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.
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
Associate Professor Rob Powell
Associate Professor, School of Business & Law
Director Markets and Services Research Centre
Edith Cowan University
Phone: +618 63042439
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