Help for VaRTool project
Introduction to Value at Risk Tool
This application is a tool to help you calculate VaR statistics for your portfolios.
Value at Risk (VaR) is a widely used risk measure of the risk of loss on a specific portfolio of financial assets.
For instance, if you want to know how much money your portfolio can lose in the worst 5% case, you examine a 95% VaR value.
For instance, if you want to know how much money your portfolio can lose on average in the worst 5%,4%,3%,2%,1% scenarios, you examine a 95% CVaR value (Conditional Value at Risk).
Main Screen
The VaRTool program can read data in the following formats for Historical Returns file:
The VaRTool program can read data in the following formats for Portfolio Holdings file:
VaRTool Report
Value at Risk Report contains visual and descriptive statistics to a given portfolio or historical returns.
First graph is a historgram of returns over a specified period with 1% and 5% VaR and CVaR higlighted.
Following table presents various statistics for 1% and 5% VaR and CVaR.
Daily Historical dollar and bps(basis points) statistics are computed from the daily historical returns.
Normal Daily statistics are computed based on the mean and standard deviation of the daily historical returns, assuming normal distribution.
Normal Monthly statistics are converted from Normal Daily statistics.
Details for various Value at Risk computations.
Details for conversion Value At Risk To Different Time Periods.
Following graph plots historical returns used in VaR calculations.
Following graph plots cumulative historical returns.
Following table presents current portfolio composition if Portfolio Holdings file was used for VaR calculations.
'Update Prices' and 'Edit Stock List' buttons will be available only if
Yahoo & Google Historical Quotes Downloader is installed.
'Edit Stock List' button
Press 'Edit Stock List' button to open stock list file in notepad.
Add/Delete/Update list of tickers to be downloaded. Save file when done. Please note that all tickers must be valid
Yahoo Finance tickers.
'Update Prices' button
Press 'Update Prices' to download data for all companies in stock list file. The
Yahoo & Google Historical Quotes Downloader will start automatically. Please wait till all symbols are downloaded.
Frequently Asked Questions
Following are most likely reason for an Error message:
- The File Format and selected file are different. E.g. The "Portfolio Holdings" type is selected
but "Historical Returns" file is selected.
- The Historical Data for stocks in the portfolio is not available. E.g. There is an IBM holdings in your portfolio, but IBM stock prices
were not yet downloaded. Specify IBM in "Stock List" file and click "Update Prices"