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Anybody Can Do Value at Risk: Demystifying Nonparametric Computation
Year Of Publication: 2011
Month Of Publication: March
Pages: 19
Download Count: 47
View Count: 1914
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 3-20-2011
Publisher: Administrator
Summary
Value at Risk (VaR) has become a benchmark methodology among investors and banks for measuring market risk. Commercially available modelling packages can be both expensive and inflexible, thereby restricting their use by academic researchers and teachers. Using nonparametric methodology, this paper provides a step-by-step case study on how to use Excel to construct a VaR spreadsheet for an individual asset as well as for a portfolio. This can benefit financial modelling teachers by providing them with a readily useable case study on how to model VaR, as well as benefit researchers by showing them how to construct an inexpensive and flexible VaR model.
This document is published in Australasian Accounting Business and Finance Journal (volume 6, number 1) 2012, 111-123.
http://ro.uow.edu.au/cgi/viewcontent.cgi?article=1282&context=aabfj
Author(s)
Powell, Robert J. Sign in to follow this author
Cheung, Yun Hsing Sign in to follow this author
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