Estimating Risk Measures
I wish I could retroactively require an article to be read! If I could, this would be it for my Portfolio class (Fin422).
Writing in Financial Engineering News, Kevin Dowd explains how to use Excel to calculate VAR and other risk measures. This will be VERY HELPFUL in class!!!
For instance: "To estimate the daily VaR at, say, the 99 percent confidence level, we can use Excel’s Large command, which gives the kth largest value in an array. Thus, if our data are an array called “losses,” we can take the VaR to be the eleventh largest loss out of 1,000. (We choose the eleventh largest loss as our VaR because the confidence level implies that one percent of losses – 10 losses – should exceed the VaR.) The estimated VaR is given by the Excel command “=Large(losses,11)”."
good stuff! Read it!!!