VAR calculation using Historical Simulation Method

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Value at Risk (VAR) is one of the most commonly used tools to calculate the risk of a portfolio. Learn how to create a model in Excel to calculate VAR from simulated data series, using the historical simulation method.

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  1. Finexhub Learn Finance and Excel
  2. excel model
  3. var
  4. value at risk
  5. risk modelling
  6. FRM
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Комментарии
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Nice explanation of VaR calc and graphing

However this is a strange demo of historical simulation, when you have not sourced any historical data. Typically we would have taken a historic time series, derived the shocks e.g. Daily price delta, and then applied these to the current state to arrive at a new distribution

I assume that the random generated data was meant to simulate historic data?

However, even in that case, by imposing a normal Gaussian distribution on the data (with your random function) you are obfuscating the real reason for using historic simulation... Namely that many real world variables are not normal distributions and using actual historic stocks brings far more insight than simply fitting a Normal curve to our current portfolio

richardhall
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I am vevry interested for this video but I can't find from the prevoius ep. How can I do? I would like to deep understanding

chenglong
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JE VEUX
télécharger le modèle Excel utilisé

sandrapik