Historical VaR: PERCENTILE.INC at 95 % and 99 %
This lesson is part of the course
In this lesson
You apply 250 past daily returns to today's portfolio, read the 95 % and 99 % VaR from the loss tail and count how often the 95 % VaR was exceeded.
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Lessons in this course
- Daily Returns & Volatility: From NAV to σ Locked
- Historical VaR: PERCENTILE.INC at 95 % and 99 % Locked
- Parametric VaR: NORM.S.INV × σ × Value Locked
- Scaling VaR to 10 Days (√t) & Checking Limits Locked
- Expected Shortfall (CVaR): The Average Loss Beyond VaR Locked
- Portfolio VaR with Correlations: Covariance Matrix & MMULT Locked
- Backtesting VaR: Exceptions, Traffic Light & Kupiec Test Locked
- Stress Scenarios & the Loss Distribution (Histogram) Locked