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  • Calculating Value at Risk: Parameters

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    Omar Pacheco
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    This document outlines how to calculate Value at Risk for an investment portfolio. It provides the portfolio value, average return, standard deviation, and confidence level. It then shows the calculations to determine the minimum expected return with 99% probability, the value of the portfolio, and the Value at Risk, which is the maximum expected loss.

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    This document outlines how to calculate Value at Risk for an investment portfolio. It provides the portfolio value, average return, standard deviation, and confidence level. It then shows the calculations to determine the minimum expected return with 99% probability, the value of the portfolio, and the Value at Risk, which is the maximum expected loss.

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    © All Rights Reserved
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    4 views1 page

    Calculating Value at Risk: Parameters

    Uploaded by

    Omar Pacheco
    This document outlines how to calculate Value at Risk for an investment portfolio. It provides the portfolio value, average return, standard deviation, and confidence level. It then shows the calculations to determine the minimum expected return with 99% probability, the value of the portfolio, and the Value at Risk, which is the maximum expected loss.

    Copyright:

    © All Rights Reserved
    Download as XLSX, PDF, TXT or read online from Scribd
    Flag for inappropriate content
    Download as xlsx, pdf, or txt
    of 1

    Calculating Value at Risk

    http://optimizeyourportfolio.blogspot.com

    Parameters
    Portfolio Value 100
    Average Return 0.152
    Standard Deviation 0.135
    Confidence Level 0.99

    Calculations
    Min Return with 99% prob -0.162 NORM.INV(1-B8,B6,B7)
    Value of Portfolio 83.794 B5*(B11+1)
    Value at Risk 16.206 B5-B12

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