This Excel spreadsheet calculates the value at risk for a bond.
This article summarizes several methods of calculating Value at Risk, and provides pricing spreadsheets. Value at Risk is an important tool for estimating capital requirements, and is now a standard risk-management tool.
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This Excel spreadsheet calculates the Modified Sharpe Ratio.
This Excel spreadsheet implements a Modified Value at Risk (or MVaR) calculation, which adjusts the standard deviation to account for skew and kurtosis in the returns distribution (greater negative skew and kurtosis act to increase VaR).
This Excel spreadsheet calculates Value at Risk through the Monte Carlo simulation of geometrical brownian motion in VBA.
Today I’d like to clarify the concept of Value At Risk. I’ll demonstrate how you can calculate VAR in Excel, but I’ll also discuss some of its limitations.