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Homework Statement
Calculate 5day 1% Value at Risk of a portfolio using Monte Carlo simulation.
Homework Equations
The Attempt at a Solution
I've found an article explaining how to perform Monte Carlo simulation on portfolio returns therefore calculating the Value At Risk (pdf attachment). I've followed all the instructions and implemented it in Excel (zip attachment).
There are 3 main methods to estimate the VaR of a portfolio  historical simulation, parametric approach and Monte Carlo simulation. Historical simulation gives 5day VaR=566.59, parametric approach gives 5day VaR=486.92, and here Monte Carlo simulation gives 5day VaR equaling around 360. I doubt the Monte Carlo result is accurate (seems way too low). I'm afraid there might be some errors in my excel implementation. I'd appreciate it if someone could kindly help me spot them.
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