Value at Risk Model - Parametric vs. Monte Carlo

Value at Risk (VaR) Parametric - Multiple Assets

  • This Parametric VaR can only be applied to ETD equities (the approach is more sophisticated for Fixed Income securities or Derivatives);
  • Thanks to the Variance-Covariance matrix, a portfolio of 30 securities can be considered;
  • A methodology is available within the workbook.

Download
Parametric - Multiple Assets.zip
Compressed Archive in ZIP Format 649.3 KB

Value at Risk (VaR) Monte Carlo - Mutiple Assets - Conditional Smoothing

  • This Monte Carlo simulation can only be applied to ETD equities (the approach is more sophisticated for Fixed Income securities or Derivatives);
  • Thanks to the Variance-Covariance matrix, a portfolio of 30 securities can be considered;
  • A methodology is available within the workbook.

Download
Monte Carlo - Multiple Assets.zip
Compressed Archive in ZIP Format 1.1 MB