1. The table gives the 99% Value-at-Risk (VaR) for each security using various methods at 1-day horizon, 10-day horizon and 1-month horizon

2. Normal (Variance-covariance) analysis is based on the assumption that financial returns are normally distributed

3. The Historical Simulation method uses empirical percentiles from the historical return distribution

4. Weighted Normal and Weighted Historical Simulation methods use exponentially declining weights that give more weight to recent past than distant past

5. VaR of a portfolio of securities computed as the weighted sum of individual security VaR would provide a more conservative estimate than VaR computed directly for the entire portfolio

6. To compute the Capital charge, multiply the appropriate VaR numbers with a scale factor of 3 (or any other number as desired by RBI).

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