Value at Risk in Excel Historical vs Monte Carlo Methods

[@georgechristou7982]

Instead of simulating 1000 Z values, just to take the ones corresponding to 5% and 1% you can use the formula to convert to standard normal: z=(x−μ​)/σ The z-value corresponding to the 5th percentile in a normal distribution with a mean (μμ) of 2.82% and a standard deviation (σσ) of 8.03%, is approximately -10.37635%.

[@richardgordon]

Thank you for these amazing videos. I’ve learned so much from watching them…. Cheers!

[@igordekort4905]

Nice practical video. Thank you!

[@RajKumar-hn4tq]

I'm from your free cash flow video And I'm happy that you are still on KZbin

[@imirosmanov2745]

Dear Mr. Ronald, Could you please explain how to calculate VaR for operational risk based on loss data base.

[@ghaidaaalkhudair3803]

Hello Dr, What is the cost at risk (CaR) and how does it differ from the value at risk (VaR) ??

[@tapio_m6861]

You can copy all the way to the bottom (1000) by just double-clicking that green bold corner.

[@Im-Assmaa]

Could you please post a video on how to do the estimation of value at risk using quantile regression. THANK YOU

[@mlacorte21]

Hi , if I wanted to see the annual VAR how would I convert this?

[@RonaldMoy]

If you have the monthly VaR then multiply by the square root of 12. If you have daily, multiply by the square root of the number of trading days (about 250).

[@abhishekbal399]

@@RonaldMoy Only if its a delta normal VaR

[@leonardonava1490]

Thanks!