Parametric Method: Value at Risk (VaR) In Excel
Video Overview & Insights
Ryan O'Connell, CFA, FRM explains how to calculate Value at Risk (VaR) in Excel using the parametric method (variance-covariance method).
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Hello! Thank you for the video! What is the difference between this method and the Monte Carlo VAR? Thank you :)
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Best explain on YouTube that I watched! Thank you so much!
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Chapters:
Well explained.,, cant stop watching and practicing
0:00 - Calculate Daily Returns Using Yahoo! Finance
0:43 - Calculate Security Standard Deviation and Covariance
Thank you. I am a CFA Charter holder as well, and now studying the FRM
2:35 - Create Assumptions for Portfolio
2:58 - Calculate Variance and Standard Deviation of Portfolio
Good Job, man!
4:04 - Calculate Value at Risk (VaR) In Excel (Parametric Method)
Disclosure: This is not financial advice and should not be taken as such. The information contained in this video is an opinion. Some of the information could be wrong. This channel is owned and operated by Portfolio Constructs LLC. Some of the links above are affiliate links, meaning, at no additional cost to you, I will earn a commission if you click through and make a purchase.
you're incredible!! What should I do if I have more than 2 stocks? Would I include an additional term in the covariance formula?
More User Perspectives
How come sometime they omit the mean I.e have the mean 0 for Var
@jayjayf9699Very helpful. I do have a question. I think the VaR calculation in cell I8 should have had a negative sign in front of everything. In that case, it will come out as a positive number. So that $2864 is not loss but a gain. Is that correct?
@tianningli710Why is the square root not taken in covariance when annulising the value?
@maftab979what would I do without you? thank you. you will remain in my prayers for the rest of my life.
@StraitProteinI think you missed the second term of the equation in the prtfolio variance?
@claudiaaristizabal2804Hi Ryan I really appreciate the content - Ive used it to self study most of my finance degree!
Do you know of a method to implement stop-loss orders into this VaR method? Iโm struggling because, based on the period and management structure in question, theres a certain risk of lost return potential.
Thank you again!
Can you explain how to calculate the Cost at Risk (CaR) ??
@ghaidaaalkhudair3803Thank you very much for this video
@ู ุญู ุฏุนูู-ุจ3ุณ8ุฎYouโre got a really good channel!
@richardgordonWhy is the square root of trading days used for the annual conversion? I understand that using 252 directly gets us a pretty unreasonable number, so my question is more "whats the reasoning behind the sqrt of days as opposed to some other product of the number of days?"
@joselozano41how do you know de expected values from the variables do you make de arege of the variebles or what?
@ignaciolopezdepablo3035Ennada solre loosu koothi
@madheswaran7327Hi Ryan, could the VAR be shown in return terms rather than dollars? If so would it just be the dollar VAR/Portfolio Value?
@mlacorte21Can I understand why you use expected return to minus those values? I couldnโt understand it
@chunhoewong1064Hey Ryan, could you please explain me how did we get the z score of 1.645 for confidence level of 0.95? Thanks a lot!
@palak007jbReally appreciate your video! It helps me a lot.
@ไธ็ฎๆ ไบHi Ryan, great video! can you please explain how to calculate VaR using this method on an ECB loan?
@padmanabans8552Hi Ryan, can you please explain why do you incorporate the Expected Return in the VaR formula? Most other sources I found online simply calculate without that. Thanks
@richardharagos8528Hi, how would it be if we only analyze one stock, not a porfolio?? Thank you for your explanation!!
@marcoalva2328Thank you so much
@Kaplanelplease make a DCF valuation video or several videos
@alejadroigoyanesThat was really helpful, Ryan. Thanks!
@tomasrnogueiraHi Sir. Your video here is really good. I got a new insight. Would you mind creating a video using Excel of making 95%-Expected Shortfall (CVaR) from a portfolio using a historical simulation approach? It would be very great and helpful :D Thank you so much
@92MrAlvinYour videos are to the point and very informative. I Really enjoy watching them. Keep up the good work ๐
@prekshitjain1823