This page contains samples of the Excel spreadsheets that are on the CD-Rom. These samples are
selected from the spreadsheets that support Chapters 5 (Forecasting Volatility and Correlation)
and 9 (Value-at-Risk). Both these chapters can be downloaded in pdf form here.
Some of the sample spreadsheets below are password protected. To obtain the password, please
register here.
- Simple VaR (Covariance, Historical and Monte Carlo VaR for a single position)
- Covariance VaR (Covariance VaR Model for a Portfolio)
- Historical VaR (Historical VaR Model for a Portfolio)
- Adjusted MtM (Volatility Uncertainty Adjustment in Mark-to-Model Value of an Option)
The CD-Rom contains data, figures and much free demonstration software. More information about the
CD-Rom is available here.