Portfolio VaR with Correlations: Covariance Matrix & MMULT
This lesson is part of the course
In this lesson
You build the covariance matrix of three positions from their volatilities and correlations, compute the portfolio VaR with MMULT and SUMPRODUCT and measure the diversification benefit.
Buy the course once for $9.99 to unlock every lesson and lab, the final exam and the certificate – lifetime access, no subscription.
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