VaR Example
Risk Management and Financial Institutions, second, third, and fourth
editions, use an example consisting of an investment in four indices (DJIA,
FTSE 100, CAC 40, and Nikkei 225) to illustrate the calculation of VaR using the historical simulation and model building
approach. A number of questions and problems are based on this data.
Fourth
Edition:
Download historical
simulation calculations for 4th edition
Download model building
calculations for 4th edition
Third
Edition:
Download historical
simulation calculations for 3rd edition
Download model building
calculations for 3rd edition
Second
Edition
Download historical simulation
calculations for 2nd edition
Download model building calculation
for 2nd edition