Stress Scenarios & the Loss Distribution (Histogram)
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Lessons in this course
- Daily Returns & Volatility: From NAV to σFree
- Historical VaR: PERCENTILE.INC at 95 % and 99 % Pro
- Parametric VaR: NORM.S.INV × σ × Value Pro
- Scaling VaR to 10 Days (√t) & Checking Limits Pro
- Expected Shortfall (CVaR): The Average Loss Beyond VaR Pro
- Portfolio VaR with Correlations: Covariance Matrix & MMULT Pro
- Backtesting VaR: Exceptions, Traffic Light & Kupiec Test Pro
- Stress Scenarios & the Loss Distribution (Histogram) Pro