How to Calculate Value at Risk (VaR) Using Excel || Value at Risk Explained

Matt Macarty منتشر شده در تاریخ 1398/05/10

86.3 هزار بار بازدید - 5 سال پیش - #var #ValueatRisk #excel Please SUBSCRIBE:

#var #ValueatRisk #excel Please SUBSCRIBE: What is Value at Risk & How to Calculate Value at Risk Value at Risk (VaR) is a statistical measurement of downside risk applied to current portfolio positions. It represents downside risk going forward a specified amount of time, with no changes in positions held. VaR can be calculated for any time period however since uncertainty increases with time it is often calculated for a single day or several days into the future. https://alphabench.com/data/excel-value-at-risk-tutorial.html -- Also see my Monte Carlo Simulation of VaR: https://www.seevid.ir/fa/w/zrqI-NbZSj0 Value at Risk (VaR) is a statistical measurement of downside risk applied to current portfolio positions. It represents downside risk going forward a specified amount of time, with no changes in positions held. VaR can be calculated for any time period however, since uncertainty increases with time it is often calculated for a single day or several days into the future. There are two major methods for calculating VaR: 1. using historical data or empirical data, referred to as non-parametric. 2. using an approximation based on some theoretical probability distribution such as the normal distribution. This method is discussed in this tutorial, value at risk explained. VaR is a staple of financial risk management and is supposed to represent a worst case scenario such that there is a low probability that actual losses will exceed the calculated VaR. So for a 95% confidence level VaR represents a downside movement of 1.645 std deviations and for a 99% confidence level it represents a downside move of 2.33 std deviations. When calculating VaR using the method in this tutorial, we are actually calculating a mean VaR based on some pre-specified confidence level. The drawback is it is not possible to estimate how large a loss may be if the downside move exceeds the confidence level.

5 سال پیش در تاریخ 1398/05/10 منتشر شده است.

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