Value-at-Risk (VaR) Calculation
for a Sample Portfolio
of 5 Assets
using Historical Data of approximately 5 years (2000 rows in Excel).
Any more puts a strain on Excel.
Python implementation available for larger data sets.
C:\Dropbox\_\work\Fin_Deriv\_Theory\RiskRet_Volatility_VaR___Stats_rMv_Pnl_Mv_q_rX_X\RiskRet_Volatility_VaR.xlsm
Value-at-Risk (VaR) Calculation
for a Sample Portfolio
of 5 Assets
using Historical Data of approximately 5 years (2000 rows in Excel).
Any more puts a strain on Excel.
Python implementation available for larger data sets.
C:\Dropbox\_\work\Fin_Deriv\_Theory\RiskRet_Volatility_VaR___Stats_rMv_Pnl_Mv_q_rX_X\RiskRet_Volatility_VaR.xlsm
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