In the framework of knowledge promotion and expertise sharing, Chappuis Halder & Co. decided to give free access to the “Value-at-Risk Valuation tool” named in our paper “VaR spreadsheet estimator”. It contains the detail sheets simulations for the three main Value-at-Risk methods: Variance/covariance VaR, Historical VaR and Monte-Carlo VaR. The presented methodologies are not exhaustive and more exist and can be adapted depending on the process constraints.
This paper aims to have a theoretical approach of VaR and define all relevant steps to compute VaR according to the defined methodology. And to go further, it seems important to define VaR for a linear financial instrument. Thus, illustrations to monitor the VaR for an equity stock has been performed with a European call option VaR simulations for a better understanding of the concept and the tool. This article only focuses on VaR but will provide opportunities to open to more quantitative risk indicators as Stress-tests, Back-testing, Comprehensive risk measure (CRM), Expected Tail Loss (ETL) or Conditional VaR… more or less linked with the VaR methodologies…
06_Joeri Van Speybroek_Dell_MeetupDora&Cybersecurity.pdf
CH&CO - VaR methodology whitepaper - 2015
1. Value-at-Risk
Estimation methodology and best practices
30/06/2015
By the Global Research & Analytics1
Supported by Louiza CHABANE, Benoit GENEST & Arnault GOMBERT
The following White Paper is complementary with a dedicated VaR Excel Tool (free VBA code). See the link on
page 4 (Adobe necessary or download from www.chappuishalder.com).
DISCLAIMER
The views and opinions expressed in this article are those of the authors and do not necessarily reflect the views or positions of their employers. Examples described
in this article are illustrative only and do not reflect the situation of any precise financial institution.
1
This work was supported by the Global Research & Analytics Dept. of Chappuis Halder & Co.
E-mail: lchabane@chappuishalder.com, bgenest@chappuishalder.com (London)