Quant analytics Free Excel WorkSheet: Stock VaR and Stress Analysis !
Hi everyone, I’m sharing a financial engineering worksheet for free. I would like to hear comments. Thanks
Need to consider basic EWMA or GARCH or other ARCH model for vol and cor forecast. Layout may change to allow extension of assets list(Real var can have few hundred assets). I assume your weighting can be negative(I didn’t check) otherwise, OK for excel. Try consider allow trader/risk manager to input notional value instead of weight, they are move familiar with it, then weight(most of the time, they don’t have a clue). For MC Var, you will need to learn cholesky decomposition on matrix to generate correlated volatilty vector for MC simulation. Excel may not be a good place. Try to learn if R is good for you, many ppl are using R/Matlab for the calculation engine instead of cell by cell operation in Excel worksheet. Hope that can be helpful for you. Cheers!
NOTE I now post my TRADING ALERTS into my personal FACEBOOK ACCOUNT and TWITTER. Don't worry as I don't post stupid cat videos or what I eat!