Monte Carlo Value at Risk
An Excel-Sheet that calculates the VAR for a
portfolio of three riskfactors for an one day horizon. The
calculation follows the ideas provided by the Technical Documents
Input parameters are: Covariance matrix of rel. returns, start value of each asset, number of assets per type, number of simulations and the confidence level. In a second sheet the covariance matrix can be estimated from historical prices.
A detailed describtion of the Sheet will follow soon.
Dowload of the sheet (440K). To reduce download volume the Sheet is compressed to a ZIP-File.
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