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Anybody can do Value at Risk

Value at Risk (VaR) has become a benchmark methodology among investors and banks for measuring market risk. As part of our research, we have developed innovative educational case studies and techniques for the effective construction of Value at Risk models, thus making it easy to generate what could otherwise be very complex models. Anybody can do it!  Using parametric, historical simulation and Monte Carlo simulation methodology, the Value at Risk teaching study below provides a step-by-step guide on how to use Excel to construct a VaR spreadsheet for an individual asset as well as for a portfolio. As an educational service to the community, the teaching case study and the single asset spreadsheet are provided free of charge below.

Value at Risk Teaching Study

Single Asset Value at Risk Solution

Multiple Asset Value at Risk solution

The multiple asset spreadsheet solution can be purchased for $50.00 (Incl GST). This includes four spreadsheets:

  • single asset Parametric & Historical
  • multiple asset Parametric & Historical
  • single asset Monte Carlo
  • multiple asset Monte Carlo

Contact

Associate Professor Rob Powell
Associate Professor, School of Business & Law
Director Markets and Services Research Centre
Edith Cowan University
Phone: +618 63042439
Email: r.powell@ecu.edu.au

Terms and Conditions of use of materials

You may browse and download the material available on the site for your non-commercial personal educational use, or for the non-commercial personal educational use of your own students, upon the payment of any required amount, provided you agree to abide by these terms and conditions.

  1. Material contained in or available from this site is protected by copyright held by ECU (or is used by ECU with the permission of the copyright owner) unless otherwise noted and you may not use this material except as provided in these terms and conditions without the permission of ECU. In particular, except for your own non-commercial personal use of you and your own students, you may not otherwise reproduce, distribute, modify, transmit, reuse or adapt the material contained in this site, or material downloaded or purchased from this site, without the prior written permission of ECU.
  2. Nothing contained in this site should be construed as granting, by implication, estoppel or otherwise any licence or right to use any of the trade marks displayed on this site without the prior written permission of ECU.
  3. The materials on this site are intended for non-commercial personal educational purposes only. The information and spreadsheets are provided in respect to specific theoretical financial scenarios, and may not be appropriate to your own situation. The materials should not be construed as providing any professional or financial advice. You should seek your own professional advice regarding your own financial decisions.
  4. Your use and browsing of this site, or any materials downloaded or purchased from this site, or any application of methods taught in these materials is at your own risk. Neither ECU or any other party involved in creating, producing or delivering the site, or any materials downloaded or purchased from this site, is liable for any direct, indirect, inconsequential, consequential loss, special, punitive or other damages whatsoever arising out of your access to and use of this site, or materials downloaded or purchased from this site, even if ECU has been advised of the possibility of such damages. This paragraph does not exclude liability which cannot be excluded pursuant to the provisions of the Australian Consumer Law or any other implied warranties and conditions which cannot be excluded by operation of law.
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