VaR
- Excel spreadsheet for Value-at-Risk (VaR) estimation is the output of dissertation "Application of Value-at-Risk Methods for measuring of the Currency Risk".
- Model can be used to estimate VaR of portfolio consisting of 1 to 3 foreign currencies for 1, 2, 3, 4, 5 and 25 days using 90%, 95% and 99% confidence levels.
- Variance-covariance approach using exponentially weighted moving average with Decay factor λ = 0.94 is applied for 95% 1-day estimate. Monte Carlo simulation using exponentially weighted moving average with Decay factor λ = 0.94 is applied for 25-day horizon. 125-day historical simulation is used for all other time periods.
- User copies historical prices for last 130 days (incl. today) and enter positions values (long+, short−).
- Open/Save spreadsheet.
services CV publications contact Value-at-Risk statistical navigator SK