Example of a VaR Computation

  • Hans-Peter Deutsch
Part of the Finance and Capital Markets Series book series (FCMS)


In the Excel workbook ValueAtRisk.xls to be found on the companion website, several of the value at risk concepts already introduced are applied to explicitly compute the VaR of a concrete portfolio within the delta-normal method. The example is quite dense in the sense that many of the concepts introduced above (as well as several concepts to be presented in later chapters, in particular in Sections 29.3.3 and 29.3.4) are collected in one calculation. However, it is by all means reasonable to present such a summary at this point as it will provide the reader with a complete reference containing all the essential steps for computing a value at risk (at least, the “simple” delta-normal version). We will proceed step by step through the example.


Price Volatility Reference Currency Yield Volatility Risk Concept Excel Workbook 
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Copyright information

© Hans-Peter Deutsch 2009

Authors and Affiliations

  • Hans-Peter Deutsch
    • 1
  1. 1.FrankfurtGermany

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