Simple Value at Risk Calculation using the Variance Covariance matrix in Excel
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In this video, a simple estimation is made work the Standard deviation of a three asset portfolio. The standard deviation is used in turn to estimate the Value at Risk (VaR). Regulators very often express capital adequacy to cover market risk in terms of a 10-day VaR. Here, the 10-VaR at the 99% confidence level is estimated using the Variance Covariance Matrix.