Modified Value-at-Risk (MVaR) - estimating losses under non-normality (Excel) (SUB)

Value-at-risk performs badly when returns are not normally distributed. But how to account for that? Modified value-at-risk allows to estimate losses for return distributions that are non-normal, penalising negative skewness and positive kurtosis. This tutorial explains how to easily apply this concept in Excel. Don't forget to subscribe to NEDL and give this video a thumbs up for more videos in Finance! Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

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• #value_at_risk
• #var
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• #mvar
• #skewness
• #kurtosis
• #non_normality
• #assumption_violation
• #fat_tails
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• #market_risk
• #market_risk_measurement
• #risk
• #expected_loss
• #modified_var