Resources

Blog-style articles that help you understand derivatives better by pricing them in Excel.
Includes articles relating to calculating the Value at Risk (VaR) of various financial instruments and portfolios in Excel through Deriscope

How to compute the VaR: Step-by-Step Excel Guide

cover
The purpose of this article is to show you step-by-step how you can calculate the Value at Risk (VaR) of any portfolio by generating all simulation samples in the spreadsheet. This is great for understanding what's going on but it becomes too complex and slow when the number of samples generated by the simulation exceeds 100. If you don't...
Continue reading
  625 Hits
  0 Comments
625 Hits
0 Comments