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Historic Simulation Approach : VaR calculation of a portfolio of 'spot' assets

Version March 2003 (KCDN)

This spreadsheet computes the VaR of a portfolio which contains shares/equities.

Note : Column O is the column P sorted in ascending orders.


To sort column O in ascending order the following commands have to be performed :
(1.) copy all the values from column P and use the paste special command (option values) under edit opti
(2.) Highlight all the values in column O, then click in the menu bar Data and then Sort.
(3.) You have to click on the option 'continue with the current selection' and then the sort button.

User Input : $-Value held in domestic shares. CHANGE ONLY RED CELLS

The Portfolio Historic Simulation


$-value weights
Asset 1 Bank of America 10,000 0.33333 Prob. for VaR calculation
Asset 2 Boeing 10,000 0.33333 Level of Certainty
Asset 3 Anheuser Busch 10,000 0.33333 Number of observations
Asset 4 0 0 Historic VaR is at position
Asset 5 0 0

Sum 30000 1 VaR using the historic simulation approach is :

-761.32

Date Prices Returns


(yyymmdd) Asset 1 Asset 2 Asset 3 Asset 4 Asset 5 Asset 1 Asset 2 Asset 3 Asset 4

20000703 41.8125 76.25 45


20000705 42.9375 77.125 45.3125 0.02655 0.01141 0.00692
20000706 43 77.75 45.8125 0.00145 0.00807 0.01097
20000707 43.75 77.125 47.4375 0.01729 -0.0081 0.03486
20000710 43 78 47.4375 -0.0173 0.01128 0
20000711 44.125 79.375 46.9375 0.02583 0.01747 -0.0106
20000712 43.875 79.0625 46.8125 -0.0057 -0.0039 -0.0027
20000713 44.5625 80.125 46.1875 0.01555 0.01335 -0.0134
20000714 44.4375 79 47.3125 -0.0028 -0.0141 0.02407
20000717 44 80.625 47.125 -0.0099 0.02036 -0.004
20000718 45.125 81.5625 46 0.02525 0.01156 -0.0242
20000719 45.875 82.125 46.125 0.01648 0.00687 0.00271
20000720 46.0625 80.8125 48.375 0.00408 -0.0161 0.04763
20000721 47 78.875 47.5 0.02015 -0.0243 -0.0183
20000724 48.125 78.6875 47.4375 0.02365 -0.0024 -0.0013
20000725 49.625 78.75 48.25 0.03069 0.00079 0.01698
20000726 48 78.875 47.0625 -0.0333 0.00159 -0.0249
20000727 48.25 80.5 46.75 0.00519 0.02039 -0.0067
20000728 48.8125 81.375 46.375 0.01159 0.01081 -0.0081
20000731 49 80.5 47.375 0.00383 -0.0108 0.02133
20000801 48.875 80 47.6875 -0.0026 -0.0062 0.00657
20000802 49.875 82.6875 47.1875 0.02025 0.03304 -0.0105
20000803 49 83.1875 49.0625 -0.0177 0.00603 0.03897
20000804 49 83.5625 52.4375 0 0.0045 0.06653
20000807 48.75 82 52.375 -0.0051 -0.0189 -0.0012
20000808 48.5625 84.1875 51.9375 -0.0039 0.02633 -0.0084
20000809 47.5625 84.375 53.0625 -0.0208 0.00222 0.02143
20000810 48.5625 84.125 53.4375 0.02081 -0.003 0.00704
20000811 49.625 86 54 0.02164 0.02204 0.01047
20000814 49.5 87.5 54.9375 -0.0025 0.01729 0.01721
20000815 47.375 84.5 54.3125 -0.0439 -0.0349 -0.0114
20000816 46.4375 83.0625 53.3125 -0.02 -0.0172 -0.0186
20000817 45.875 82.125 53.5625 -0.0122 -0.0114 0.00468
20000818 45.625 81.875 53.75 -0.0055 -0.003 0.00349
20000821 47.75 82.6875 53.875 0.04552 0.00987 0.00232
20000822 49.3125 81.8125 54.4375 0.0322 -0.0106 0.01039
20000823 50.5625 83.125 54.0625 0.02503 0.01592 -0.0069
20000824 53.625 82.125 52.5 0.05881 -0.0121 -0.0293
20000825 54.25 79.9375 51.75 0.01159 -0.027 -0.0144
20000828 53.4375 80.1875 51.8125 -0.0151 0.00312 0.00121
20000829 52.3125 81.25 50.875 -0.0213 0.01316 -0.0183
20000830 52.5 78.1875 50.875 0.00358 -0.0384 0
20000831 53.625 78.8125 53.5625 0.0212 0.00796 0.05148
20000901 54.75 77.5 52.5 0.02076 -0.0168 -0.02
20000905 55.4375 76.625 53.1875 0.01248 -0.0114 0.01301
20000906 57.875 76.25 53.625 0.04303 -0.0049 0.00819
20000907 59.4375 78.5625 54.4375 0.02664 0.02988 0.01504
20000908 58.125 80.375 55.9375 -0.0223 0.02281 0.02718
20000911 58.875 81.875 56.5625 0.01282 0.01849 0.01111
20000912 59.25 81.75 57 0.00635 -0.0015 0.00771
20000913 59.375 83.8125 56.8125 0.00211 0.02492 -0.0033
20000914 58.375 83.5625 56.25 -0.017 -0.003 -0.01
20000915 56.875 81.75 54.6875 -0.026 -0.0219 -0.0282
20000918 56.9375 82.9375 53.6875 0.0011 0.01442 -0.0185
20000919 56.75 42.375 54.875 -0.0033 -0.6715 0.02188
20000920 59.625 42.625 53.8125 0.04942 0.00588 -0.0196
20000921 60.125 43 53 0.00835 0.00876 -0.0152
20000922 64 44.3125 55 0.06246 0.03007 0.03704
20000925 63.875 44.25 55 -0.002 -0.0014 0
20000926 66.125 43.75 53.8125 0.03462 -0.0114 -0.0218
20000927 64.5625 43.25 52.6875 -0.0239 -0.0115 -0.0211
20000928 64.625 43.25 54 0.00097 0 0.02461
20000929 63 42.3125 52.375 -0.0255 -0.0219 -0.0306
20001002 58.4375 41.75 53.0625 -0.0752 -0.0134 0.01304
20001003 59.875 43.625 54.1875 0.0243 0.04393 0.02098
20001004 61.125 42.375 52.75 0.02066 -0.0291 -0.0269
20001005 61.0625 43.5 53.875 -0.001 0.0262 0.0211
20001006 61 43 51.625 -0.001 -0.0116 -0.0427
20001009 59.4375 42.4375 50.5625 -0.0259 -0.0132 -0.0208
20001010 59.5625 43.875 48.6875 0.0021 0.03331 -0.0378
20001011 60.1875 42.25 47.0625 0.01044 -0.0377 -0.0339
20001012 56.125 42.75 44.5625 -0.0699 0.01176 -0.0546
20001013 58.75 42.375 46.5625 0.04571 -0.0088 0.0439
20001016 60.1875 43.25 45.1875 0.02417 0.02044 -0.03
20001017 60.5 43.375 42.75 0.00518 0.00289 -0.0555
20001018 60.75 44.6875 42.1875 0.00412 0.02981 -0.0132
20001019 58.4375 44 44.0625 -0.0388 -0.0155 0.04349
20001020 60 41.875 43.75 0.02639 -0.0495 -0.0071
20001023 61.25 41.875 43.75 0.02062 0 0
20001024 61 43.1875 44.5 -0.0041 0.03086 0.017
20001025 62.5625 39.625 44.0625 0.02529 -0.0861 -0.0099
20001026 63.0625 42 43.375 0.00796 0.05821 -0.0157
20001027 63.75 43.75 44.9375 0.01084 0.04082 0.03539
20001030 64.6875 46.375 47 0.0146 0.05827 0.04487
20001031 67.8125 45.75 48.0625 0.04718 -0.0136 0.02235
20001101 65.75 44 48.375 -0.0309 -0.039 0.00648
20001102 66.125 43.9375 49.25 0.00569 -0.0014 0.01793
20001103 66.0625 44.3125 48.6875 -0.0009 0.0085 -0.0115
20001106 66.0625 45.25 51.0625 0 0.02094 0.04763
20001107 65.1875 44.3125 50.6875 -0.0133 -0.0209 -0.0074
20001108 65 45.0625 48.75 -0.0029 0.01678 -0.039
20001109 65.6875 46.25 49.75 0.01052 0.02601 0.02031
20001110 63.5 46.875 48.375 -0.0339 0.01342 -0.028
20001113 62.8125 46.5625 47.4375 -0.0109 -0.0067 -0.0196
20001114 64.375 47.4375 45.875 0.02457 0.01862 -0.0335
20001115 63.5625 46.4375 42 -0.0127 -0.0213 -0.0883
20001116 65.8125 47.5625 41.875 0.03479 0.02394 -0.003
20001117 65.375 47.625 40.3125 -0.0067 0.00131 -0.038
20001120 65.5625 48.0625 39.3125 0.00286 0.00914 -0.0251
20001121 68.625 49.8125 39.625 0.04565 0.03576 0.00792
20001122 65.125 48.875 38.5625 -0.0523 -0.019 -0.0272
20001124 65.6875 48.9375 39.3125 0.0086 0.00128 0.01926
20001127 67.375 48.0625 39.6875 0.02537 -0.018 0.00949
20001128 67.5 48 40.5 0.00185 -0.0013 0.02027
20001129 69.9375 47.375 40.6875 0.03547 -0.0131 0.00462
20001130 69.0625 47.4375 39.9375 -0.0126 0.00132 -0.0186
20001201 65.8125 47.125 39.75 -0.0482 -0.0066 -0.0047
20001204 64.8125 46.625 39 -0.0153 -0.0107 -0.019
20001205 68.9375 46.875 41.1875 0.0617 0.00535 0.05457
20001206 67.375 45.8125 38 -0.0229 -0.0229 -0.0805
20001207 66.8125 48.0625 39 -0.0084 0.04795 0.02598
20001208 69.9375 46.1875 40.875 0.04571 -0.0398 0.04696
20001211 68.375 45.9375 43.4375 -0.0226 -0.0054 0.0608
20001212 69.125 46.25 43.4375 0.01091 0.00678 0
20001213 67.875 47.5 42.9375 -0.0182 0.02667 -0.0116
20001214 67.25 47.4375 42.3125 -0.0093 -0.0013 -0.0147
20001215 64.875 48.875 41.8125 -0.036 0.02985 -0.0119
20001218 68.5 47.4375 43.5 0.05437 -0.0299 0.03957
20001219 66.375 47 44.25 -0.0315 -0.0093 0.01709
20001220 65 45.75 42.75 -0.0209 -0.027 -0.0345
20001221 64.625 43.6875 45.8125 -0.0058 -0.0461 0.06919
20001222 63.4375 42.375 46.125 -0.0185 -0.0305 0.0068
20001226 63 43.375 46.3125 -0.0069 0.02332 0.00406
20001227 64.0625 45.125 46.8125 0.01672 0.03955 0.01074
20001228 65.4375 45.3125 46.8125 0.02124 0.00415 0
20001229 66 45.5 45.875 0.00856 0.00413 -0.0202
20010102 62 44.4375 46.75 -0.0625 -0.0236 0.01889
20010103 62.5625 41.25 49.9375 0.00903 -0.0744 0.06596
20010104 61 38.5 51.5 -0.0253 -0.069 0.03081
20010105 58.75 41.125 47.75 -0.0376 0.06596 -0.0756
20010108 59 40.4375 48.25 0.00425 -0.0169 0.01042
20010109 58.9375 40.25 47 -0.0011 -0.0046 -0.0262
20010110 60.375 40 48.5625 0.0241 -0.0062 0.0327
20010111 59.125 40.0625 49.4375 -0.0209 0.00156 0.01786
20010112 60.625 40.4375 49.0625 0.02505 0.00932 -0.0076
20010116 61 42.3125 50.9375 0.00617 0.04532 0.0375
20010117 58.75 40 49.5625 -0.0376 -0.0562 -0.0274
20010118 57.375 40.6875 48.9375 -0.0237 0.01704 -0.0127
20010119 55.6875 39.9375 49.1875 -0.0299 -0.0186 0.0051
20010122 56 39.9375 50.375 0.0056 0 0.02386
20010123 57.5 40.1875 50.375 0.02643 0.00624 0
20010124 57.4375 40.375 51.0625 -0.0011 0.00465 0.01356
20010125 59.25 41.3125 51.5 0.03107 0.02295 0.00853
20010126 58.0625 41.3125 53.1875 -0.0202 0 0.03224
20010129 56.46 42.77 54.02 -0.028 0.03467 0.01553
20010130 56.15 42.58 55.47 -0.0055 -0.0045 0.02649
20010131 58.5 43.36 53.82 0.041 0.01815 -0.0302
20010201 56.52 43.39 53.28 -0.0344 0.00069 -0.0101
20010202 56.85 42.84 53.6 0.00582 -0.0128 0.00599
20010205 57.93 40.9 53.26 0.01882 -0.0463 -0.0064
20010206 56.73 40.7 50.96 -0.0209 -0.0049 -0.0441
20010207 57.45 42.05 49.5 0.01261 0.03263 -0.0291
20010208 57.51 41.54 48.75 0.00104 -0.0122 -0.0153
20010209 57.34 43 49.5 -0.003 0.03454 0.01527
20010212 59.07 42.81 50.06 0.02972 -0.0044 0.01125
20010213 60.72 44.29 50.24 0.02755 0.03399 0.00359
20010214 60.59 43 50.8 -0.0021 -0.0296 0.01108
20010215 60.15 43 50.89 -0.0073 0 0.00177
20010216 59.99 43.74 51.4 -0.0027 0.01706 0.00997
20010220 61.85 44.9 49.12 0.03053 0.02617 -0.0454
20010221 60.2 44.54 47.75 -0.027 -0.0081 -0.0283
20010222 61.28 43.43 48.25 0.01778 -0.0252 0.01042
20010223 61.61 43.02 49.14 0.00537 -0.0095 0.01828
20010226 62.76 43.24 50.98 0.01849 0.0051 0.03676
20010227 63.7 44.45 51.43 0.01487 0.0276 0.00879
20010228 62.2 43.7 49.95 -0.0238 -0.017 -0.0292
20010301 59.65 43 49.34 -0.0419 -0.0161 -0.0123
20010302 60.1 42.25 49.05 0.00752 -0.0176 -0.0059
20010305 61.91 43.01 49.08 0.02967 0.01783 0.00061
20010306 62.13 41.5 50.26 0.00355 -0.0357 0.02376
20010307 64.1 43 52.75 0.03122 0.03551 0.04835
20010308 64.75 44.25 53.72 0.01009 0.02866 0.01822
20010309 65.5 44.95 52.5 0.01152 0.0157 -0.023
20010312 61 44.2 51.62 -0.0712 -0.0168 -0.0169
20010313 60.57 43.45 54.25 -0.0071 -0.0171 0.04969
20010314 58.02 43.46 51.75 -0.043 0.00023 -0.0472
20010315 56.1 44.02 52.25 -0.0337 0.0128 0.00962
20010316 53.75 44.55 51.4 -0.0428 0.01197 -0.0164
20010319 56.02 43.75 52.97 0.04137 -0.0181 0.03009
20010320 55 43.63 51.29 -0.0184 -0.0027 -0.0322
20010321 53.85 44.29 50.95 -0.0211 0.01501 -0.0067
20010322 52 42.85 49.67 -0.035 -0.0331 -0.0254
20010323 53 44.55 52.78 0.01905 0.03891 0.06073
20010326 55.44 44.47 52.5 0.04501 -0.0018 -0.0053
20010327 55.2 45.06 54.48 -0.0043 0.01318 0.03702
20010328 55 46.46 54.42 -0.0036 0.0306 -0.0011
20010329 55.95 45.47 53.16 0.01713 -0.0215 -0.0234
20010330 55.71 45.93 54.75 -0.0043 0.01007 0.02947
20010402 55.02 46.45 54.01 -0.0125 0.01126 -0.0136
20010403 54.61 45.25 52.25 -0.0075 -0.0262 -0.0331
20010404 54.63 44 50.31 0.00037 -0.028 -0.0378
20010405 56.81 42.88 51.85 0.03913 -0.0258 0.03015
20010406 55.98 42.22 49.59 -0.0147 -0.0155 -0.0446
20010409 56.87 41.74 50.6 0.01577 -0.0114 0.02016
20010410 59.82 41.7 51.92 0.05057 -0.001 0.02575
20010411 59.12 38.88 52.55 -0.0118 -0.07 0.01206
20010412 60.5 40.75 52.95 0.02307 0.04698 0.00758
20010416 59.75 41.57 52.45 -0.0125 0.01992 -0.0095
20010417 60.6 41.57 52 0.01413 0 -0.0086
20010418 61.3 39.99 55.18 0.01148 -0.0387 0.05936
20010419 60.63 40.55 56.4 -0.011 0.01391 0.02187
20010420 61.7 40.8 55.01 0.01749 0.00615 -0.025
20010423 60.14 40.46 54.93 -0.0256 -0.0084 -0.0015
20010424 60.8 39.77 54.5 0.01091 -0.0172 -0.0079
20010425 60.34 40.78 54.9 -0.0076 0.02508 0.00731
20010426 60.98 40 55.12 0.01055 -0.0193 0.004
20010427 61.61 40.8 56.92 0.01028 0.0198 0.03213
20010430 61.8 39.99 56 0.00308 -0.0201 -0.0163
20010501 63.43 39.95 56.45 0.02603 -0.001 0.008
20010502 64 39.81 56.11 0.00895 -0.0035 -0.006
20010503 64 40.45 55.95 0 0.01595 -0.0029
20010504 64.5 40.87 56.38 0.00778 0.01033 0.00766
20010507 64.69 40.79 56.23 0.00294 -0.002 -0.0027
20010508 64.63 40.65 55.71 -0.0009 -0.0034 -0.0093
20010509 65 40.97 55.38 0.00571 0.00784 -0.0059
20010510 65.95 40.8 55.78 0.01451 -0.0042 0.0072
20010511 66.01 41.2 53.52 0.00091 0.00976 -0.0414
20010514 66.74 42 54.4 0.011 0.01923 0.01631
20010515 66.59 42.5 55.05 -0.0023 0.01183 0.01188
20010516 66.75 44.05 56.55 0.0024 0.03582 0.02688
20010517 68.79 43.9 56.6 0.0301 -0.0034 0.00088
20010518 68.35 43.67 57 -0.0064 -0.0053 0.00704
20010521 68.69 43.95 56.49 0.00496 0.00639 -0.009
20010522 68 43.46 58.64 -0.0101 -0.0112 0.03735
20010523 66 43.7 58.61 -0.0299 0.00551 -0.0005
20010524 65.2 43.2 59.99 -0.0122 -0.0115 0.02327
20010525 63.33 43.03 58.71 -0.0291 -0.0039 -0.0216
20010529 63.53 43.6 59.6 0.00315 0.01316 0.01505
20010530 63.05 43.82 58.78 -0.0076 0.00503 -0.0139
20010531 62.89 44 59.25 -0.0025 0.0041 0.00796
20010601 65 43.74 58.1 0.033 -0.0059 -0.0196
20010604 66.03 42.95 58.63 0.01572 -0.0182 0.00908
20010605 66.93 43 59.95 0.01354 0.00116 0.02226
20010606 66.1 42.55 59.69 -0.0125 -0.0105 -0.0043
20010607 65.65 43.25 59.6 -0.0068 0.01632 -0.0015
20010608 64.59 42.89 59.03 -0.0163 -0.0084 -0.0096
20010611 64.5 41.96 58.74 -0.0014 -0.0219 -0.0049
20010612 65.71 42.54 59.1 0.01859 0.01373 0.00611
20010613 65.49 41.99 59.1 -0.0034 -0.013 0
20010614 63.56 42.35 57.7 -0.0299 0.00854 -0.024
20010615 64.25 41.7 58.02 0.0108 -0.0155 0.00553
20010618 64.88 41.51 59.24 0.00976 -0.0046 0.02081
20010619 61.8 41.36 59.72 -0.0486 -0.0036 0.00807
20010620 61.11 41.65 60.14 -0.0112 0.00699 0.00701
20010621 57.75 42.36 61.38 -0.0566 0.0169 0.02041
20010622 57 42.7 61.94 -0.0131 0.00799 0.00908
20010625 56.96 42.92 61.2 -0.0007 0.00514 -0.012
20010626 57.02 42.93 60.4 0.00105 0.00023 -0.0132
20010627 57.7 41.95 60.32 0.01186 -0.0231 -0.0013
20010628 57.24 42.75 59.98 -0.008 0.01889 -0.0057
20010629 55.6 41.2 60.03 -0.0291 -0.0369 0.00083
20010702 56.36 43.25 60.5 0.01358 0.04856 0.0078
20010703 56.33 42.4 60.49 -0.0005 -0.0198 -0.0002
20010705 55.23 41.62 60.28 -0.0197 -0.0186 -0.0035
20010706 54.3 41.87 58.36 -0.017 0.00599 -0.0324
20010709 52.83 42 58.92 -0.0274 0.0031 0.00955
20010710 54.15 41.7 56.98 0.02468 -0.0072 -0.0335
20010711 52.9 43.03 57.35 -0.0234 0.0314 0.00647
20010712 54.5 42.65 59.43 0.0298 -0.0089 0.03563
20010713 55.07 43.34 60.25 0.0104 0.01605 0.0137
20010716 55.28 43.05 61.38 0.00381 -0.0067 0.01858
20010717 56.3 43.34 63.7 0.01828 0.00671 0.0371
20010718 57.13 44.49 64.08 0.01463 0.02619 0.00595
20010719 56.39 44.34 63.5 -0.013 -0.0034 -0.0091
20010720 56.79 43.73 62.85 0.00707 -0.0139 -0.0103
20010723 56.25 43.13 62.35 -0.0096 -0.0138 -0.008
20010724 55.26 43.04 62.01 -0.0178 -0.0021 -0.0055
20010725 56.67 43.2 62.4 0.0252 0.00371 0.00627
20010726 58.11 43.43 63.11 0.02509 0.00531 0.01131
20010727 58.14 43 63.5 0.00052 -0.01 0.00616
20010730 57.4 42.7 63.55 -0.0128 -0.007 0.00079
20010731 58.53 43.31 63.62 0.0195 0.01418 0.0011
20010801 59 43.63 63 0.008 0.00736 -0.0098
20010802 58.82 44.05 63.46 -0.0031 0.00958 0.00728
20010803 59.21 43.37 63.35 0.00661 -0.0156 -0.0017
20010806 58.4 42.96 62.78 -0.0138 -0.0095 -0.009
20010807 57.5 42.3 63.05 -0.0155 -0.0155 0.00429
20010808 56.61 42.3 62.81 -0.0156 0 -0.0038
20010809 56.36 41.9 63.3 -0.0044 -0.0095 0.00777
20010810 56.85 42.05 62.9 0.00866 0.00357 -0.0063
20010813 56.45 42.57 63.29 -0.0071 0.01229 0.00618
20010814 55.89 41.95 62.56 -0.01 -0.0147 -0.0116
20010815 54.44 42.65 62.5 -0.0263 0.01655 -0.001
20010816 55.13 43.13 63.38 0.01259 0.01119 0.01398
20010817 54 43 62.69 -0.0207 -0.003 -0.0109
20010820 53.34 43.6 63.57 -0.0123 0.01386 0.01394
20010821 51.94 43.05 63.51 -0.0266 -0.0127 -0.0009
20010822 52.3 43.26 64.65 0.00691 0.00487 0.01779
20010823 52.17 43.35 65 -0.0025 0.00208 0.0054
20010824 53.63 43.83 63.24 0.0276 0.01101 -0.0275
20010827 53.06 43.8 62.75 -0.0107 -0.0007 -0.0078
20010828 51.65 43.86 61.86 -0.0269 0.00137 -0.0143
20010829 50.7 43.65 60.05 -0.0186 -0.0048 -0.0297
20010830 50.5 43.87 60.23 -0.004 0.00503 0.00299
20010831 51.2 43.04 61.5 0.01377 -0.0191 0.02087
20010904 49.95 43.65 61.91 -0.0247 0.01407 0.00664
20010905 50.61 44.18 61.29 0.01313 0.01207 -0.0101
20010906 48.84 43.3 59.78 -0.0356 -0.0201 -0.0249
20010907 45.18 43.9 58.59 -0.0779 0.01376 -0.0201
20010910 43.46 43.95 57.65 -0.0388 0.00114 -0.0162
20010917 35.8 44.06 54.35 -0.1939 0.0025 -0.0589
20010918 33.14 43.43 55.07 -0.0772 -0.0144 0.01316
20010919 32.61 41.58 55 -0.0161 -0.0435 -0.0013
20010920 29.76 41.46 53.63 -0.0915 -0.0029 -0.0252
20010921 30.1 40.4 51 0.01136 -0.0259 -0.0503
20010924 32.8 39.75 53.35 0.0859 -0.0162 0.04505
20010925 34.33 41.15 55.1 0.04559 0.03461 0.03228
20010926 34.29 41.04 55.05 -0.0012 -0.0027 -0.0009
20010927 34.4 41.43 56.88 0.0032 0.00946 0.0327
20010928 33.5 41.88 58.4 -0.0265 0.0108 0.02637
20011001 32.4 41.85 58.95 -0.0334 -0.0007 0.00937
20011002 34.25 41.8 59.48 0.05553 -0.0012 0.00895
20011003 36.59 41.25 59.99 0.06609 -0.0132 0.00854
20011004 36.38 40.5 58.89 -0.0058 -0.0183 -0.0185
20011005 36.26 41.1 56.13 -0.0033 0.01471 -0.048
20011008 36.62 39.7 54.25 0.00988 -0.0347 -0.0341
20011009 36 40.19 52.15 -0.0171 0.01227 -0.0395
20011010 35.76 40.52 54.8 -0.0067 0.00818 0.04957
20011011 36.18 40.06 54.6 0.01168 -0.0114 -0.0037
20011012 35.9 40.6 53.01 -0.0078 0.01339 -0.0296
20011015 35.27 41.07 55.55 -0.0177 0.01151 0.0468
20011016 35.12 40.4 57.71 -0.0043 -0.0164 0.03815
20011017 33.7 41 57.1 -0.0413 0.01474 -0.0106
20011018 32.86 41.91 57 -0.0252 0.02195 -0.0018
20011019 33.45 41.9 57.03 0.0178 -0.0002 0.00053
20011022 33.7 42.15 58.41 0.00745 0.00595 0.02391
20011023 33.89 42.45 58.91 0.00562 0.00709 0.00852
20011024 34.24 41.8 59.95 0.01027 -0.0154 0.0175
20011025 35.9 42.4 60.79 0.04734 0.01425 0.01391
20011026 37.68 42.29 60.65 0.04839 -0.0026 -0.0023
20011029 33.75 42.4 59.5 -0.1101 0.0026 -0.0191
20011030 33.03 41.77 59 -0.0216 -0.015 -0.0084
20011031 32.6 41.66 58.99 -0.0131 -0.0026 -0.0002
20011101 33.19 42.49 59.95 0.01794 0.01973 0.01614
20011102 34.35 42.9 60.87 0.03435 0.0096 0.01523
20011105 35.05 42.97 61.03 0.02017 0.00163 0.00263
20011106 35.52 42.75 62.11 0.01332 -0.0051 0.01754
20011107 34.89 42.1 62.75 -0.0179 -0.0153 0.01025
20011108 34.9 42.27 63.1 0.00029 0.00403 0.00556
20011109 33.24 42.69 63.05 -0.0487 0.00989 -0.0008
20011112 33.06 43.05 63.02 -0.0054 0.0084 -0.0005
20011113 33.61 43.4 63.46 0.0165 0.0081 0.00696
20011114 34.1 43.1 63.5 0.01447 -0.0069 0.00063
20011115 34.24 43.7 63.24 0.0041 0.01383 -0.0041
20011116 34.99 43.64 62.54 0.02167 -0.0014 -0.0111
20011119 35.1 43.28 63.95 0.00314 -0.0083 0.0223
20011120 34.97 43.12 63.51 -0.0037 -0.0037 -0.0069
20011121 34.7 43.02 63.58 -0.0078 -0.0023 0.0011
20011123 35.63 43.48 64.99 0.02645 0.01064 0.02193
20011126 35.89 43.2 64.93 0.00727 -0.0065 -0.0009
20011127 35.5 42.85 63.48 -0.0109 -0.0081 -0.0226
20011128 34.17 42.8 61.71 -0.0382 -0.0012 -0.0283
20011129 35.15 43.23 63.6 0.02828 0.01 0.03017
20011130 35.1 43.1 61.38 -0.0014 -0.003 -0.0355
20011203 35 42.8 61.43 -0.0029 -0.007 0.00081
20011204 35.38 42.75 62.34 0.0108 -0.0012 0.0147
20011205 35.89 42.35 62.1 0.01431 -0.0094 -0.0039
20011206 37.11 42.75 63 0.03343 0.0094 0.01439
20011207 37.3 42.69 63.18 0.00511 -0.0014 0.00285
20011210 36.9 42.95 61.72 -0.0108 0.00607 -0.0234
20011211 37.07 42.7 62.45 0.0046 -0.0058 0.01176
20011212 36.8 43.05 62.88 -0.0073 0.00816 0.00686
20011213 37 43.15 61.64 0.00542 0.00232 -0.0199
20011214 37.55 42.92 61.42 0.01476 -0.0053 -0.0036
20011217 37.06 42.91 63.25 -0.0131 -0.0002 0.02936
20011218 37.25 43.45 63.08 0.00511 0.01251 -0.0027
20011219 37.51 43.78 63.51 0.00696 0.00757 0.00679
20011220 38.14 44.9 63.1 0.01666 0.02526 -0.0065
20011221 38.64 46.51 61.6 0.01302 0.03523 -0.0241
20011224 38.42 46.08 61.8 -0.0057 -0.0093 0.00324
20011226 38.6 45.9 62.36 0.00467 -0.0039 0.00902
20011227 38.69 45.46 62.95 0.00233 -0.0096 0.00942
20011228 39.1 45.22 63.53 0.01054 -0.0053 0.00917
20011231 38.78 45.21 62.95 -0.0082 -0.0002 -0.0092

No of obs.
###
Sum -0.0753 -0.5227 0.33568
o of 'spot' assets

nd (option values) under edit option.


and then Sort.
' and then the sort button.

0.05
0.95
373
19

istoric simulation approach is :

Portfolio Ascend. No of VaR VaR


Asset 5 change ordered obs. historic

0.01496 -0.21765 1 -6529.496


0.006833 -0.083446 2 -2503.39
0.014692 -0.042232 3 -1266.947
-0.002003 -0.042134 4 -1264.024
0.010902 -0.040753 5 -1222.581
-0.004098 -0.040384 6 -1211.507
0.005152 -0.039856 7 -1195.686
0.002372 -0.037567 8 -1127.023
0.002165 -0.034969 9 -1049.062
0.004215 -0.032843 10 -985.2827
0.00869 -0.031152 11 -934.5567
0.011865 -0.030069 12 -902.0704
-0.007457 -0.029987 13 -899.6041
0.006653 -0.02808 14 -842.405
0.016157 -0.027458 15 -823.752
-0.018876 -0.026888 16 -806.6471
0.006308 -0.026149 17 -784.4829
0.004783 -0.025979 18 -779.3596
0.004786 -0.025377 19 -761.3176 -761.3176
-0.000737 -0.025173 20 -755.1893
0.014252 -0.024932 21 -747.9509
0.009098 -0.02356 22 -706.7879
0.023675 -0.023432 23 -702.9625
-0.008394 -0.023349 24 -700.4557
0.004695 -0.023326 25 -699.7877
0.000949 -0.023244 26 -697.3088
0.008294 -0.022544 27 -676.3112
0.018053 -0.022418 28 -672.5503
0.010661 -0.022261 29 -667.8284
-0.030069 -0.021828 30 -654.8286
-0.018576 -0.021722 31 -651.6748
-0.006287 -0.021607 32 -648.223
-0.001673 -0.021158 33 -634.7548
0.01924 -0.021136 34 -634.0813
0.010649 -0.021126 35 -633.7705
0.011345 -0.020416 36 -612.4764
0.005792 -0.020308 37 -609.2502
-0.009933 -0.019971 38 -599.1209
-0.003587 -0.019839 39 -595.174
-0.008791 -0.019615 40 -588.4498
-0.011614 -0.018876 41 -566.2701
0.026881 -0.018845 42 -565.3507
-0.005356 -0.018576 43 -557.2912
0.004712 -0.018415 44 -552.4539
0.015438 -0.018204 45 -546.1109
0.023852 -0.01795 46 -538.4904
0.00922 -0.017784 47 -533.5211
0.014141 -0.017687 48 -530.5998
0.004175 -0.016158 49 -484.7303
0.00791 -0.015796 50 -473.8662
-0.009974 -0.015742 51 -472.2748
-0.025377 -0.015742 52 -472.2576
-0.000978 -0.015117 53 -453.4992
-0.21765 -0.015009 54 -450.2627
0.011917 -0.014991 55 -449.7309
0.000632 -0.014762 56 -442.8739
0.043188 -0.014729 57 -441.8612
-0.001122 -0.014608 58 -438.2471
0.000476 -0.014461 59 -433.8407
-0.018845 -0.014454 60 -433.6292
0.008524 -0.014454 61 -433.626
-0.025979 -0.014204 62 -426.1154
-0.025173 -0.014084 63 -422.515
0.029737 -0.013922 64 -417.6635
-0.011765 -0.013882 65 -416.4578
0.015427 -0.01388 66 -416.4044
-0.018415 -0.013412 67 -402.3655
-0.019971 -0.013322 68 -399.6468
-0.000792 -0.013283 69 -398.4899
-0.020416 -0.013213 70 -396.385
-0.037567 -0.012386 71 -371.57
0.026934 -0.012382 72 -371.4489
0.004879 -0.0122 73 -365.9877
-0.015796 -0.012081 74 -362.424
0.006896 -0.011811 75 -354.3233
-0.003609 -0.011765 76 -352.964
-0.010077 -0.011614 77 -348.4321
0.006873 -0.011558 78 -346.7517
0.01459 -0.011415 79 -342.4641
-0.02356 -0.011295 80 -338.8644
0.016815 -0.01109 81 -332.685
0.029018 -0.01077 82 -323.1137
0.039248 -0.010652 83 -319.5568
0.018655 -0.010452 84 -313.5701
-0.021136 -0.010231 85 -306.9428
0.007397 -0.010077 86 -302.3136
-0.001311 -0.009974 87 -299.2318
0.022855 -0.009959 88 -298.7689
-0.01388 -0.009933 89 -297.9852
-0.008357 -0.009414 90 -282.4106
0.018946 -0.009363 91 -280.8947
-0.016158 -0.00928 92 -278.3912
-0.012382 -0.009115 93 -273.4527
0.003232 -0.008907 94 -267.2181
-0.040753 -0.008809 95 -264.262
0.018581 -0.008791 96 -263.7401
-0.014461 -0.008502 97 -255.0726
-0.00437 -0.008438 98 -253.1366
0.029778 -0.00841 99 -252.3043
-0.032843 -0.008394 100 -251.8331
0.009713 -0.008357 101 -250.7099
0.005606 -0.008286 102 -248.575
0.006939 -0.008243 103 -247.299
0.008996 -0.007978 104 -239.328
-0.009959 -0.007895 105 -236.8429
-0.019839 -0.007655 106 -229.6562
-0.015009 -0.007457 107 -223.7234
0.040541 -0.006872 108 -206.1733
-0.042134 -0.006849 109 -205.4652
0.021846 -0.006471 110 -194.1302
0.017625 -0.006444 111 -193.3154
0.010927 -0.006413 112 -192.4015
0.005896 -0.006383 113 -191.4848
-0.001053 -0.006341 114 -190.2365
-0.00841 -0.006287 115 -188.595
-0.005996 -0.005996 116 -179.8893
0.021361 -0.00587 117 -176.1047
-0.007895 -0.005691 118 -170.734
-0.027458 -0.005468 119 -164.0486
0.005757 -0.005456 120 -163.6698
-0.014084 -0.005356 121 -160.6771
0.00682 -0.005325 122 -159.7506
0.022339 -0.005323 123 -159.6995
0.008461 -0.005303 124 -159.104
-0.002514 -0.004938 125 -148.1309
-0.022418 -0.004932 126 -147.9508
0.000186 -0.004773 127 -143.184
-0.021158 -0.004715 128 -141.4528
-0.015742 -0.004552 129 -136.5688
-0.000732 -0.00437 130 -131.1068
-0.010652 -0.004256 131 -127.6793
0.016857 -0.004188 132 -125.6275
-0.000501 -0.004098 133 -122.9328
0.008919 -0.004059 134 -121.7684
0.029665 -0.003957 135 -118.7222
-0.040384 -0.003919 136 -117.5663
-0.006444 -0.003744 137 -112.3341
-0.014454 -0.003609 138 -108.2835
0.009817 -0.003587 139 -107.6068
0.010891 -0.003566 140 -106.9701
0.005708 -0.003561 141 -106.8379
0.020851 -0.003008 142 -90.23649
0.003999 -0.00299 143 -89.71008
0.007405 -0.002811 144 -84.34073
0.00551 -0.002527 145 -75.8203
0.009652 -0.002514 146 -75.41308
-0.014608 -0.002052 147 -61.56167
-0.000316 -0.002003 148 -60.10153
-0.011295 -0.001839 149 -55.18309
-0.023326 -0.001681 150 -50.42159
0.005392 -0.001673 151 -50.18807
-0.008809 -0.001587 152 -47.62352
0.015617 -0.001583 153 -47.50448
0.012182 -0.001543 154 -46.27578
0.021709 -0.001333 155 -39.99106
-0.006872 -0.001311 156 -39.34036
-0.001839 -0.001132 157 -33.97066
0.008124 -0.001122 158 -33.66468
0.003779 -0.001091 159 -32.73569
-0.021126 -0.001053 160 -31.57988
0.000987 -0.000978 161 -29.35164
0.004721 -0.000792 162 -23.74754
0.020118 -0.000737 163 -22.10184
0.017085 -0.000732 164 -21.95585
-0.023349 -0.00068 165 -20.39005
-0.023432 -0.000561 166 -16.81942
-0.005325 -0.000501 167 -15.02367
0.016037 -0.000438 168 -13.13823
-0.002811 -0.000316 169 -9.470729
0.038359 -0.000202 170 -6.056204
0.018989 -0.000143 171 -4.303578
0.001413 -4E-005 172 -1.134681
-0.034969 0.000186 173 5.57045
0.008502 0.000287 174 8.607224
-0.029987 0.000351 175 10.53846
-0.003744 0.000476 176 14.2768
-0.015742 0.000632 177 18.96091
0.017777 0.000704 178 21.13263
-0.017784 0.000789 179 23.65832
-0.004256 0.000831 180 24.91751
-0.031152 0.000923 181 27.67511
0.039562 0.000949 182 28.47094
0.012631 0.000987 183 29.60673
0.015287 0.001335 184 40.04407
0.008622 0.001356 185 40.67808
-0.00928 0.001413 186 42.39624
0.011746 0.001663 187 49.88653
-0.004938 0.001745 188 52.33989
-0.022261 0.001836 189 55.09046
-0.021828 0.001855 190 55.66303
0.014499 0.001945 191 58.35352
-0.024932 0.001964 192 58.90871
0.008167 0.002165 193 64.95964
0.025122 0.002185 194 65.55362
-0.023244 0.002192 195 65.764
0.025878 0.002372 196 71.16279
-0.00068 0.002491 197 74.73388
0.001836 0.002536 198 76.0875
0.010698 0.002572 199 77.15007
0.008262 0.002659 200 79.77366
-0.000438 0.002722 201 81.67299
-0.011811 0.003054 202 91.63109
-0.004715 0.003174 203 95.22555
0.008266 0.003232 204 96.96071
-0.001587 0.00326 205 97.80923
0.020738 0.003293 206 98.78724
-0.01109 0.003506 207 105.1689
0.011012 0.003555 208 106.6409
-0.000202 0.003721 209 111.6271
0.004364 0.003779 210 113.37
0.008589 0.003804 211 114.1068
-0.000561 0.003999 212 119.9584
-0.004552 0.004115 213 123.4406
0.002536 0.004175 214 125.2639
0.005849 0.004215 215 126.4536
-0.010231 0.004364 216 130.9288
0.015513 0.0046 217 137.9985
0.007154 0.004607 218 138.1955
0.021702 0.004695 219 140.8533
0.009192 0.004712 220 141.3459
-0.001543 0.004721 221 141.6291
0.000789 0.004783 222 143.4778
0.005349 0.004786 223 143.571
-0.008286 0.004806 224 144.1943
-0.000143 0.004838 225 145.1423
-0.018204 0.004879 226 146.3721
0.010453 0.004976 227 149.2832
-0.005468 0.005044 228 151.3056
0.003174 0.005152 229 154.5619
0.002491 0.005166 230 154.9921
0.002192 0.005177 231 155.3207
0.012322 0.005225 232 156.7377
-0.009115 0.005331 233 159.9156
0.002659 0.005349 234 160.4574
-0.011415 0.005392 235 161.7479
-0.009414 0.00551 236 165.3007
0.012808 0.005606 237 168.174
-0.005456 0.005708 238 171.2258
-0.015117 0.005717 239 171.5037
0.000287 0.005757 240 172.7208
0.008667 0.005792 241 173.7455
-0.014729 0.005812 242 174.3683
0.000923 0.005849 243 175.4833
-0.006413 0.005896 244 176.8889
0.001335 0.006028 245 180.8324
-0.002527 0.006308 246 189.2543
-0.003957 0.006653 247 199.5753
-0.004188 0.00682 248 204.6103
0.001745 0.006833 249 204.9966
-0.021722 0.006873 250 206.1929
0.023311 0.006896 251 206.8907
-0.006849 0.006939 252 208.1803
-0.013922 0.007079 253 212.3807
-0.014454 0.007105 254 213.1533
-0.004932 0.007154 255 214.6204
-0.005323 0.007397 256 221.9197
0.004838 0.007405 257 222.1516
0.018851 0.00791 258 237.2894
0.013386 0.008065 259 241.9499
0.005225 0.008112 260 243.3472
0.020699 0.008124 261 243.7115
0.01559 0.008143 262 244.2908
-0.008502 0.008167 263 245.0168
-0.005691 0.008262 264 247.8492
-0.010452 0.008266 265 247.97
-0.008438 0.008294 266 248.8191
0.011725 0.008461 267 253.8284
0.013906 0.008502 268 255.0573
-0.001091 0.008524 269 255.734
-0.006341 0.008576 270 257.288
0.011594 0.008589 271 257.6781
0.001855 0.008622 272 258.6501
0.0046 0.008667 273 260.0005
-0.003561 0.00869 274 260.7047
-0.01077 0.008919 275 267.5609
-0.008907 0.008996 276 269.8699
-0.006471 0.009098 277 272.9505
-0.002052 0.009192 278 275.7689
0.001964 0.00922 279 276.6096
0.003804 0.009652 280 289.555
-0.012081 0.009713 281 291.4034
-0.003566 0.009817 282 294.5148
0.012589 0.009855 283 295.6413
-0.011558 0.010453 284 313.5813
0.005166 0.010518 285 315.5442
-0.013412 0.010649 286 319.4684
0.009855 0.010661 287 319.8156
0.001663 0.010698 288 320.9254
0.003721 0.010891 289 326.7353
-0.006383 0.010902 290 327.049
-0.013283 0.010927 291 327.8235
-0.017687 0.011012 292 330.3643
0.001356 0.011345 293 340.3558
0.005177 0.011594 294 347.8063
-0.001333 0.011725 295 351.7589
0.005044 0.011746 296 352.3805
-0.026888 0.011813 297 354.4023
-0.02808 0.011865 298 355.9609
-0.01795 0.011917 299 357.4957
-0.083446 0.012182 300 365.4599
-0.026149 0.012322 301 369.6595
-0.020308 0.012435 302 373.0459
-0.039856 0.012589 303 377.6824
-0.021607 0.012631 304 378.9297
0.038244 0.012808 305 384.239
0.037494 0.013386 306 401.565
-0.001583 0.013536 307 406.0827
0.015121 0.013906 308 417.1672
0.003555 0.014141 309 424.2243
-0.008243 0.014252 310 427.5538
0.021094 0.014496 311 434.8874
0.02046 0.014499 312 434.9611
-0.014204 0.01459 313 437.697
-0.0122 0.014692 314 440.765
-0.019615 0.01496 315 448.8074
-0.014762 0.015121 316 453.6281
0.017018 0.015287 317 458.6225
-0.001132 0.015427 318 462.8213
-0.007978 0.015438 319 463.1524
0.013536 0.015513 320 465.3826
0.005812 0.01559 321 467.7111
-0.012386 0.015617 322 468.5039
-0.001681 0.016037 323 481.1164
0.006028 0.016157 324 484.6968
0.012435 0.016815 325 504.4378
0.007079 0.016857 326 505.7103
0.004115 0.017018 327 510.5445
0.02517 0.017085 328 512.539
0.014496 0.017625 329 528.7573
-0.042232 0.017777 330 533.3212
-0.014991 0.017936 331 538.0663
-0.005303 0.018053 332 541.5792
0.017936 0.018581 333 557.428
0.019729 0.018655 334 559.6448
0.008143 0.018851 335 565.5346
0.008576 0.018946 336 568.3769
-0.007655 0.018989 337 569.6624
0.003293 0.019072 338 572.1738
-0.013213 0.01924 339 577.2088
0.000831 0.019673 340 590.1861
0.010518 0.019729 341 591.8599
0.002722 0.020118 342 603.5463
0.004607 0.02046 343 613.8101
0.003054 0.020699 344 620.9766
0.005717 0.020738 345 622.1501
-0.004773 0.020851 346 625.5415
-0.00299 0.021094 347 632.8313
0.019673 0.021361 348 640.8404
-4E-005 0.021702 349 651.0454
-0.013882 0.021709 350 651.2641
-0.022544 0.021846 351 655.3691
0.022814 0.022339 352 670.1598
-0.013322 0.022814 353 684.4072
-0.003008 0.022855 354 685.6391
0.008112 0.023311 355 699.3443
0.000351 0.023675 356 710.2475
0.019072 0.023852 357 715.5478
0.002185 0.025122 358 753.658
-0.009363 0.02517 359 755.0924
0.003506 0.025878 360 776.3294
0.002572 0.026881 361 806.4159
-0.004059 0.026934 362 808.0198
0.001945 0.029018 363 870.5428
0.005331 0.029665 364 889.9589
0.004976 0.029737 365 892.1197
0.007105 0.029778 366 893.3442
0.011813 0.037494 367 1124.81
0.008065 0.038244 368 1147.316
-0.003919 0.038359 369 1150.763
0.00326 0.039248 370 1177.427
0.000704 0.039562 371 1186.859
0.004806 0.040541 372 1216.226
-0.00587 0.043188 373 1295.653
Variance Covariance Approach : VaR of portfolio of 'spot' assets - similar to Table
Version March 2003 (KCDN)

This spreadsheet computes the VaR of a portfolio which contains shares/equities.


The spreadsheet is set to do the calculations for 3 'shares', but can easily extended to a 5 asset case or even more. .
To extend this spreadsheet to 5 assets, the (daily) std.dev. for asset 4 and 5 has to be calculated as well as the correlation

User Input : All inpuits have to be made in 'Historic Simulation Approach' Sheet. CHANGE ONLY RED CELLS.

Assets Value Std. Dev. VaR Abs. VaR Correlation Matrix


of asset

1 10,000 2.7096% 446 446 1 0.047655


2 10,000 4.0242% 662 662 0.047655 1
3 10,000 2.3701% 390 390 0.278617 -0.02328
4 0 0 0 0 0
5 0 0 0 0 0

Individual VaR's 446 662

Level of Certain. = 0.95


Normal dist. Value 1.645

Worse Case VaR = 1,497


Div. VaR = 950

Note : as we are looking only at the left tail of the distributions the figure here represent potential 'losses'.

Raw data which has beeen used to calculate the required statistics in this sheet can be found in 'Historic Simulation Appro
ssets - similar to Table 23.1.

5 asset case or even more. .


culated as well as the correlations.

GE ONLY RED CELLS.

0.278617 0 0
-0.02328 0 0
1 0 0
0 1 0
0 0 1

390 0 0

otential 'losses'.

und in 'Historic Simulation Approach' Sheet.