Benchmark risk analysis models | RIVM

5,905HSRUW %HQFKPDUNULVNDQDO\VLVPRGHOV %-0$OH*$0*ROEDFK'*RRV.+DP /$0-DQVVHQ656KLHOG _{$9,9(QVFKHGH} _{'195RWWHUGDP} _{7120(3$SHOGRRUQ} _{6$9($SHOGRRUQ} _{6KHOO*OREDO6ROXWLRQV/RQGHQ}

'LW RQGHU]RHN ZHUG YHUULFKW LQ RSGUDFKW YDQ KHW 0LQLVWHULH YDQ 9RONVKXLVYHVWLQJ 5XLPWHOLMNH2UGHQLQJHQ0LOLHXEHKHHULQKHWNDGHUYDQSURMHFWQU

7KLV UHSRUW KDV EHHQ FRPPLVVLRQHG E\ WKH 0LQLVWU\ RI +RXVLQJ 6SDWLDO 3ODQQLQJ DQG WKH (QYLURQPHQWZLWKLQWKHIUDPHZRUNRISURMHFW

5,90UHSRUWSDJHRI

$EVWUDFW

$ VRFDOOHG EHQFKPDUN H[HUFLVH ZDV LQLWLDWHG LQ ZKLFK WKH UHVXOWV RI ILYH VHWV RI WRROV DYDLODEOHLQWKH1HWKHUODQGVZRXOGEHFRPSDUHG,QWKHEHQFKPDUNH[HUFLVHDTXDQWLILHGULVN DQDO\VLVZDVSHUIRUPHGRQD±K\SRWKHWLFDOQRQH[LVWLQJKD]DUGRXVHVWDEOLVKPHQWORFDWHGRQ DUDQGRPO\FKRVHQORFDWLRQLQWKH1HWKHUODQGV7KHSODQWZDVFKRVHQWRFRYHUPDQ\RIWKH VFHQDULR¶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 WRROV ZLOO DOVR RFFXU DV WKH DSSOLFDWLRQRIWKHPHWKRGVDVGHVFULEHGLQWKHFRORXUHGERRNVLVQRWSUHVFULEHGE\ODZ,WLV QRWWREHH[SHFWHGWKDWWKHFRPSHWHQWDXWKRULWLHVZLOOEHDEOHWRGHWHFWWKHVHGHYLDWLRQVQRU WKDWWKH\ZRXOGFRQVLVWHQWO\LQVLVWWKDWWKHFRORXUHGERRNVDUHIROORZHGUHOLJLRXVO\

1RWPDQ\GLIIHUHQFHVZHUHIRXQGLQWKHFRQVHTXHQFHVDQGIUHTXHQFLHVXVHGIRUWKRVHHYHQWV WKDW DUH OLVWHG LQ WKH FRORXUHG ERRNV 7KH OHVV WKH PHWKRGRORJ\ IRU WKH FDOFXODWLRQ RI WKH HIIHFWVRIFHUWDLQVFHQDULR¶VLVHVWDEOLVKHGWKHODUJHUWKHGLIIHUHQFHVWKDWZHUHIRXQGEHWZHHQ WKHUHVXOWVRIWKHSDUWLFLSDQWVDVFRXOGEHH[SHFWHG

7KHUHVXOWVIRUDOOSDUWLFLSDQWVZHUHIRXQGODUJHO\ZLWKLQRQHRUGHURIPDJQLWXGH6LQFHWKH HDUOLHU EHQFKPDUN H[HUFLVHV WKH VLWXDWLRQ ZLWK UHVSHFW WR WKH VSUHDG LQ WKH UHVXOWV KDV LPSURYHGWUHPHQGRXVO\DQGPRUHLPSURYHPHQWVDUH GLIILFXOWLI DW DOOREWDLQDEOH XQOHVV WKH DSSOLFDWLRQRIWKHSUHVFULSWLRQVRIWKHFRORXUHGERRNVLVPDGHDOHJDOUHTXLUHPHQW

SDJHRI 5,90UHSRUW

6DPHQYDWWLQJ

+HW LV ZHOEHNHQG GDW GH UHVXOWDWHQ YDQ ULVLFRDQDO\VHV DDQ]LHQOLMN XLWHHQ NXQQHQ ORSHQ DIKDQNHOLMN YDQ GH JHEUXLNWH PHWKRGH HQ YDQ GH ELM GH DQDO\VH JHKDQWHHUGH DDQQDPHQ 'DDURPKHHIWKHWEHYRHJGJH]DJHHQDDQWDOUDSSRUWHQODWHQPDNHQPHWDOVGRHOGHJHEUXLNWH PHWKRGRORJLH WRW RS ]HNHUH KRRJWH WH VWDQGDDUGLVHUHQ 'H]H ERHNHQ GLH GH PHWKRGHQ EHVFKULMYHQYRRUKHWEHUHNHQHQYDQNDQVHQKHW5RGH%RHNKHWEHUHNHQHQYDQHIIHFWHQKHW *HOH%RHNHQKHWEHUHNHQHQYDQVFKDGHKHW*URHQH%RHN]LMQDOYHOHMDUHQEHVFKLNEDDU 6LQGV NRUW ]LMQ ULFKWOLMQHQ YRRU KHW XLWYRHUHQ YDQ HHQ ULVLFRDQDO\VH KHW 3DDUVH %RHN EHVFKLNEDDU +LHULQZRUGHQ DDQZLM]LQJHQJHJHYHQ YRRU KHWJHEUXLN YDQ GH DQGHUH ERHNHQ ZRUGHQVWDQGDDUGVFHQDULR¶VJHJHYHQHQGHGDDUELMWHJHEUXLNHQIUHTXHQWLHV

(HQ ]RJHQDDPGH EHQFKPDUN VWXGLH LV RQGHUQRPHQ ZDDULQ GH UHVXOWDWHQ YDQ YLMI JHUHHGVFKDSSHQ ]LMQ YHUJHOHNHQ GLH LQ 1HGHUODQG YHUNULMJEDDU ]LMQ 'H]H JHUHHGVFKDSSHQ ]LMQFRPELQDWLHVYDQPHWKRGHQHQVRIWZDUH,QGH]HEHQFKPDUNVWXGLHLVHHQULVLFRDQDO\VH XLWJHYRHUG YDQ HHQ GHQNEHHOGLJH LQULFKWLQJ PHW JHYDDUOLMNH VWRIIHQ GLH ]LFK RS HHQ ZLOOHNHXULJJHNR]HQSODDWVLQ1HGHUODQGEHYLQGW'HLQULFKWLQJZDV]RJHNR]HQGDWYHHOYDQ GH VFHQDULR¶V GLH LQ HHQ ZHUNHOLMNH DQDO\VH ]XOOHQ YRRUNRPHQ DDQ ERG NRPHQ ]RDOV KHW YULMNRPHQ YDQ EUDQGEDUH HQ JLIWLJH VWRIIHQ YORHLVWRIIHQ JDVVHQ HQ WRW YORHLVWRI YHUGLFKWH JDVVHQ YDWHQ HQ OHLGLQJHQ HWF 0HW LHGHU JHUHHGVFKDS LV HHQ YROOHGLJH ULVLFRDQDO\VH XLWJHYRHUG 'H GHHOQHPHUV ZHUG JHYUDDJG RP GH]H DQDO\VH XLW YRHUHQ RYHUHHQNRPVWLJ GH ULFKWOLMQHQXLWGHJHNOHXUGHERHNHQ,HGHUHGHHOQHPHUZHHNHFKWHURSppQ RI PHHU SODDWVHQ YDQGHYRRUVFKULIWHQDI6RPVRPGDWGHEHVFKLNEDUHVRIWZDUHGDWQRGLJPDDNWHVRPVRPGDW PHQKHWYRRUVFKULIWWHPRHLOLMNXLWYRHUEDDUYRQGHQVRPVRPGDWPHQSULQFLSLHHOHHQDQGHUH PHWKRGH YRRUVWRQG 2SJHPHUNW ZRUGW GDW GH]H YHUVFKLOOHQ RRN LQ GH SUDNWLMN ]XOOHQ YRRUNRPHQ,PPHUVKHWWRHSDVVHQYDQGHJHNOHXUGHERHNHQLVJHHQZHWWHOLMNYRRUVFKULIW+HW NDQQLHWZRUGHQYHUZDFKWGDWKHWEHYRHJGJH]DJ]XONHDIZLMNLQJHQ]DORQWGHNNHQ2RNNDQ QLHW ZRUGHQ YHUZDFKW GDW PHQ FRQVHTXHQW KHW WRHSDVVHQ YDQ GH JHNOHXUGH ERHNHQ ]DO YHUODQJHQ

7RFK]LMQHUWXVVHQGHGHHOQHPHUVJHHQJURWHYHUVFKLOOHQJHYRQGHQLQGHHIIHFWEHUHNHQLQJHQ HQ GH IUHTXHQWLHWRHZLM]LQJ ZDQQHHU GH VFHQDULR¶V LQ GH JHNOHXUGH ERHNHQ ]LMQ EHKDQGHOG +RH VOHFKWHU HFKWHU GH WRH WH SDVVHQ PHWKRGH EHNHQG LV RI LV EHVFKUHYHQ KRH JURWHU GH DIZLMNLQJHQWXVVHQGHGHHOQHPHUV]RDOVNRQZRUGHQYHUZDFKW

'H XLWNRPVWHQ YDQ GH GHHOQHPHUV ORSHQ RQJHYHHU ppQ RUGH YDQ JURRWWH XLWHHQ 'LW LV LQ YHUJHOLMNLQJ PHW HHUGHUH EHQFKPDUN VWXGLHV HHQ DDQ]LHQOLMNH YHUEHWHULQJ 9HUGHUH YHUEHWHULQJHQ]LMQPRHLOLMNWHUHDOLVHUHQ]RQGHUGHYRRUVFKULIWHQLQGHJHNOHXUGHERHNHQWRW ZHWWHOLMNYHUHLVWHWHPDNHQ

+HWLVDDQEHYHOHQVZDDUGLJGHPHWKRGHQWHLQYHQWDULVHUHQGLHLQ1HGHUODQGLQKHWNDGHUYDQ H[WHUQH YHLOLJKHLGVEHUHNHQLQJHQ ZRUGHQ DDQYDDUG PDDU GLH QLHW LQ GH JHNOHXUGH ERHNHQ ZRUGHQEHVFKUHYHQ'H]HPHWKRGHQJHYHQDDQ]LHQOLMNDIZLMNHQGHXLWNRPVWHQ+HWLVRRNDDQ WHEHYHOHQGDWULVLFRDQDOLVWHQGH]HDIZLMNLQJHQH[SOLFLHWPDNHQ

7HQVORWWH PRHW HURS ZRUGHQ JHZH]HQ GDW RRN HHQ JOREDOH ULVLFRVFKDWWLQJ ]RUJYXOGLJ PRHW ZRUGHQXLWJHYRHUG

5,90UHSRUWSDJHRI

6XPPDU\

,W LV ZHOO NQRZQ WKDW WKH UHVXOWV RI ULVN DQDO\VHV PD\ YDU\ FRQVLGHUDEO\ GHSHQGLQJ RQ WKH PHWKRGRORJ\XVHGDQGWKHDVVXPSWLRQVXQGHUO\LQJWKHDQDO\VLV)RUWKLVUHDVRQDQXPEHURI UHSRUWVKDYHEHHQFRPPLVVLRQHGRQEHKDOIRIWKHDXWKRULWLHVWRVWDQGDUGLVHWRDFHUWDLQH[WHQW WKHDQDO\VLVPHWKRGRORJ\7KHVHERRNVGHVFULELQJWKHPHWKRGVWRFDOFXODWHSUREDELOLWLHVWKH 5HG %RRN WKH PHWKRGV WR FDOFXODWH FRQVHTXHQFHV WKH <HOORZ %RRN DQG PHWKRGV WR FDOFXODWHGDPDJHWKH*UHHQ%RRNKDYHEHHQDYDLODEOHIRUPDQ\\HDUV

5HFHQWO\ JXLGHOLQHV IRU SHUIRUPLQJ D ULVN DQDO\VLV WKH 3XUSOH %RRN JLYLQJ DPRQJ RWKHU JXLGDQFHIRUWKHXVHRIWKHVHERRNVVWDQGDUGVFHQDULRVHOHFWLRQDQGIUHTXHQF\DWWULEXWLRQKDV EHHQLVVXHG

$ VRFDOOHG EHQFKPDUN H[HUFLVH ZDV LQLWLDWHG LQ ZKLFK WKH UHVXOWV RI ILYH VHWV RI WRROV DYDLODEOHLQWKH1HWKHUODQGVZRXOGEHFRPSDUHG,QWKHEHQFKPDUNH[HUFLVHDTXDQWLILHGULVN DQDO\VLVZDVSHUIRUPHGRQD±K\SRWKHWLFDOQRQH[LVWLQJKD]DUGRXVHVWDEOLVKPHQWORFDWHGRQ DUDQGRPO\FKRVHQORFDWLRQLQWKH1HWKHUODQGV7KHSODQWZDVFKRVHQWRFRYHUPDQ\RIWKH VFHQDULR¶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 WRROV ZLOO DOVR RFFXU DV WKH DSSOLFDWLRQRIWKHPHWKRGVDVGHVFULEHGLQWKHFRORXUHGERRNVLVQRWSUHVFULEHGE\ODZ,WLV QRWWREHH[SHFWHGWKDWWKHFRPSHWHQWDXWKRULWLHVZLOOEHDEOHWRGHWHFWWKHVHGHYLDWLRQVQRU WKDWWKH\ZRXOGFRQVLVWHQWO\LQVLVWWKDWWKHFRORXUHGERRNVDUHIROORZHGUHOLJLRXVO\

1RWPDQ\GLIIHUHQFHVZHUHIRXQGLQWKHFRQVHTXHQFHVDQGIUHTXHQFLHVXVHGIRUWKRVHHYHQWV WKDW DUH OLVWHG LQ WKH FRORXUHG ERRNV 7KH OHVV WKH PHWKRGRORJ\ IRU WKH FDOFXODWLRQ RI WKH HIIHFWVRIFHUWDLQVFHQDULR¶VLVHVWDEOLVKHGWKHODUJHUWKHGLIIHUHQFHVWKDWZHUHIRXQGEHWZHHQ WKHUHVXOWVRIWKHSDUWLFLSDQWVDVFRXOGEHH[SHFWHG

7KHUHVXOWVIRUDOOSDUWLFLSDQWVZHUHIRXQGODUJHO\ZLWKLQRQHRUGHURIPDJQLWXGH6LQFHWKH HDUOLHU EHQFKPDUN H[HUFLVHV WKH VLWXDWLRQ ZLWK UHVSHFW WR WKH VSUHDG LQ WKH UHVXOWV KDV LPSURYHG WUHPHQGRXVO\ DQG WKDW LPSURYHPHQWV DUH GLIILFXOW LI DW DOO REWDLQDEOH XQOHVV WKH DSSOLFDWLRQRIWKHSUHVFULSWLRQVRIWKHFRORXUHGERRNVLVPDGHDOHJDOUHTXLUHPHQW

,WLVDGYLVDEOHWRWDNHVWRFNRIWKRVHPHWKRGRORJLHVZKLFKDUHDFFHSWDEOHIRUXVHLQWKHUHDOP RI H[WHUQDO VDIHW\ SROLF\ LQ WKH 1HWKHUODQGV EXW ZKLFK DUH QRW GHVFULEHG LQ DQ\ RI WKH FRORXUHGERRNV7KHVHGHYLDWLQJPHWKRGRORJLHVWHQGWRJLYHVXEVWDQWLDOO\GLIIHUHQWUHVXOWV ,WLVDOVRDGYLVDEOHWRKDYHFRQVXOWDQWVPDNHDOOWKHGHYLDWLRQVIURPWKHSUHVFULSWLRQVLQWKH FRORXUHGERRNVH[SOLFLW

+RZHYHU LW VKRXOG EH ERUQH LQ PLQG WKDW HYHQ DSSUR[LPDWH ULVN DQDO\VHV VKRXOG EH SHUIRUPHGZLWKFDUH

SDJHRI 5,90UHSRUW

&RQWHQWV

 ,1752'8&7,21    &216,67(1&<$&&85$&<$1'81&(57$,17<    7+(352&(66   7+(3$57,&,3$176    $9,9   '19   6$9(   6+(//    712    7+((67$%/,6+0(17    $&5</21,75,/6725$*(7$1.   &+/25,1(7$1.   35(6685,6(')/$00$%/(6   (7+</(1(2;,'(7$1.   68/3+85',2;,'(7$1.   3(67,&,'(6725$*(   +<'52*(168/3+,'(+6/,1(   /,1(6   0$56+$//,1*<$5'   $'',7,21$/'$7$   5,6.$1$/<6,6    (9(176   )5(48(1&,(6   &216(48(1&(6   5,6.   5(68/76    ,1',9,'8$/5,6.   62&,(7$/5,6.   ',6&866,21$1'&21&/86,21   5()(5(1&(6  $33(1',;6800$5<2)7+(5(68/76  $33(1',;7+(3/$17   $33(1',;0$,/,1*/,67 

5,90UHSRUWSDJHRI

 ,QWURGXFWLRQ

)RUVRPHILIWHHQ\HDUVQRZWKHH[WHUQDOVDIHW\SROLF\LQWKH1HWKHUODQGVKDVEHHQEDVHGRQ TXDQWLILHG ULVN DQG TXDQWLILHG FULWHULD 7KHVH FULWHULD KDYH EHHQ IRUPXODWHG LQ SROLF\ GRFXPHQWV ,W LV WKH LQWHQWLRQ WR LQFUHDVH WKH VWDWXV RI WKHVH FULWHULD E\ PDNLQJ WKHP LQWR UHTXLUHPHQWVRIHQYLURQPHQWDOTXDOLW\XQGHUWKH/DZRQWKH(QYLURQPHQW

,W LV ZHOO NQRZQ WKDW WKH UHVXOWV RI ULVN DQDO\VHV PD\ YDU\ FRQVLGHUDEO\ GHSHQGLQJ RQ WKH PHWKRGRORJ\XVHGDQGRQWKHDVVXPSWLRQVXQGHUO\LQJWKHDQDO\VLV)RUWKLVUHDVRQDQXPEHU RI UHSRUWV KDYH EHHQ FRPPLVVLRQHG RQ EHKDOI RI WKH DXWKRULWLHV WR VWDQGDUGLVH WR D FHUWDLQ H[WHQWWKHDQDO\VLVPHWKRGRORJ\

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WKHPHWKRGVWRFDOFXODWHFRQVHTXHQFHVWKH<HOORZ%RRN &35 >@ DQG PHWKRGV WR FDOFXODWH GDPDJH WKH *UHHQ %RRN >@ KDYH EHHQ DYDLODEOH IRU PDQ\\HDUV

5HFHQWO\JXLGHOLQHVIRUSHUIRUPLQJDULVNDQDO\VLVWKH3XUSOH%RRN>@JLYLQJDPRQJRWKHU JXLGDQFHIRUWKHXVHRIWKHVHERRNVVWDQGDUGVFHQDULRVHOHFWLRQDQGIUHTXHQF\DWWULEXWLRQKDV EHHQLVVXHG

7KHTXHVWLRQWKDWDULVHVVXEVHTXHQWO\LVWRZKDWH[WHQWWKHVHJXLGHOLQHVOHDGWRDUHGXFWLRQLQ WKH VSUHDG RIWKH UHVXOWV RI WKH VHWV RI WRROV IRU SHUIRUPLQJ ULVN DQDO\VLV WKDW DUH FXUUHQWO\ DYDLODEOHLQWKHPDUNHW7RILQGDQDQVZHUWRWKLVTXHVWLRQDVRFDOOHGEHQFKPDUNH[HUFLVH ZDV LQLWLDWHG LQ ZKLFK WKH UHVXOWV RI IRXU RI WKH VHWV RI WRROV PRVW FRPPRQO\ XVHG LQ WKH 1HWKHUODQGVZRXOGEHFRPSDUHG,QWKHFRXUVHRIWKHLQYHVWLJDWLRQDILIWKVHWRIWRROVHQWHUHG WKHPDUNHW,WZDVGHFLGHGWRDGGWKLVVHWRIWRROVWRWKHLQYHVWLJDWLRQ

,QWKHEHQFKPDUNH[HUFLVHDTXDQWLILHGULVNDQDO\VLVZDVSHUIRUPHGRQD±K\SRWKHWLFDOQRQ H[LVWLQJKD]DUGRXVHVWDEOLVKPHQWORFDWHGRQDUDQGRPO\FKRVHQORFDWLRQLQWKH1HWKHUODQGV 8VLQJHDFKSDUWLFLSDWLQJPHWKRGDOLVWRIVFHQDULR¶VZDVJHQHUDWHGWKHDVVRFLDWHGIUHTXHQFLHV HVWDEOLVKHG DQG D FRPSOHWH ULVN DQDO\VLV SHUIRUPHG 7KH UHVXOWV RI WKHVH DQDO\VHV ZHUH FRPSDUHG

7KH LQYHVWLJDWLRQ LQWR WKH XQGHUO\LQJ FDXVHV RI UHVXOWLQJ GLIIHUHQFHV ZDV QRW SDUW RI WKLV VWXG\

5,90UHSRUWSDJHRI

 &RQVLVWHQF\DFFXUDF\DQGXQFHUWDLQW\

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

,Q DQ\ FDVH ODUJH GLIIHUHQFHV EHWZHHQ DQDO\VWV FDQ EH H[SHFWHG ZLWKRXW JXLGDQFH DV WKLV UHIOHFWVWKHFXUUHQWVWDWHRINQRZOHGJH(YHQDOWKRXJKRQDZRUOGZLGHVFDOHDFFLGHQWVDQG LQFLGHQWVFDQQRWEHFDOOHGUDUHHYHQWVWKHVWDWLVWLFDOEDVLVIRUWKHGDWDUHPDLQVVPDOO

$V ODUJH VFDOH H[SHULPHQWV DUH DOVR UDUH DQG LQFUHDVLQJO\ GLIILFXOW WR RUJDQLVH ERWK IRU ILQDQFLDOUHDVRQVDVIRUDYDLODELOLW\RIWHVWVLWHVWKHH[SHULPHQWDOEDVLVIRUYDULRXVPRGHOV VXFKDVWKHGLVSHUVLRQPRGHOZKLFKLVFHQWUDOWRWKHFDOFXODWLRQVUHPDLQVVPDOODOVR

7KHUHIRUHWKHUHVXOWVRIWKLVH[HUFLVHKRZIDYRXUDEOHLWPD\EHVKRXOGQRWEOLQGWKHXVHUVRI WKHUHVXOWVIRUWKHXQFHUWDLQWLHVDQGLQDFFXUDFLHVLQKHUHQWLQWKHPHWKRGRORJ\

5,90UHSRUWSDJHRI

 7KHSURFHVV

7KHEHQFKPDUNH[HUFLVHLVQRWKLQJOHVVDQGQRWKLQJPRUHWKDQDFRPSDULVRQRIWKHUHVXOWVRI DTXDQWLILHGULVNDQDO\VLVSHUIRUPHGE\ILYHGLIIHUHQWSDUWLFLSDQWVHDFKXVLQJLWVRZQWRROV 7KH FRPPRQ JURXQG IRU WKH DQDO\VLV ZDV D K\SRWKHWLFDO SODQW ORFDWHG DW VRPH VSRW LQ WKH 1HWKHUODQGVDVWRSURYLGHUHDOLVWLFGDWDIRUSRSXODWLRQZHDWKHUDQGZLQG

7KHSODQWZDVFKRVHQWRFRYHUPDQ\RIWKHVFHQDULR¶VWKDWZLOOEHSDUWRIDUHDODQDO\VLVVXFK DVWKHUHOHDVHRIIODPPDEOHDQGWR[LFFORXGVOLTXLGVJDVHVDQGOLTXHILHGJDVHVYHVVHOVDQG SLSHV HWF $ UHDO SODQW KDV PDQ\ GHWDLOV LQ LWV GHVLJQ DQG RSHUDWLRQ WKDW LQIOXHQFH WKH ULVN UHVXOWV0RVWRIWKHVHGHWDLOVKDYHEHHQOHIWRXW7KH\GRQRWFRQWULEXWHWRWKHSXUSRVHRIWKH H[HUFLVHZKLFKLVFRPSDULQJUHVXOWVRIULVNFDOFXODWLRQVDQGPDNHGHWHFWLRQRIWKHFDXVHVRI GLIIHUHQFHVXQQHFHVVDULO\GLIILFXOW

$IWHU LW ZDV HVWDEOLVKHG WKDW DOO SDUWLFLSDQWV XQGHUVWRRG WKH GHVFULSWLRQ RI WKH SODQW LQ WKH VDPH ZD\ HDFK SDUWLFLSDQW GHYHORSHG DQ HYHQW OLVW ZKLFK ZDV GLVFXVVHG EHWZHHQ WKH SDUWLFLSDQWV,QFDVHVZHUHGLIIHUHQFHVFRXOGEHDWWULEXWHGWRPLVLQWHUSUHWDWLRQRIWKHFRORXUHG ERRNVEDGO\GHILQHGIHDWXUHVRIWKHPRGHOSODQWRUMXVWSODLQPLVWDNHVWKHVHZHUHUHSDLUHG 6XEVHTXHQWO\ WKH DQDO\VHV ZHUH FDUULHG RXW WR WKH HQG (DFK SDUWLFLSDQW FDOFXODWHG WKH LQGLYLGXDOULVNFRQWRXUVDQGWKHVRFLHWDOULVNFXUYHV)1FXUYHVIRUHDFKVHFWLRQRIWKHSODQW DQGIRUWKHWRWDO

7KHVHUHVXOWVZHUHFRPSDUHGDJDLQ$JDLQVRPHGLIIHUHQFHVFRXOGEHDWWULEXWHGWRGLIIHUHQW LQWHUSUHWDWLRQVRIWKHLQLWLDOSODQWGDWDDQGZHUHUHSDLUHGOHDGLQJWRWKHILQDOUHVXOWV

7KHPHWKRGRORJLHVXVHGE\WKHILYHSDUWLFLSDQWVZHUHWDNHQDVWKH\DUH1RDWWHPSWZDVPDGH WR FKDQJH RU DGDSW PRGHOV RU IRUFH SDUWLFLSDQWV WR DGKHUH WR WKH PHWKRGV RI WKH FRORXUHG ERRNV LI WKH\ WKRXJKW WKH\ KDG JRRG UHDVRQ WR GHYLDWH 7KH 3XUSOH %RRN DOORZV VXFK GHYLDWLRQVZKHQVXIILFLHQWO\DUJXHGDQGGLIIHUHQFHVGXHWRVXFKGHYLDWLQJPHWKRGVWKHUHIRUH FDQEHHQFRXQWHUHGLQSUDFWLFH

,QWKHVHUHVXOWVWKHGLIIHUHQFHVDUHGXHWRGLIIHUHQFHVLQLQWHUSUHWDWLRQDQGPHWKRGVZLWKLQWKH ERXQGDULHVJLYHQE\WKHFRORXUHGERRNVDQGWKHUHIRUHDUHGLIIHUHQFHVWKDWFRXOGEHH[SHFWHG WRRFFXULQSUDFWLFH

5,90UHSRUWSDJHRI

 7KHSDUWLFLSDQWV

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

 $9,9

$9,9LVDFRQVXOWDQF\EXUHDXORFDWHGLQ(QVFKHGH,WKDVVRPH\HDUVRIH[SHULHQFHLQWKH ILHOGRIULVNDQDO\VLV,WGHYHORSHGLWVRZQVRIWZDUH5,6.&$/&$9,9XVHVWKLVVRIWZDUH DQG VHOOV LW 5,6.&$/& LV D VHPLDXWRPDWHG V\VWHP 7KH XVHU KDV WR GHILQH KLV RZQ VFHQDULR¶VDQGDWWULEXWHIUHTXHQFLHV6RPHPDQXDORSHUDWLRQVDUHQHFHVVDU\WRWUDQVIHUGDWDRI WKHFRQVHTXHQFHDQDO\VLVSDUWWRWKHULVNFDOFXODWLRQSDUW

 '19

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

 6$9(

6$9( LV D FRQVXOWDQF\ EXUHDX ORFDWHG LQ $SHOGRRUQ 7KH EXUHDX KDV VRPH  \HDUV RI H[SHULHQFH,WGHYHORSHGLWVRZQVRIWZDUHXQGHUWKHQDPHRI6$9(,,7KHVRIWZDUHFRQVLVWV RIVHSDUDWHFRQVHTXHQFHDQGGDPDJHPRGXOHVWKDWKDYHWREHUXQVHSDUDWHO\DIWHUWKHLQLWLDO HYHQWVKDYHEHHQJHQHUDWHGE\KDQG6$9(,,LVFRPPHUFLDOO\DYDLODEOH

 6+(//

6KHOO *OREDO 6ROXWLRQV LV D QHWZRUN RI WHFKQRORJ\ FRPSDQLHV RI WKH 5R\DO 'XWFK  6KHOO *URXS SURYLGLQJ DQ LQWHJUDWHG SRUWIROLR RI VHUYLFHV WR FRPSDQLHV LQVLGH DQG RXWVLGH WKH JURXS:LWKRYHU\HDUVRIH[SHULHQFHWKH+6(&RQVXOWDQF\WHDPFRYHUVWKHIXOOVSHFWUXP RIWHFKQLFDOVHUYLFHVZLWKLQKHDOWKVDIHW\DQGWKHHQYLURQPHQW+6(

,Q UHFHQW \HDUV VSHFLDOLVW VRIWZDUH WRROV IRU KD]DUG FRQVHTXHQFH PRGHOOLQJ )5(' DQG TXDQWLWDWLYH ULVN DVVHVVPHQW 6KHOO 6KHSKHUG 'HVNWRS ZHUH GHYHORSHG EDVHG RQ LQKRXVH 5 'DQGVXSSRUWHGE\IXOOVFDOHH[SHULPHQWV7KHVHWRROVSUHYLRXVO\RQO\DYDLODEOHZLWKLQ 6KHOODUHQRZEHLQJPDGHDYDLODEOHWRDOOFRPSDQLHV

SDJHRI 5,90UHSRUW

 712

7120(3LVDJURXSLQWKHODUJH712RUJDQLVDWLRQ,WKDVVRPH\HDUVRIH[SHULHQFHLQ TXDQWLILHG ULVN DQDO\VLV 2I WKH IRXU FRORXUHG ERRNV LW SURGXFHG WZR WKH <HOORZ DQG WKH *UHHQ %RRN 712 XVHV WZR VRIWZDUH SURGXFWV ())(&76 ZKLFK LV WKH VRIWZDUH LPSOHPHQWDWLRQRIWKH<HOORZ%RRNDQG5,6.&859(6ZKLFKXVHVWKHUHVXOWVRI())(&76 WRJHQHUDWHULVNQXPEHUV())(&76LVFRPPHUFLDOO\DYDLODEOH

5,90UHSRUWSDJHRI

 7KHHVWDEOLVKPHQW

7KHK\SRWKHWLFDOHVWDEOLVKPHQWFKRVHQIRUWKHDQDO\VLVLVORFDWHGVRPHZKHUHLQWKHFHQWUHRI WKH 1HWKHUODQGV VXFK WKDW UHDOLVWLF GDWD RQ ZHDWKHU ZLQG DQG SRSXODWLRQ FRXOG EH PDGH DYDLODEOH7KHUHIHUHQFHFRRUGLQDWHVRIWKHSODQWDUHRQWKH'XWFK1DWLRQDO *ULG7KLVORFDWHVWKLVK\SRWKHWLFDOSODQWDORQJWKH$PVWHUGDP5LMQ.DQDDO 7KHSODQWFRQVLVWVRIXQLWVWRSURYLGHDJDPXWRIVFHQDULR¶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³SODQW´ZDVWRSURYLGHDPRGHOIRUDQDO\VLV 7KHUHVXOWVRIWKHDQDO\VHVVKRXOGQRWEHWDNHQDVEHLQJW\SLFDOIRUWKHULVNVRIUHDOSODQWV KDYLQJWKHVHVWRUDJHVRUW\SHVRISURFHVVHV$PDSRIWKHSODQWLVJLYHQLQ$SSHQGL[

 $FU\ORQLWULOVWRUDJHWDQN

7KHUHODWLYHFRRUGLQDWHVRIWKLVXQLWZLWKUHVSHFWWRWKHSODQWFRRUGLQDWHVDUH7KH WDQNLVDYHUWLFDOF\OLQGULFDOWDQNZLWKDGLDPHWHURIPDQGDKHLJKWRIP7KHQRUPDO LQYHQWRU\LVP_{,WLVORFDWHGLQWKHFHQWUHRIVTXDUHEXQGPORQJ7KHKHLJKWRIWKH} EXQGZDOOLVVXFKWKDWWKHEXQGFDQWDNHDOOFRQWHQWV7KHUHLVDKLJKOHYHODODUPWRWKHFRQWURO URRP

$FU\OQLWULO $&1 LVVWRUHG XQGHUDWPRVSKHULF FRQGLWLRQV2Q WRS RI WKH WDQNLV D EOHHGHU YDOYH 7KH PD[LPXP DOORZDEOH RYHU SUHVVXUH LQ WKH WDQN LV  PP +2 7KH P D[LP XP

DOORZDEOHXQGHUSUHVVXUHLVPP+27KHIHHGHUOLQHWRWKHWDQNLVLQGLDPHWHUWKH

SDJHRI 5,90UHSRUW P P ´ ´ P_KU P_KU )LJXUH $FU\ORQLWULOVWRUDJHWDQN 7KHIHHGHUSXPSLVORFDWHGDWWKHMHWW\,WLVFRQWUROOHGIURPWKHFRQWUROURRP$QHPHUJHQF\ VWRSLVORFDWHGDWWKHMHWW\ 7KHGLVFKDUJHOLQHKDVDGLDPHWHURI,WGLVFKDUJHVE\ZD\VRIDSXPSZLWKDUDWHRI PKUWRWKHUDLOFDUORDGLQJIDFLOLW\7KHYDOYHVDUHUHPRWHO\FRQWUROOHGIURPWKHFRQWUROURRP DQGDUHORFDWHGLQWKHEXQG7KHGLVFKDUJHSXPSLVORFDWHGLQWKHEXQG,WLVFRQWUROOHGIURP WKHFRQWUROURRP$QHPHUJHQF\VWRSLVORFDWHGDWWKHORDGLQJIDFLOLW\7KHUDLOFDUVDUHORDGHG XVLQJDKRVHRIGLDPHWHU7KHUDLOFDUVDUHP_{HDFK7KH\DUHRSHUDWHGXQGHUDWPRVSKHULF} FRQGLWLRQV7KHOLQHVWRWKHUDLOZD\FDUORDGLQJGRFNDUHNHSWIXOO 7KHWDQNLVILOOHGIURPDVKLSDWWKHMHWW\$ORDGLQJDUPLVORFDWHGDWWLSRIMHWW\ 7KHOLQHRQWKHMHWW\LVFOHDUHGDIWHUORDGLQJE\SXUJLQJZLWKQLWURJHQ

7KH VKLS LV QRW SDUW RI WKH V\VWHP WR EH DQDO\VHG )RU UHDVRQV RI PRGHOOLQJ WKH VKLS LV FRQVLGHUHGDVDQXQOLPLWHGVXSSO\RI$&11RFROOLVLRQULVNRURWKHUULVNVDVVRFLDWHGZLWKWKH VKLSDUHFRQVLGHUHG 7KHWDQNLVWRSSHGXSHYHU\WKGD\ZLWKSXPSVDWWKHUDWHDVVWDWHGDERYH7KHSDWWHUQRI XQORDGLQJLVGHWHUPLQHGE\WKHUDLOFDUWUDIILFSDWWHUQ

 &KORULQHWDQN

&KORULQHLVVWRUHGXQGHUSUHVVXUHLQDVSKHULFDOWDQNZLWKP_{FDSDFLW\RSHUDWHGDWEDU} 7KHGHVLJQSUHVVXUHRIWKHWDQNLVEDU7KHXQLWLVORFDWHGDWSODQWFRRUGLQDWHV 7KHSUHVVXUHLVPDLQWDLQHGE\DFRROLQJV\VWHP)RUWKHVDNHRIWKHDQDO\VLVLWFDQEHDVVXPHG WKDWWKLVV\VWHPGRHVQRWIDLO

5,90UHSRUWSDJHRI /RDGLQJ DQG XQORDGLQJ RI WKH WDQN WDNHV SODFH WKURXJK D GLSSLSH RI  GLDPHWHU XVLQJ UDLOFDUV7KHSXPSUDWHLVP_{KU7KHSXPSLVORFDWHGDWWKHVWRUDJH7KHORDGLQJDUPXVHG}

DWWKHUDLOFDUIDFLOLW\LVVWDLQOHVVVWHHO

$SUHVVXUHUHOLHIYDOYHLVILWWHGZLWDVHWSUHVVXUHRIEDU7KHYDOYHLVGLDPHWHU7KHYDOYH UHOLHIVWRDVFUXEEHU)RUWKHVDNHRIWKHDQDO\VLVWKHVFUXEEHUFDQEHDVVXPHGWREHHIIHFWLYH ZKHQ FDXVWLF VXSSO\ LV PDLQWDLQHG 0DLQWDLQLQJ FDXVWLF LV SDUW RI WKH VWDQGDUG RSHUDWLQJ SURFHGXUHXQGHUFRQWURORIRSHUDWRU

7KHUDLOFDUVZLWKDYROXPHRIP_{DUH VWDQGDUG (XURSHDQUDLOURDG FDUV 7KHORDGLQJ DQG}

XQORDGLQJOLQHVDUHNHSWIXOO 8QORDGLQJLVFRQWLQXRXVDWDUDWHRIUDLOFDUVSHUZHHN:KHQWKHWDQNLVDOPRVWHPSW\WKH WDQNLVILOOHG)RUWKHVDNHRIWKHDQDO\VLVWKLVILOOLQJLVQRWSDUWRIWKHV\VWHPVRDVIDUDVWKH DQDO\VWVDUHFRQFHUQHGWKHWDQNILOOVLWVHOIE\PDJLF

 3UHVVXULVHGIODPPDEOHV

7ZRVWRUDJHVRISUHVVXULVHGIODPPDEOHVDUHNHSWRQWKHSUHPLVHVRQHZLWKSURSDQHDQGRQH ZLWKEXWDQH 7KHFRRUGLQDWHVRIWKHSURSDQHWDQNDUH,WLVDP_{VSKHUH7KHPD[LPXPILOO} OHYHOLVIXOO3URSDQHLVVWRUHGDWDPELHQWWHPSHUDWXUH7KHSUHVVXUHUHOLHIYDOYHKDVD GLDPHWHURIVHWDWEDU /RDGLQJXQORDGLQJRIWKHWDQNWDNHVSODFHXVLQJUDLOFDUVILWWHGZLWKDYDSRXUUHWXUQOLQH 7KHORDGLQJXQORDGLQJOLQHVDUHLQGLDPHWHU7KHUDLOFDUVDUHORDGHGXVLQJDORDGLQJDUP 7KHSXPSUDWHLVPKU P_KU ´ ´ &DXVWLFLQ &DXVWLFRXW P &KORULQHP 3 EDU 359 EDU *DVUHWXUQOLQH )LJXUH &KORULQHVWRUDJH

SDJHRI 5,90UHSRUW 7KHUDLOFDUVXVHGDUHPVWDQGDUG97*7KHXQORDGLQJSDWWHUQLVGHWHUPLQHGE\WKHWDQN FDUWUDIILF7KHWDQNLVXQORDGHGDWDUDWHRIUDLOFDUVSHUGD\GD\VDZHHN$OVRWKLVWDQN ZKHQHPSW\ILOOVLWVHOIE\PLUDFOH 7KHEXWDQHWDQNLVORFDWHGDW,WLVVLPLODUWRWKHSURSDQHWDQNEXWKDVDYROXPHRI P_{7KHUHDUHOLQHVWRDILOOLQJVWDWLRQIRUOLWHUJDVWDQNV,QWKHVWRUDJHRIWKHVH} WDQNVDUHNHSW)RUWKHVDNHRIWKHDQDO\VLVLWLVDVVXPHGWKDWWKHWDQNLVILOOHGIURPUDLOFDUV FDUVDGD\GD\VDZHHN,WLVDVVXPHGWKDWEXWDQHOHDYHVWKHWDQNDWWKHVDPHUDWH 3URSDQHDQGEXWDQHWDQNDUHNHSWLQDEXQGRI P7KHEXQGLVGHVLJQHGWRWDNHWKH FRQWHQWVRIWKHSURSDQHWDQN

$ ILUH GHWHFWLRQ V\VWHP DQG GHOXJH V\VWHP LV DYDLODEOH 7KH RSHUDWRU KDV WR DFWLYDWH WKH V\VWHPDIWHUWKHDODUPLVUDLVHGLQFRQWUROURRP

 (WK\OHQHR[LGHWDQN

(WK\OHQHR[LGHLVNHSWLQDPEXOOHWWDQNRIPGLDPHWHUDWDPELHQWWHPSHUDWXUH7KHFR RUGLQDWHVRIWKHWDQNDUH$OOFRQQHFWHGSLSHZRUNKDVDGLDPHWHURI7KHWDQNLV HPSWLHGE\DSSO\LQJEDU17KHUDLOFDUVXVHGIRUWKLVFKHPLFDODUHVPDOOHUP7KH\DUH

ILOOHGWRRIWKHLUFDSDFLW\7KHWDQNLVUXQGRZQWRRILWVQRPLQDOYROXPHE\ILOOLQJ UDLO FDUV 7DQN LV WRSSHG XS HYHU\ WK GD\ /RDGLQJ DQG XQORDGLQJ RI WKH UDLOFDUV LV GRQH WKURXJKDORDGLQJDUP P P *DVUHWXUQOLQH ´ ´ P_KU 3URSDQHP _%XWDQHP 359EDU 359EDU 7 DPELHQW 7 DPELHQW )LJXUH 3URSDQHDQGEXWDQHVWRUDJHIDFLOLW\

5,90UHSRUWSDJHRI (WK2[ (WK\OHQHR[LGHP_WRQ 1EDU 359 EDU )LJXUH (WK\OHQHVWRUDJH

 6XOSKXU'LR[LGHWDQN

6XOSKXUGLR[LGHLVVWRUHGDWFRRUGLQDWHV7KHFRQVWUXFWLRQRIWKHWDQNLVWKHVDPH DVWKHHWK\OHQHR[LGHWDQNH[FHSWWKDWHPSW\LQJWDNHVSODFHE\DVXFWLRQSXPS$OVRIRUWKLV FKHPLFDOUDLOFDUVDUHP7KHWDQNLVWRSSHGXSHYHU\WKGD\ 7KH(WK\OHQHR[LGHDQG62WDQNVDUHNHSWRQDFRQFUHWHSODWH

 3HVWLFLGHVWRUDJH

7KHUHLVDEXLOGLQJVL]H  PFRRUGLQDWHV,QWKLVEXLOGLQJSHVWLFLGHVDUH VWRUHGRIZKLFKWKHFRPSRVLWLRQLV&+216&O $VSULQNOHUV\VWHPLVSURYLGHG

 +\GURJHQ6XOSKLGH+



6OLQH

$Q+6OLQHUXQVXQGHUWKHVLWH7KHFRRUGLQDWHVDUH[ 62 62WRQ 359 EDU )LJXUH 6XOSKXUGLR[LGHWDQN

SDJHRI 5,90UHSRUW 7KHGLDPHWHURIWKHOLQHLVPPWKHSUHVVXUHLVEDUWKHGHSWKLVP7KHOLQHKDV EORFNYDOYHVHYHU\NP7KHFORVLQJWLPHRIWKHVHYDOYHVDIWHUWKHFRQWUROURRPEHFRPHV DZDUHRIDOHDNLVPLQXWHV7KHOLQHLVRILQILQLWHOHQJWK+6LVWREHWDNHQDVWR[LFRQO\ 1RIODPPDEOHHIIHFWVRIWKLVOLQHDUHFRQVLGHUHG1RVSHFLDOSURWHFWLRQPHDVXUHVKDYHEHHQ WDNHQ

 /LQHV

$OOORDGLQJDQGXQORDGLQJOLQHVUXQRYHUSLSHUDFNVDVLQGLFDWHGRQGUDZLQJ,WLVDVVXPHG WKDWWKHOLQHVUXQRYHUWKHFHQWUHFRRUGLQDWHVDVLQGLFDWHG7KHORDGLQJVWDWLRQRIMHWW\LVDW WKHHQG 7KHFRRUGLQDWHVRIWKHOLQHVDUHDVIROORZV

 $FU\ORQLWU\O ORDGLQJ IURP VKLS      

 $FU\ORQLWU\O XQORDGLQJ WR UDLOFDU        &KORULQH  3URSDQH  %XWDQH  (WK\OHQHR[LGH  62          )LJXUH 3LSHZRUN

 0DUVKDOOLQJ\DUG

7KH 0DUVKDOOLQJ \DUG LV XVHG IRU ORDGLQJ DQG XQORDGLQJ UDLO FDUV DQG IRU DVVHPEOLQJGLVDVVHPEOLQJWUDLQV7UDLQVJRPL[HGFDUJRH[FHSW&KORULQH7KHFDUSDWWHUQLVDV

5,90UHSRUWSDJHRI IROORZV $&1  FDUVGD\ &KORULQH  FDUVZHHN 3URSDQH  FDUVGD\ %XWDQH  FDUVGD\ (WKR[WZRP_{FDUVGD\62}

FDUGD\

7UDLQV DUH FROOHFWHG WZLFH SHU GD\ RQH DW  $0  DW QRRQ &KORULQH WUDLQV OHDYH HYHU\ :HGQHVGD\DW)XOO&KORULQHFDUVDUHSDUNHGDWHQGRIWKHPDUVKDOOLQJ\DUG 7KHPDLQOLQHFDUULHVWUDLQVSHUKRXULQHDFKGLUHFWLRQ,HWUDLQVVRXWKRQZHVWHUQWUDFN WUDLQVQRUWKRQHDVWHUQWUDFN7UDFWLRQLVHOHFWULFH[FHSWRQVLGLQJVZKHUHLWLVGLHVHO7KH GDWDRQWUDLQWUDIILFDUHJLYHQIRULJQLWLRQSUREDELOLWLHVLIQHHGHG1RFROOLVLRQULVNLVWDNHQ LQWRDFFRXQWLQWKLVVWXG\ $OOORDGLQJXQORDGLQJWDNHVSODFHRQWUDFNV[DQG[H[FHSW&KORULQHZKLFKLVDW[ 7UDFNV[DQG[KDYHORDGLQJVWDWLRQVHDFK$OOFKHPLFDOVFDQEHKDQGOHGDWHDFK VWDWLRQ7KHORDGLQJVWDWLRQVDUHXQGHUWKHSLSHUDFN 7UDFN[LVHOHFWULILHG

7KH PDUVKDOOLQJ \DUG LV SDUW RI HVWDEOLVKPHQW 1R LQWHUIHUHQFH RI WKH PDLQ WUDFN ZLWK WKH PDUVKDOOLQJ\DUGKDVWREHFRQVLGHUHGQRUFROOLVLRQVRIWUDLQVOHDYLQJHQWHULQJWKH\DUG

 $GGLWLRQDOGDWD

)RUUDLOFDUVVWDQGDUGSURYLVLRQVDJDLQVWRYHUILOOLQJFDQEHDVVXPHG ([FHSWIRU$&1QRVSHFLDOGHVFULSWLRQLVJLYHQZKHUHWKHPDWHULDOZLWKZKLFKWKHYDULRXV WDQNVDUHILOOHGRULJLQDWHV &RQWHQWVSDWWHUQRIDOOWDQNVRIWKHWLPHRIYROXPHILOOHGRIWKHWLPHILOOHG WLPHILOOHG$IWHUSHULRGRIILOOLQJWDQNVDUHWRSSHGXSLQRQHJRDVLQGLFDWHG XQGHUWKHVSHFLILFWDQNV )LOOHGUDLOFDUVDOODUHSDUNHGDWDQG&KORULQHFDUVZDLWDW

5,90UHSRUWSDJHRI

 5LVNDQDO\VLV

7KHSDUWLFLSDQWVZHUHDVNHGWRSHUIRUPDULVNDQDO\VLVDFFRUGLQJWRWKHJXLGHOLQHVJLYHQLQWKH FRORXUHGERRNV6KHOO*OREDO6ROXWLRQVZHUHDVNHGWRGRWKHVDPHHYHQWKRXJKWKH\HQWHUHG WKH SURMHFW LQ D ODWHU VWDJH $OO SDUWLFLSDQWV KRZHYHU KDG GHYLDWLRQV VRPHWLPHV GXH WR WKH DYDLODEOHVRIWZDUHVRPHWLPHVGXHWRDUJXPHQWVRISUDFWLFDOLW\VRPHWLPHVGXHWRPDWWHUVRI SULQFLSOH

7KHVHGHYLDWLRQVFRXOGQRWEHWDNHQDZD\ZLWKRXWH[WHQVLYHO\FKDQJLQJWKHRSHUDWLRQVRIWKH SDUWLFLSDQWVZKLFKZDVIHOWWREHRXWVLGHWKHVFRSHRIWKHH[HUFLVH,WVKRXOGEHQRWHGWKDWLQ SUDFWLFH WKHVH GLIIHUHQFHV EHWZHHQ FRQVXOWDQWV XVLQJ GLIIHUHQW VRIWZDUH WRROV ZLOO DOVR RFFXUDVWKHDSSOLFDWLRQRIWKHPHWKRGVDVGHVFULEHGLQWKHFRORXUHGERRNVLVQRWSUHVFULEHG E\ ODZ ,W LV QRW WR EH H[SHFWHG WKDW WKH FRPSHWHQW DXWKRULWLHV ZLOO EH DEOH WR GHWHFW WKHVH GHYLDWLRQV QRU WKDW WKH\ ZRXOG FRQVLVWHQWO\ LQVLVW WKDW WKH FRORXUHG ERRNV DUH IROORZHG UHOLJLRXVO\

 (YHQWV

)URP WKH HYHQW OLVWV JLYHQ LQ WKH ILYH UHSRUWV RQ WKH FGURP VHYHUDO REVHUYDWLRQV FDQ EH GUDZQ

$OOSDUWLFLSDQWVKDYHWKHVDPHORVVRIFRQWDLQPHQWHYHQWV/2&IRUWKHYHVVHOV'LIIHUHQFHV RFFXU ZLWK WKH /2&¶V IRU SXPSV ORDGLQJ DUPV DQG VLPLODU HTXLSPHQW 6RPH SDUWLFLSDQWV DWWULEXWH HYHQWVDVVRFLDWHGZLWKWKLVHTXLSPHQWWRWKHSLSH ZRUN LQ JHQHUDO 6RPH RI WKHP PDNH WKHVH H[SOLFLW 2I WKH SDUWLFLSDQWV WKH HYHQW OLVWV E\ '19 DQG 712 DUH WKH PRVW GHWDLOHG7KHHYHQWOLVWE\6KHOO*OREDO6ROXWLRQVLVWKHOHDVWGHWDLOHGSDUWO\GXHWRWKHODWH HQWU\LQWRWKHEHQFKPDUNVWXG\7KHIUHTXHQFLHVDWWULEXWHGWRWKHHYHQWVDUHDOOZLWKLQWKH SUHVFULSWLRQVJLYHQE\WKH3XUSOH%RRN ,WVKRXOGEHQRWHGKRZHYHUWKDWFRQVLGHUDEOHGLVFXVVLRQZDVQHHGHGRQHDFKRIWKHHYHQWOLVWV &RQVLGHUDEOHFDUHKDVWREHWDNHQLQWKLVVWDJHWRVHOHFWWKHSURSHUQXPEHUVHYHQIURPWKH 3XUSOH%RRN$VLQPRVWH[WHUQDOVDIHW\UHSRUWVWKHGHWDLOVRIWKHDQDO\VLVDUHQRWJLYHQDQG WKXVFDQQRWEHFKHFNHGE\WKHDXWKRULWLHVDVSHFLDOUHVSRQVLELOLW\OLHVZLWKWKHFRQWUDFWRUDQG WKHRZQHURIWKHHVWDEOLVKPHQW

 )UHTXHQFLHV

1RWPDQ\GLIIHUHQFHVZHUHIRXQGLQWKHIUHTXHQFLHVXVHGIRUWKRVHHYHQWVWKDWDUHOLVWHGLQWKH 3XUSOH%RRN6RPHSDUWLFLSDQWVLQGLFDWHLQWKHLUVHSDUDWHUHSRUWWKDWWKH\ZRXOGKDYH XVHG GLIIHUHQWQXPEHUVLIWKHXVHRIWKH3XUSOH%RRNZRXOGQRWKDYHEHHQSUHVFULEHG1XPEHUV YDU\FRQVLGHUDEO\ZKHQWKH3XUSOH%RRNGRHVQRWJLYHDQ\JXLGDQFHVXFKDVIRUWKHIDLOXUH IUHTXHQF\RIYDOYHV

 &RQVHTXHQFHV

$OWKRXJK WKH FRQGLWLRQV RI WKH H[HUFLVH VSHFLILHG WKH XVH RI <HOORZ %RRN PRGHOV VHYHUDO SDUWLFLSDQWVGHYLDWHGIURPWKLVFRQGLWLRQ6KHOO*OREDO6ROXWLRQVVSHFLILHGH[SOLFLWO\WKDWWKH\ XVHWKHLURZQ%/(9(PRGHOVIRUSUHVVXULVHGIODPPDEOHJDVHV6$9(XVHVFRUUHFWLRQIDFWRUV

SDJHRI 5,90UHSRUW RQ FDOFXODWLRQV SHUIRUPHG ZLWK ROGHU PRGHOV 7KH GLIIHUHQFHV LQ WKH FDOFXODWHG HIIHFW GLVWDQFHVDUHUHIOHFWHGLQWKHILQDO)1FXUYHVE\GLIIHUHQFHVLQWKHIUHTXHQFLHVRIWKHODUJHU HYHQWV7KHVHDUHDVZLOOEHVHHQODWHULQWKLVUHSRUWYHU\OLPLWHG7KHVSUHDGLQFDOFXODWHG HIIHFWGLVWDQFHVLVODUJHUZKHQWKHFRQVHTXHQFHVDUHVPDOOHUZKLFKPD\SDUWO\EHH[SODLQHG E\GLIIHUHQFHVLQGLVFUHWLVDWLRQRIWKHPRGHOFDOFXODWLRQV

 5LVN

,QWKH'XWFKHQYLURQPHQWDOSROLF\WZRTXDQWLWLHVKDYHEHHQGHILQHGWKDWDUHXVHGWRPHDVXUH ULVN

 ,QGLYLGXDO ULVN LV GHILQHG DV WKH SUREDELOLW\ WKDW D SHUVRQ VWD\LQJ DW D IL[HG ORFDWLRQ SHUPDQHQWO\LVNLOOHGDVDUHVXOWRIDQDFFLGHQWLQWKHKD]DUGVRXUFH,WLVH[SUHVVHGLQXQLWV SHU\HDU

 6RFLHWDOULVNLVGHILQHGDVWKHSUREDELOLW\WKDWLQDVLQJOHDFFLGHQWLQWKHKD]DUGVRXUFHD FHUWDLQ QXPEHU RI YLFWLPV LV H[FHHGHG ,W LV H[SUHVVHG DV WKH UHODWLRQVKLS EHWZHHQ WKH QXPEHURISHRSOHNLOOHGDQGWKHSUREDELOLW\SHU\HDUWKDWWKDWQXPEHULVH[FHHGHG:KHQ WKLVUHODWLRQVKLS LV UHSUHVHQWHGLQ D JUDSK LQ ZKLFK WKH ORJDULWKP RI WKH QXPEHU 1 LV SORWWHGDJDLQVWWKHSUREDELOLW\RUIUHTXHQF\RIH[FHHGLQJWKLVQXPEHU)LWLVUHIHUUHGWR DVWKH)1FXUYH

7KHVHTXDQWLWLHVIRUPWKHHQGSRLQWRIWKHFDOFXODWLRQV

7KH FRQVHTXHQFHV FDOFXODWHG HDUOLHU DUH FRPELQHG ZLWK WKH IUHTXHQFLHV DQG ZLWK GDWD RQ SRSXODWLRQ DQG ZHDWKHU WR JHW WKH ULVN UHVXOWV $SDUW IURP RFFDVLRQDO FRQIXVLRQ RYHU WKH GLUHFWLRQRI1RUWKWKHPRVWQRWDEOHSRLQWRIDWWHQWLRQLVWKHJULGUHVROXWLRQXVHGWRJHQHUDWH WKHULVNFRQWRXUVDQGWKH)1FXUYH:LWKWKHVPDOOHUHYHQWVWKDWKDYHDQHIIHFWUDQJHRIRQO\D IHZKXQGUHGPHWHUVWRRODUJHDJULGVL]HPD\OHDGWRYHU\GHYLDWLQJULVNUHVXOWV

7126$9(DQG6KHOO*OREDO6ROXWLRQVXVHWZRZHDWKHUFODVVHVZLWKWKHODWWHUDOORZLQJ ZLQG VSHHGV SHU ZHDWKHU FDWHJRU\ '19 DQG $9,9 XVH VL[ FODVVHV  7KH 3XUSOH %RRN VSHFLILHVWKDWDWOHDVWVL[ZHDWKHUFODVVHVVKRXOGEHXVHGWRFRYHUWKHUDQJHRISRVVLELOLWLHVLQD VXIILFLHQWO\ GHWDLOHG PDQQHU 7KH UHVXOWV DV GHVFULEHG EHORZ VKRZ WKDW WKH GLIIHUHQFHV EHWZHHQWKHPRGHOOLQJUHVXOWVDUHJHQHUDOO\YHU\OLPLWHG

5,90UHSRUWSDJHRI

 5HVXOWV

,Q$SSHQGL[DVXPPDU\RIWKHUHVXOWVLVJLYHQ6RPHDVSHFWVRIWKHVHUHVXOWVDUHGLVFXVVHG EHORZ

 ,QGLYLGXDOULVN

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

 6RFLHWDOULVN

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

5,90UHSRUWSDJHRI

 'LVFXVVLRQDQGFRQFOXVLRQ

7KHOHVVWKHPHWKRGRORJ\IRUWKHFDOFXODWLRQRIWKHHIIHFWVRIFHUWDLQVFHQDULR¶VLVHVWDEOLVKHG WKH ODUJHU WKH GLIIHUHQFHV WKDW ZHUH IRXQG EHWZHHQ WKH UHVXOWV RI WKH SDUWLFLSDQWV :KHQ PHWKRGVDUHXVHGWKDWGLIIHUIURPWKRVHGHVFULEHGLQWKHFRORXUHGERRNVGLIIHULQJUHVXOWVDUH IRXQGDVFRXOGEHH[SHFWHG

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

2IWKHRWKHUSDUWRIWKHVSUHDGLQWKHUHVXOWVRQO\LQSDUWLVWKLVGXHWRWKHIDFWWKDWLWLVQHLWKHU SRVVLEOHQRUGHVLUDEOHWRVSHFLI\HYHU\GHWDLORIHYHU\DSSOLFDEOHPHWKRG7RDODUJHUH[WHQW WKH UHPDLQLQJ VSUHDG RI UHVXOWV LV GXH WR DUHD¶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

5,90UHSRUWSDJHRI

5HIHUHQFHV

>@ ,QWHUSURYLQFLDDO2YHUOHJSURMHFWJURHS$(YDOXDWLHGH5LHWVFKDS6$9($SHOGRRUQ 

>@ $$PHQGROD6&RQWLQL,=LRPDV8QFHUWDLQWLHVLQ&KHPLFDO5LVN

>@ &RPPLWWHH IRU WKH 3UHYHQWLRQ RI 'LVDVWHUV 0HWKRGV IRU GHWHUPLQLQJ DQG SURFHVVLQJ SUREDELOLWLHV5HG%RRNVHFRQGHGLWLRQ7KH+DJXH6'8

>@ &RPPLWWHH IRU WKH 3UHYHQWLRQ RI 'LVDVWHUV 0HWKRGV IRU WKH FDOFXODWLRQ RI SK\VLFDO HIIHFWV<HOORZ%RRN7KH+DJXH6'8

>@ 0HWKRGHQ YRRU KHW EHUHNHQHQ YDQ 6FKDGH &35 'LUHFWRUDDW *HQHUDDO YDQ GH $UEHLG

>@ %-0 $OH DQG 3$0 8LMW GH +DDJ *XLGHOLQHV IRU 4XDQWLWDWLYH 5LVN $QDO\VLV &355,90

>@ $VVHVVPHQW 5HVXOWV RI D (XURSHDQ %HQFKPDUN ([HUFLVH -RXUQDO RI +D]DUGRXV 0DWHULDOV

>@ 0$5. )0DUNHUW,.R]LQH./DXULGVHQ$$PHQGROD0&KULVWRX6RXUFHV RI XQFHUWDLQWLHV LQ ULVN DQDO\VLV RI FKHPLFDO HVWDEOLVKPHQWV ILUVW LQVLJKWV IURP D (XURSHDQEHQFKPDUNH[HUFLVH()&+(/RVV3UHYHQWLRQ6\PSRVLXP6WRFNKROP

5,90UHSRUWSDJHRI

$SSHQGL[6XPPDU\RIWKHUHVXOWV

'LVWDQFHVLQPHWHUVWRDFHUWDLQLQGLYLGXDOULVNOHYHO

,QWKLVVHFWLRQRI$SSHQGL[WKHUHVXOWVRIWKHSDUWLFLSDQWVWRWKH%5$0VWXG\IRULQGLYLGXDO ULVNLVJLYHQ7KHOLPLWVRIWKHXSSHUDQGORZHUFRQILGHQFHLQWHUYDODVVXPLQJQRUPDOO\ GLVWULEXWHGUHVXOWVKDYHEHHQJLYHQLQWKHWDEOHVDVZHOODVLQWKHILJXUHV 7KHZKROHVLWH 6$9( $9,9 712 '19 6+(// 83 /2: 83/2: (       (         (         (                   ( ( ( ( 6$9( $9,9 712 '19 6+(// 83 /2:

SDJHRI 5,90UHSRUW 0DUVKDOOLQJ\DUG 6$9( $9,9 712 '19 6+(// 83 /2: 83/2: (       (         (         (         $&1 6$9( $9,9 712 '19 6+(// 83 /2: 83/2: (       (         (         (                  ( ( ( ( 6$9( $9,9 712 '19 6+(// 83 /2:          ( ( ( ( 6$9( $9,9 712 '19 6+(// 83 /2:

5,90UHSRUWSDJHRI %XWDQH 6$9( $9,9 712 '19 6+(// 83 /2: 83/2: (      (         (         (         &KORULQH 6$9( $9,9 712 '19 6+(// 83 /2: 83/2: (       (         (         (                ( ( ( ( 6$9( $9,9 712 '19 6+(// 83 /2:          ( ( ( ( 6$9( $9,9 712 '19 6+(// 83 /2:

SDJHRI 5,90UHSRUW (WKR[ 6$9( $9,9 712 '19 6+(// 83 /2: 83/2: (      (        (         (         +6 6$9( $9,9 712 '19 6+(// 83 /2: 83/2: (       (         (         (                ( ( ( ( 6$9( $9,9 712 '19 6+(// 83 /2:           ( ( ( ( 6$9( $9,9 712 '19 6+(// 83 /2:

5,90UHSRUWSDJHRI 3HVWLFLGHVWRUDJH 6$9( $9,9 712 '19 6+(// 83 /2: 83/2: (      (        (        (        3URSDQH 6$9( $9,9 712 '19 6+(// 83 /2: 83/2: (       (         (         (                   ( ( ( ( 6$9( $9,9 712 '19 6+(// 83 /2:          ( ( ( ( 6$9( $9,9 712 '19 6+(// 83 /2:

SDJHRI 5,90UHSRUW 62 6$9( $9,9 712 '19 6+(// 83 /2: 83/2: (       (         (         (                ( ( ( ( 6$9( $9,9 712 '19 6+(// 83 /2:

5,90UHSRUWSDJHRI

6RFLHWDO5LVN

,Q WKLV VHFWLRQ RI WKH DSSHQGL[ WKH UHVXOWV IRU VRFLHWDO ULVN DUH JLYHQ 7KH VRFLHWDO ULVN LV GHILQHGDVWKHSUREDELOLW\WKDWLQDVLQJOHDFFLGHQWLQWKHKD]DUGVRXUFHDFHUWDLQQXPEHURI YLFWLPVLVH[FHHGHG,WLVH[SUHVVHGDVWKHUHODWLRQVKLSEHWZHHQWKHQXPEHURISHRSOHNLOOHG JLYHQ LQ WKH ILUVW FROXPQ DQG WKH SUREDELOLW\ SHU \HDU WKDW WKDW QXPEHU LV H[FHHGHG 7KH XSSHUDQGORZHUFRQILGHQFHLQWHUYDOLVFDOFXODWHGRQWKHDVVXPSWLRQWKDWWKHIUHTXHQFLHV FDOFXODWHGE\WKHYDULRXVSDUWLFLSDQWVKDYHDORJQRUPDOGLVWULEXWLRQ 7KHZKROHHVWDEOLVKPHQW 6$9( $9,9 712 '19 6+(// 83 /2: Ò3/2:  ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( (   ( (  ( ( ( ( ( ( ( (      6$9( $9,9 712 '19 6+(// 83 /2:

SDJHRI 5,90UHSRUW PDUVKDOOLQJ\DUG 6$9( $9,9 712 '19 6+(// 83 /2: Ò3/2:  ( (  ( ( ( (   ( (  ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( (   (  (  ( ( ( ( ( ( ( (      6$9( $9,9 712 '19 6+(// 83 /2:

5,90UHSRUWSDJHRI $&1 6$9( $9,9 712 '19 6+(// 83 /2: Ò3/2:  (  ( ( (   ( ( ( ( (   ( ( ( ( (   ( ( ( ( (   ( ( ( (          0.000000001 0.00000001 0.0000001 0.000001 0.00001 0.0001 0.001 0.01 1 10 100 1000 10000 SAVE AVIV TNO DNV SHELL

SDJHRI 5,90UHSRUW %XWDQH 6$9( $9,9 712 '19 6+(// 83 /2: Ò3/2:  ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( (   ( ( ( ( (   ( (  ( (    ( ( ( ( ( ( ( (      6$9( $9,9 712 '19 6+(// 83 /2:

5,90UHSRUWSDJHRI &KORULQH 6$9( $9,9 712 '19 6+(// 83 /2: Ò3/2:  ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( (   ( (  (  ( ( ( ( ( ( ( (      6$9( $9,9 712 '19 6+(// 83 /2:

SDJHRI 5,90UHSRUW (WKR[ 6$9( $9,9 712 '19 6+(// 83 /2: Ò3/2:  ( ( ( ( ( ( (   ( ( ( ( ( (   ( ( ( ( ( (   ( ( ( ( ( (   ( ( ( ( (   ( ( ( ( (   ( ( ( (   (  (  (    ( ( ( ( ( ( ( (      6$9( $9,9 712 '19 6+(// 83 /2:

5,90UHSRUWSDJHRI +6 6$9( $9,9 712 '19 6+(// 83 /2: Ò3/2:  ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( (   ( ( ( ( ( (   ( ( ( (   ( ( ( (         ( ( ( ( ( ( ( (      6$9( $9,9 712 '19 6+(// 83 /2:

SDJHRI 5,90UHSRUW 3HVWLFLGHVWRUDJH 6$9( $9,9 712 '19 6+(// 83 /2: Ò3/2:  ( ( ( ( ( (   ( ( ( ( (   ( ( ( ( (  ( ( ( ( ( ( ( (      6$9( $9,9 712 '19 6+(// 83 /2:

5,90UHSRUWSDJHRI 3URSDQH 6$9( $9,9 712 '19 6+(// 83 /2: Ò3/2:  ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   (   ( ( ( ( ( ( ( (      6$9( $9,9 712 '19 6+(// 83 /2:

SDJHRI 5,90UHSRUW 62 6$9( $9,9 712 '19 6+(// 83 /2: Ò3/2:  ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( ( ( (   ( ( ( ( (   ( ( ( (   ( ( ( (   ( (     ( ( ( ( ( ( ( (      6$9( $9,9 712 '19 6+(// 83 /2:

5,90UHSRUW SDJH  RI 

$SSHQGL[

7

KHSODQW

 P

1

$D

UG

JD

V



+

6

SURSD

QH

EXWDQH

FK

OR

ULQH

SH

VW

LFLG

HV

3L

SHO

LQH

XQG

HUJ

URX

QG

0

DU

VK

DOOLQJ

\D

UG

0DL

QW

UD

FN

$

FU

\OR

QLWU

LOH

(WK\O

HQH

R[

LG

H

6XO

SKXU

'

LR

[L

GH

/R DG LQJ ID FL OLW \

-HWW\

SDJHRI 5,90UHSRUW

$SSHQGL[ 0DLOLQJOLVW

 'LUHFWRUDDW*HQHUDDO0LOLHXEHKHHUGLUHFWLH/RNDOH0LOLHXNZDOLWHLWHQ9HUNHHU  SOY'LUHFWHXU*HQHUDDO0LOLHXEHKHHU  'HSRW1HGHUODQGVH3XEOLNDWLHVHQ1HGHUODQGVH%LEOLRJUDILH  'LUHFWLH5,90  'LUHFWHXU6HFWRU5LVLFR¶V0LOLHXHQ*H]RQGKHLG  +RRIGYDQKHW/DERUDWRULXPYRRU6WUDOLQJVRQGHU]RHN ± $XWHXUV  6%'9RRUOLFKWLQJ 3XEOLFDWLRQV  %XUHDX5DSSRUWHQUHJLVWUDWLH  %LEOLRWKHHN5,90  %LEOLRWKHHN/62 ± %XUHDX5DSSRUWHQEHKHHU ± 5HVHUYHH[HPSODUHQ/62