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Portfolio VaR – EXCEL

SKU 00034
$24.00
In stock
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Product Details

About the course

This course consists of an EXCEL file that demonstrates the calculation of VaR for a portfolio comprising of three commodities (WTI, Gold and Silver) and three currencies (EUR, AUD and JPY). It presents:

  • The calculation of daily, holding period and annualized volatility for each instrument as well as the portfolio
  • The calculation of value at risk under the Variance Covariance Simple Moving Average (VCV SMA) Approach and Historical Simulation approaches for each instrument as well as the portfolio
  • The calculation of 10-day trailing volatilities for each instrument as well as the portfolio and histogram of trailing volatilities for the portfolio using EXCEL’s Data Analysis Histogram function
  • The calculation of a crude estimate of the VaR number using the maximum volatility from this trailing volatility series
  • Histogram of returns generated for individual securities and the portfolio using EXCEL’s Data Analysis Histogram function. This is used to determine the worst case loss for the historical simulation approach.
  • The calculations of Portfolio VaR using the Variance Covariance Matrix multiplication approach as well as the weighted average portfolio return approach

Learning Objectives

After taking this course you will be able to:

  • Calculate daily, holding period and annualized volatility for individual securities and a portfolio of securities
  • Calculate VaR using the VCV SMA approach for individual securities and a portfolio of securities
  • Calculate VaR using the Historical Simulation approach for individual securities and a portfolio of securities
  • Calculate portfolio VaR using the short cut weighted average portfolio return approach
  • Calculate portfolio VaR using the Variance Covariance Matrix multiplication approach
  • Calculate trailing volatilities for individual securities and a portfolio of securities
  • Crudely estimate VaR using the trailing volatility series
  • Graph the distribution of returns and trailing volatilities using EXCEL’s Data Analysis Histogram function

Prerequisites

The candidate should be comfortable with basic mathematics, statistics, probability and EXCEL and some familiarity with markets and portfolio management.

Target Audience

The course is targeted towards intermediate and advanced users and is aimed primarily at individuals responsible for capital allocation, limit setting and risk management within banks, insurance companies, mutual funds, as well as finance departments of non-financial organizations who need to quickly review or refresh their understanding of VaR methodologies for work or professional development.

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