Does anyone have VaR

Discussion in 'Options' started by IV_Trader, Aug 11, 2007.

  1. and HV formulas in Excel ?
    TIA for any help
  2. asap


    all you're asking and many many more is provided here. i use and i know many more that use it too. it is professional tool made available to the masses.

    hope it helps.
  3. thanks , asap. I've heard that Hoadley is very good , but I am not looking for add-ins , just for a formula.
  4. asap



    you could use the variance-covariance model developed by jp morgan (see or monte carlo simulation. i use the latter.

    the formula is pretty simple. you have to use the z score for the confidence interval you want to use i.e. 95% the z score is 1.645 times the stdev, assuming normality.

    the real challenge is to model the monte carlo simulation rather than calculating var. you have to decide whether you variable follows a normal, discrete or other sort of distribution and then compute multiple simulations. each of those simulations will then be fed into a final distribution in which you'll calculate the var based on the confidence interval that suits you, using nothing more than the stdev and the appropriate z score along with the E(value).
  5. asap , I understand ( I think). I thought that stock's correl carries a lot of weight here. Sure , an overnight move can be easily calculate by use of SD under assumption that all stocks will move in the SAME direction under "normal" market conditions. But how to incorporate dispersion weight into overall calculations ? BTW , I am looking to evaluate buy only portfolio ( long stocks only)
    I obviously need more reading on this subject.
  6. spindr0


    It's easy enough to write but if you don't want to amke the effort, do a web search for "standard deviation+excel"
  7. google search is my last option , just too many results. Its always takes me a lot of time to get to the right site . I was hoping that maybe someone on ET had it and don't mind to share.
  8. You may want to take a look at some of the information at Gummy Stuff regarding VaR:

    There are also other financial formula and spreadsheets available.

    - Greg
  9. all : thanks for replying, Greg : great link !
    #10     Aug 11, 2007