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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