**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
of RiskMetrics.

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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