VaR Example

Risk Management and Financial Institutions uses an example consisting of an investment in four indices to illustrate the calculation of VaR for both the historical simulation and model building approach. A number of questions and problems are based on this data.

Sixth Edition

Historical simulation, data and calculations

Model building approach, data and calculations

Fourth and Fifth Editions:

Download historical simulation calculations

Download model building calculations

Third Edition:

Download historical simulation calculations for 3rd edition

Download model building calculations for 3rd edition

Second Edition

Download historical simulation calculations for 2^nd edition

Download model building calculation for 2^nd edition