VaR

Question 1

SMCVaR Steps

Answer 1

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

Question 2

Simulation Table

Answer 2

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

Question 3

Simulation Output

Answer 3

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

Question 4

Absolute VaR

Answer 4

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