Historical Value-at-Risk (VaR) and Conditional VaR (CVaR) in Excel

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This is a 3-part video on Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR).

Part 1: Historical VaR and CVaR
Part 2: Parametric VaR and CVaR (using Gaussian/Normal distribution)
Part 3: Cornish-Fisher VaR and CVaR

In Part 1, I will be using Netflix's daily stock prices from 20th April 2015 to 17th April 2020 (5 years data) to compute the historical VaR and CVaR. The CVaR is also called the expected shortfall (ES).

VaR is a loss measure, and hence the final amount is always quoted without the negative sign.

Note that the XLOOKUP and SORT functions are only available on Office 365.

More resources on financial modeling on www.fabianmoa.com.

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