1. Write Inputs (Value, Return, Volatility) 2. Simulation Table 3. Simulated Portfolio at t=1 4. Simulation Output (Means, SD, Correlation) 5. Absolute VaR (V0, Quantile)

1. N(0,1)z1 and z2 =NORMSINV(RAND()) 2. Correlated N(0,1) z3 =Correlation z1+SQRT(1-correlation^2) z2 3. Value EXP(Return+Volatility z1) 4. Value EXP(Return+Volatility z2)

1. Means =AVERAGE(Column) 2. STD =STDEV(Column) 3. Correlation =CORREL(x,y)

1. V0 =USD1/(USD/NZD1) 2. Quantile =PERECNTILE(Column,1-Confidence)

VaR Flashcards by Marko Petterson

SMCVaR Steps

Write Inputs (Value, Return, Volatility)
Simulation Table
Simulated Portfolio at t=1
Simulation Output (Means, SD, Correlation)
Absolute VaR (V0, Quantile)

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Simulation Table

N(0,1)z1 and z2 =NORMSINV(RAND())
Correlated N(0,1) z3 =Correlationz1+SQRT(1-correlation^2)z2
ValueEXP(Return+Volatilityz1)
ValueEXP(Return+Volatilityz2)

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Simulation Output

Means =AVERAGE(Column)
STD =STDEV(Column)
Correlation =CORREL(x,y)

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Absolute VaR

V0 =USD1/(USD/NZD1)
Quantile =PERECNTILE(Column,1-Confidence)

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VaR Flashcards

(4 cards)