834% 91 -3.9221% -3.8466% 3.1749% 42 0.0000% 0.4938% 67 -1.2195% -1.2195% 92 -4.1385% -4.1797% 3.0397% 43 0.0000% 0.4914% 68 -1.3158% -1.2500% 93 -4.2925% -4.2048% 3.0032% 44 0.0000% 0.4890% 69 -1.3334% -1.2579% 94 -4.4452% -4.4452% 2.5318% 45 0.0000% 0.0000% 70 -1.5915% -1.2658% 95 -4.7628% -4.8494% 2.4693% 46 0.0000% 0.0000% 71 -1.6173% -1.4742% 96 -5.1672% -5.0966% 2.3953% 47 0.0000% 0.0000% 72 -1.6349% -1.7911% 97 -7.1459% -5.1293% 1.8809% 48 0.0000% 0.0000% 73 -1.6713% -1.8127% 98 -7.8781% -5.2993% 1.8576% 49 0.0000% 0.0000% 74 -1.7596% -1.8462% 99 -8.4557% -5.8269% 1.7911% 50 0.0000% 0.0000% 75 -1.8127% -1.8462% 100 -9.4491% -6.0625%

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References Beckstrom, Rod. 1995. “VaR, the Next Generation”. Derivatives Strategy (October 2). Beckstrom, Rod, Don Lewis and Chris Roberts. 1994. “VAR: Pushing Risk Management to the Statistical Limit”. Capital Market Strategies 3 (November), 9-15. Cooper, Graham, Ed. 1996. “Value At Risk”. Risk 9 (June supplement). Garman, Mark B. 1996. Making VaR Proactive. Working Paper, Financial Engineering Associates (September). Garman, Mark B. 1997. Ending the Search for Component VaR. Working Paper, Financial Engineering Associates (March). Hendricks, Darryll. 1996. “Evaluation of Value-at-Risk Models Using Historical Data”. Federal Reserve Bank of New York Economic Policy Review 2 (April), 39-70. and 1996. Hopper, Gary P. “Value at Risk: A New Methodology for Measuring Portfolio Risk,” Working Paper, Federal Reserve Bank of Philadelphia International Communique Ltd. 1996. “Value at Risk”, Working Paper. Jorion, Philippe. 1996. Value at Risk: The New Benchmark for Controlling Market Risk, Irwin Professional. Jorion, Philippe 1997. “In Defence of VaR”. Forthcoming, Derivatives Strategy. Linsmeier, Thomas and Neil Pearson. 1996. Risk Measurement: An Introduction to Value at Risk, Working Paper, University of Illinois at Urbana-Champaign L ftingsmo, Arne 1996. “Risk Goes Metric, Developing a common yardstick for measuring market risk in financial markets”. Master Thesis, Norwegian Institute of Technology. Lopez, Jose. 1996. Regulatory Evaluation of Value-at-Risk Models. Working Paper, New York Federal Reserve Bank (August). Phelan, Michael. 1996. Probability and Statistics Applied to the Practice of Financial risk Management: The Case of JP Morgan's RiskMetrics. Working Paper, University of Pensylvania Pritsker, Matthew. 1996. Evaluating Value at Risk Methodologies: Accuracy Versus Computational Time. Working paper, Board of Governors of the Federal Reserve System (November). Taleb, Nassim. 1997. The World According to Nassim Taleb. (December/January).

Derivatives Strategy 1

Taleb, Nassim. 1997. “Against VaR”. Forthcoming, Derivatives Strategy.

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TOPICS: Value at Risk จากแง่มุมมองของโบรกเกอร์