Monte Carlo Simulation of Value at Risk (VaR) in Excel

#var  #valueatrisk   #montecarlo
Please SUBSCRIBE:
https://www.youtube.com/subscription_...
Monte Carlo Simulation in Excel to Estimate Value at Risk
https://alphabench.com/data/excel-val...
Download the spreadsheet used at the link above

This is a follow-on video to my Introduction to Calculating Value at Risk seen here:
How to Calculate Value at Risk (VaR) ...
The introductory video discusses the rationale behind the idea of VaR.

For best viewing be sure to click settings and select one of the HD options there.

In this video, I walk through the calculation involved in estimating a portfolio ending value using a derivation of the Black-Scholes Model, which is then used to create 5,000 iterations of possible ending portfolio values so that VaR can be estimated from the resulting distribution's first and fifth percentiles.

For a more comprehensive discussion of the Monte Carlo Method see:

Basic Monte Carlo Simulation of a Sto...

• #education
• #monte_carlo_simulation_value_at_risk
• #monte_carlo_simulation_value_at_risk_excel
• #monte_carlo_simulation_var
• #value_at_risk_excel
• #excel_monte_carlo_simulation
• #matt_macarty
• #matthew_macarty
• #monte_carlo_simulation_in_excel
• #value_at_risk
• #monte_carlo_simulation
• #monte_carlo_simulations
• #var
• #monte_carlo_method
• #monte_carlo
• #monte_carlo_finance
• #financial_risk
• #financial_risk_management
• #finance
• #statistics
• #excel
• #monte_carlo_method_ranked_item
• #standard_deviation
• #frm