Value at Risk by Historical Simulation for 95% Confidence Level

Posted by Fred

Input:
Market data of Day 00
Market data of Day 01
Market data of Day 02
Market data of Day 03
Market data of Day 04
Market data of Day 05
Market data of Day 06
Market data of Day 07
Market data of Day 08
Market data of Day 09
Market data of Day 10
Market data of Day 11
Market data of Day 12
Market data of Day 13
Market data of Day 14
Market data of Day 15
Market data of Day 16
Market data of Day 17
Market data of Day 18
Market data of Day 19
Market data of Day 20 (Today)
Number of shares
Output:
1 day VaR
10 day VaR

The Historical Data is the stock price of Apple Inc. form 5/9/2014 to 6/9/2014.

Tagged: VaR Calculator, Historical Simulation, Value at Risk

 •  Jun 15, 2014  • 

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