Portfolio VaR

Discussion on Value-at-Risk Models
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Posts: 1
Joined: Tue May 14, 2013 6:16 pm

Portfolio VaR

Postby irisqueiroz » Fri Jun 14, 2013 1:52 pm

Hi Carol,

first of all, congratulations for you excelent collection of books. I'm still studing it, but I have some questions.
I work at a brokarege and I've been into a project that aims to create a program (Excel/VBA) that the output is the portfolio VaR of clients.
The issue is that we have many sucurities class to analyse: assets (domestic only), bonds, borrowing for short selling, forward, futures and options.

So, if you can suggest me a way to calculate the VaR of a client portfolio, I would appreciate. Maybe, indicating the risk factors of all those classes would be a good start.


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