Value at Risk of Three Assets by Model-Building Approach

Posted by Fred

Input:
Amount being invested in asset 1 usd
Amount being invested in asset 2 usd
Amount being invested in asset 3 usd
Volatility of asset 1 %
Volatility of asset 2 %
Volatility of asset 3 %
Correlation between asset 1 and asset 2
Correlation between asset 2 and asset 3
Correlation between asset 1 and asset 3
Time horizon of VaR (N) days
Confidence level
Output:
1-day VaRusd
N-day VaRusd

We assume that return of all three assets follow normal distribution, and means are all zeros.

Tagged: VaR Calculator, Cash Flow Mapping, Value at Risk

 •  Jun 29, 2014  • 

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