Скачать или смотреть Estimating VaR Using The Historical Simulation Method - Value At Risk In Excel

We cover how to estimate Value at Risk (VaR). VaR is one of the most important risk measures in financial markets and it can be interpreted as a minimum loss that would be expected to occur over a given period of time. It can be measured either in currency units or percentage terms. There are three commonly used methods for estimating VaR: the parametric or variance-covariance method, the historical method and the Monte Carlo method. Today, we will cover the historical simulation method which estimates VaR based on what actually happened. This is both an advantage and a disadvantage as it usually means the method cannot be dismissed for being unrealistic but at the same time, there is no certainty that history will repeat itself.

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Overview: (0:00)
Calculate Portfolio Return: (1:43)
Calculate VaR Outputs: (2:13)