Quant analytics Free Excel WorkSheet: Stock VaR and Stress Analysis !

(Last Updated On: November 11, 2011)
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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!



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About caustic

Hi i there My name is Bryan Downing. I am part of a company called QuantLabs.Net This is specifically a company with a high profile blog about technology, trading, financial, investment, quant, etc. It posts things on how to do job interviews with large companies like Morgan Stanley, Bloomberg, Citibank, and IBM. It also posts different unique tips and tricks on Java, C++, or C programming. It posts about different techniques in learning about Matlab and building models or strategies. There is a lot here if you are into venturing into the financial world like quant or technical analysis. It also discusses the future generation of trading and programming Specialties: C++, Java, C#, Matlab, quant, models, strategies, technical analysis, linux, windows P.S. I have been known to be the worst typist. Do not be offended by it as I like to bang stuff out and put priorty of what I do over typing. Maybe one day I can get a full time copy editor to help out. Do note I prefer videos as they are much easier to produce so check out my many video at youtube.com/quantlabs