FINANCIAL RISK MANAGEMENT - BLANK MODEL SET: THE BOOK'S OWN INPUTS

Each workbook has its own inputs, 151 in all. Type these values into the cells shown - the sheet
name comes before the exclamation mark - and the book's results come back: 7,242,456 of value at risk,
93,277,800 of stress loss, 5,101,785 and 2,016,532 to get out, 31.2 per cent of one-week liquidity
before the redemption and 8.3 after the cheap way of meeting it.

The_Four_Numbers_Blank.xlsx  (62 inputs)

   Inputs!B7                                Net assets                                                     840000000
   Inputs!B8                                Units in issue                                                 8400000
   Inputs!B14                               Investment-grade credit: market value                          252000000
   Inputs!D14                               Investment-grade credit: volatility                            0.045
   Inputs!E14                               Investment-grade credit: spread duration                       6.2
   Inputs!F14                               Investment-grade credit: days to sell                          2
   Inputs!G14                               Investment-grade credit: half-spread                           0.0015
   Inputs!B15                               High yield: market value                                       294000000
   Inputs!D15                               High yield: volatility                                         0.08
   Inputs!E15                               High yield: spread duration                                    3.8
   Inputs!F15                               High yield: days to sell                                       8
   Inputs!G15                               High yield: half-spread                                        0.0045
   Inputs!B16                               Leveraged loans: market value                                  210000000
   Inputs!D16                               Leveraged loans: volatility                                    0.06
   Inputs!E16                               Leveraged loans: spread duration                               0.25
   Inputs!F16                               Leveraged loans: days to sell                                  20
   Inputs!G16                               Leveraged loans: half-spread                                   0.008
   Inputs!B17                               Structured credit: market value                                84000000
   Inputs!D17                               Structured credit: volatility                                  0.1
   Inputs!E17                               Structured credit: spread duration                             4.5
   Inputs!F17                               Structured credit: days to sell                                30
   Inputs!G17                               Structured credit: half-spread                                 0.014
   Inputs!B23                               Investment-grade credit: impact coefficient                    0.001
   Inputs!C23                               Investment-grade credit: spread shock, bp                      120
   Inputs!B24                               High yield: impact coefficient                                 0.0035
   Inputs!C24                               High yield: spread shock, bp                                   450
   Inputs!B25                               Leveraged loans: impact coefficient                            0.006
   Inputs!C25                               Leveraged loans: spread shock, bp                              300
   Inputs!B26                               Structured credit: impact coefficient                          0.011
   Inputs!C26                               Structured credit: spread shock, bp                            600
   Inputs!B30                               Confidence multiplier (99%)                                    2.326347874
   Inputs!B31                               Trading days in a year                                         252
   Inputs!B32                               Stress multiplier on spreads                                   4
   Inputs!B33                               Stress multiplier on impact                                    3
   Inputs!B34                               Redemption, share of post-shock net assets                     0.25
   1 - The Model's Number!C8                Reported correlation, Investment-grade with High yield         0.75
   1 - The Model's Number!D8                Reported correlation, Investment-grade with Leveraged loans    0.55
   1 - The Model's Number!E8                Reported correlation, Investment-grade with Structured         0.45
   1 - The Model's Number!B9                Reported correlation, High yield with Investment-grade         0.75
   1 - The Model's Number!D9                Reported correlation, High yield with Leveraged loans          0.8
   1 - The Model's Number!E9                Reported correlation, High yield with Structured               0.7
   1 - The Model's Number!B10               Reported correlation, Leveraged loans with Investment-grade    0.55
   1 - The Model's Number!C10               Reported correlation, Leveraged loans with High yield          0.8
   1 - The Model's Number!E10               Reported correlation, Leveraged loans with Structured          0.65
   1 - The Model's Number!B11               Reported correlation, Structured with Investment-grade         0.45
   1 - The Model's Number!C11               Reported correlation, Structured with High yield               0.7
   1 - The Model's Number!D11               Reported correlation, Structured with Leveraged loans          0.65
   1 - The Model's Number!C36               Crisis correlation, Investment-grade with High yield           0.92
   1 - The Model's Number!D36               Crisis correlation, Investment-grade with Leveraged loans      0.88
   1 - The Model's Number!E36               Crisis correlation, Investment-grade with Structured           0.82
   1 - The Model's Number!B37               Crisis correlation, High yield with Investment-grade           0.92
   1 - The Model's Number!D37               Crisis correlation, High yield with Leveraged loans            0.95
   1 - The Model's Number!E37               Crisis correlation, High yield with Structured                 0.9
   1 - The Model's Number!B38               Crisis correlation, Leveraged loans with Investment-grade      0.88
   1 - The Model's Number!C38               Crisis correlation, Leveraged loans with High yield            0.95
   1 - The Model's Number!E38               Crisis correlation, Leveraged loans with Structured            0.93
   1 - The Model's Number!B39               Crisis correlation, Structured with Investment-grade           0.82
   1 - The Model's Number!C39               Crisis correlation, Structured with High yield                 0.9
   1 - The Model's Number!D39               Crisis correlation, Structured with Leveraged loans            0.93
   The Fifth Number!B23                     Repo borrowing                                                 120000000
   The Fifth Number!B24                     Haircut, calm market                                           0.05
   The Fifth Number!B25                     Haircut, stressed market                                       0.15

VaR_ES_and_the_Backtest_Blank.xlsx  (38 inputs)

   Inputs!B5                                Net assets                                                     840000000
   Inputs!B6                                Trading days in a year                                         252
   Inputs!B7                                Confidence, VaR                                                0.99
   Inputs!B8                                Confidence, expected shortfall                                 0.975
   Inputs!B9                                Observations in the backtest                                   500
   Inputs!B10                               Exceptions observed                                            6
   Inputs!B15                               Investment-grade credit: market value                          252000000
   Inputs!D15                               Investment-grade credit: volatility                            0.045
   Inputs!B16                               High yield: market value                                       294000000
   Inputs!D16                               High yield: volatility                                         0.08
   Inputs!B17                               Leveraged loans: market value                                  210000000
   Inputs!D17                               Leveraged loans: volatility                                    0.06
   Inputs!B18                               Structured credit: market value                                84000000
   Inputs!D18                               Structured credit: volatility                                  0.1
   VaR Three Ways!C8                        Reported correlation, Investment-grade with High yield         0.75
   VaR Three Ways!D8                        Reported correlation, Investment-grade with Leveraged loans    0.55
   VaR Three Ways!E8                        Reported correlation, Investment-grade with Structured         0.45
   VaR Three Ways!B9                        Reported correlation, High yield with Investment-grade         0.75
   VaR Three Ways!D9                        Reported correlation, High yield with Leveraged loans          0.8
   VaR Three Ways!E9                        Reported correlation, High yield with Structured               0.7
   VaR Three Ways!B10                       Reported correlation, Leveraged loans with Investment-grade    0.55
   VaR Three Ways!C10                       Reported correlation, Leveraged loans with High yield          0.8
   VaR Three Ways!E10                       Reported correlation, Leveraged loans with Structured          0.65
   VaR Three Ways!B11                       Reported correlation, Structured with Investment-grade         0.45
   VaR Three Ways!C11                       Reported correlation, Structured with High yield               0.7
   VaR Three Ways!D11                       Reported correlation, Structured with Leveraged loans          0.65
   VaR Three Ways!I8                        Crisis correlation, Investment-grade with High yield           0.92
   VaR Three Ways!J8                        Crisis correlation, Investment-grade with Leveraged loans      0.88
   VaR Three Ways!K8                        Crisis correlation, Investment-grade with Structured           0.82
   VaR Three Ways!H9                        Crisis correlation, High yield with Investment-grade           0.92
   VaR Three Ways!J9                        Crisis correlation, High yield with Leveraged loans            0.95
   VaR Three Ways!K9                        Crisis correlation, High yield with Structured                 0.9
   VaR Three Ways!H10                       Crisis correlation, Leveraged loans with Investment-grade      0.88
   VaR Three Ways!I10                       Crisis correlation, Leveraged loans with High yield            0.95
   VaR Three Ways!K10                       Crisis correlation, Leveraged loans with Structured            0.93
   VaR Three Ways!H11                       Crisis correlation, Structured with Investment-grade           0.82
   VaR Three Ways!I11                       Crisis correlation, Structured with High yield                 0.9
   VaR Three Ways!J11                       Crisis correlation, Structured with Leveraged loans            0.93

The_Stress_Book_Blank.xlsx  (21 inputs)

   The Stress Book!B5                       Net assets                                                     840000000
   The Stress Book!B6                       Units in issue                                                 8400000
   The Stress Book!B11                      Investment-grade credit: market value                          252000000
   The Stress Book!C11                      Investment-grade credit: spread duration                       6.2
   The Stress Book!E11                      Investment-grade credit: days to sell                          2
   The Stress Book!B12                      High yield: market value                                       294000000
   The Stress Book!C12                      High yield: spread duration                                    3.8
   The Stress Book!E12                      High yield: days to sell                                       8
   The Stress Book!B13                      Leveraged loans: market value                                  210000000
   The Stress Book!C13                      Leveraged loans: spread duration                               0.25
   The Stress Book!E13                      Leveraged loans: days to sell                                  20
   The Stress Book!B14                      Structured credit: market value                                84000000
   The Stress Book!C14                      Structured credit: spread duration                             4.5
   The Stress Book!E14                      Structured credit: days to sell                                30
   The Stress Book!B21                      Investment-grade credit: shock, bp                             120
   The Stress Book!B22                      High yield: shock, bp                                          450
   The Stress Book!B23                      Leveraged loans: shock, bp                                     300
   The Stress Book!B24                      Structured credit: shock, bp                                   600
   Financing!B5                             Repo borrowing                                                 120000000
   Financing!B6                             Haircut, calm market                                           0.05
   Financing!B7                             Haircut, stressed market                                       0.15

Liquidity_and_the_Redemption_Blank.xlsx  (30 inputs)

   Inputs!B5                                Net assets before the shock                                    840000000
   Inputs!B6                                Units in issue                                                 8400000
   Inputs!B7                                Stress multiplier on spreads                                   4
   Inputs!B8                                Stress multiplier on impact                                    3
   Inputs!B9                                First redemption, share of net assets                          0.25
   Inputs!B10                               Each later redemption, share                                   0.1
   Inputs!B15                               Investment-grade credit: market value                          252000000
   Inputs!C15                               Investment-grade credit: spread duration                       6.2
   Inputs!D15                               Investment-grade credit: shock, bp                             120
   Inputs!E15                               Investment-grade credit: days to sell                          2
   Inputs!F15                               Investment-grade credit: half-spread                           0.0015
   Inputs!B16                               High yield: market value                                       294000000
   Inputs!C16                               High yield: spread duration                                    3.8
   Inputs!D16                               High yield: shock, bp                                          450
   Inputs!E16                               High yield: days to sell                                       8
   Inputs!F16                               High yield: half-spread                                        0.0045
   Inputs!B17                               Leveraged loans: market value                                  210000000
   Inputs!C17                               Leveraged loans: spread duration                               0.25
   Inputs!D17                               Leveraged loans: shock, bp                                     300
   Inputs!E17                               Leveraged loans: days to sell                                  20
   Inputs!F17                               Leveraged loans: half-spread                                   0.008
   Inputs!B18                               Structured credit: market value                                84000000
   Inputs!C18                               Structured credit: spread duration                             4.5
   Inputs!D18                               Structured credit: shock, bp                                   600
   Inputs!E18                               Structured credit: days to sell                                30
   Inputs!F18                               Structured credit: half-spread                                 0.014
   Inputs!B19                               Investment-grade credit: impact coefficient                    0.001
   Inputs!C19                               High yield: impact coefficient                                 0.0035
   Inputs!D19                               Leveraged loans: impact coefficient                            0.006
   Inputs!E19                               Structured credit: impact coefficient                          0.011

The switches stay as they are and are not inputs to fill: the impact coefficient scale (Inputs!B35
of The_Four_Numbers, 1) and the correlation matrix switch (Inputs!B11 of VaR_ES_and_the_Backtest, 1).
The diagonals of the correlation matrices stay at 1.
