#var #valueatrisk #montecarlo
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Monte Carlo Simulation in Excel to Estimate Value at Risk
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Download the spreadsheet used at the link above

This is a follow-on video to my Introduction to Calculating Value at Risk seen here:
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The introductory video discusses the rationale behind the idea of VaR.

For best viewing be sure to click settings and select one of the HD options there.

In this video, I walk through the calculation involved in estimating a portfolio ending value using a derivation of the Black-Scholes Model, which is then used to create 5,000 iterations of possible ending portfolio values so that VaR can be estimated from the resulting distribution's first and fifth percentiles.

For a more comprehensive discussion of the Monte Carlo Method see:

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