Value-at-risk (VaR) - variance-covariance and historical simulation methods (Excel) (SUB)
Hello everyone!
In today's video, I'm going to explain the Value-at-Risk (VaR) measure of the risk of loss of investments. It estimates how much a set of investments might lose (with a given probability), given normal market conditions, in a set time period such as a day. I will also demonstrate how to calculate it in Excel, using the data on HSBC, Barclays, Lloyds, RBS and Standard Chartered.
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