Value At Risk

Probability of Non-Occurance		68.30%	90.00%	95.50%	99.70%
Confidence Level		84.00%	95.00%	97.50%	99.90%
	1 DAY	49.8850	49.8950	49.8800	49.9100
		49.8500	49.8400	49.8550	49.8250
	10 DAYS	49.9150	49.9950	50.0150	50.0650
		49.8200	49.7400	49.7200	49.6700
	15 DAYS	49.9500	50.0200	50.0350	50.1150
		49.7850	49.7150	49.7000	49.6200
Spot Rate basis : 49.865			Volatility per annum : 1.5%

Value at Risk (VaR) is a Risk Management and a Management Concept and is defined as an estimate of potential loss in a position or asset or portfolio of assets over a given holding period at a given level of certainty. Thus VaR measures the probability of loss for a given period of time over which the position is held while the given time period could vary from one day to a week to a month or a year. This VaR will change if the holding period of an instrument/position is changed which of course depends on the liquidity of the instrument/market. Thus, VaR measures potential loss and not potential gain. This Loss might arise out of an unexpected happening but the maximum amount of loss that might be sustained can be determined mathematically at varying degrees of certainty for a given range of volatility per annum. These varying levels of confidence use different Standard Deviations and are depicted in the chart below :

STANDARD DEVIATION PROBABILITY OF NON-OCCURANCE LEVEL OF CONFIDENCE 1 68.3% 84% 1.65 90% 95% 2 95.5% 97.5% 3 99.7% 99.9%

A Table is compiled below showing the Risk of a Loss in U.S.Dollar Vs. Indian Rupee if it held on for a period of One Day, 10 Days and 15 Days at all the aforementioned levels of confidence. This Table is dynamic and continually calculates both the upside and downside rates that the USD/INR might attain at the specified probability and at the present volatility of the currency. The Base Rate on which it is calculated is mentioned on top of the Table and the Volatility is automatically generated from our Real-Time Prices.