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Posted May 21, 2013 in Blog by Finance Training Course

Calculating Value at Risk (VaR) with or without VCV matrix

Value at Risk – Calculating Portfolio VaR for multiple securities with & without VCV Matrix .In an earlier VCV Matrix post we had presented the theoretical proof of how the portfolio VaR obtained using the short cut weighted average return method produces the same result as would have been obtained if a detailed Variance Covariance […]

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  2. Interest Rate Modelling: Principal Component Analysis (PCA) : How to conduct a Principal Component Analysis in Excel: Covariance Matrix
  3. Calculating Value at Risk (VaR): Step by Step Guide & Case study

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