### Toy Problems

Base Case:

- Position: short on 135 contracts on a hypothetical future
- Future contract cash flow: daily variation margin settlement in the next morning
- Collateral: cash
- Liquidity risk parameter: up 200 / day for an orderly liquidation process
- Market risk: suppose mapping into only one risk factor; 10,000 scenarios

**Close-out strategy (trades start on T+2): **

**Worst case:** Buy 135 contracts **at the end of T+2**

Calculation of the worst accumulated cash flow by each one of the **10.000 scenarios**

1 scenario, 1 line, 1 10-day price path: **accumulated shock** in each 10** risk horizons**

- Worst case for a short position on one risk factor: extreme positive shocks

Risk horizon (days) |
1 |
2 |
3 |
4 |
5 |
6 |
7 |
8 |
9 |
10 |

Accumulated shock |
8,4% |
12,0% |
15,4% |
18,0% |
20,0% |
21,5% |
22,6% |
23,4% |
24,0% |
24,5% |

Daily shock |
8,4% |
3,3% |
3,0% |
2,3% |
1,7% |
1,3% |
0,9% |
0,7% |
0,5% |
0,4% |