risk management. compute Extreme Value at risk (EVT) using exel
Budget: $30 – $50 USD
Use the VAR from the excel sheet and continue the following: (this is only for parametric
VaR and not applicable for historical VaR)
1. Add EVT to all VaR estimates (in doing so you would need Nu/N where Nu is
obtained by counting your histogram using the critical value i.e. 1.645σ
• Estimate the two parameters (ξ and β) in EVT (need long
history of data, say 5 years)
2. Simulate a one-day distribution using the simulated factors (assuming Gaussian)
and coefficients from the model (computing means and var-cov’s of the selected
factors)
3. Simulate two days of prices using EWMA
VaR and not applicable for historical VaR)
1. Add EVT to all VaR estimates (in doing so you would need Nu/N where Nu is
obtained by counting your histogram using the critical value i.e. 1.645σ
• Estimate the two parameters (ξ and β) in EVT (need long
history of data, say 5 years)
2. Simulate a one-day distribution using the simulated factors (assuming Gaussian)
and coefficients from the model (computing means and var-cov’s of the selected
factors)
3. Simulate two days of prices using EWMA