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    Intra-Horizon VaR and Expected Shortfall Spreadsheet With VBA

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    Peter Urbani
    Spreadsheet demonstration of Intra-Horizon VaR, Intra-Horizon Expected Shortfall and Intra-Horizon Probability of loss calcs in Excel and VBA for the Normal and GBM cases

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    Download as XLS, PDF, TXT or read online from Scribd

    Intra-Horizon VaR and Expected Shortfall Spreadsheet With VBA

    Uploaded by

    Peter Urbani
    2K views7 pages
    Spreadsheet demonstration of Intra-Horizon VaR, Intra-Horizon Expected Shortfall and Intra-Horizon Probability of loss calcs in Excel and VBA for the Normal and GBM cases

    Copyright

    © Attribution Non-Commercial (BY-NC)

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    Spreadsheet demonstration of Intra-Horizon VaR, Intra-Horizon Expected Shortfall and Intra-Horizon Probability of loss calcs in Excel and VBA for the Normal and GBM cases

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    2K views7 pages

    Intra-Horizon VaR and Expected Shortfall Spreadsheet With VBA

    Uploaded by

    Peter Urbani
    Spreadsheet demonstration of Intra-Horizon VaR, Intra-Horizon Expected Shortfall and Intra-Horizon Probability of loss calcs in Excel and VBA for the Normal and GBM cases

    Copyright:

    Attribution Non-Commercial (BY-NC)
    Download as XLS, PDF, TXT or read online from Scribd
    Download as xls, pdf, or txt
    of 7
    At a glance
    Powered by AI
    The key takeaways are that intra-horizon VaR and MaxVaR are risk measures that account for risk within the investment horizon, as opposed to only at the end of the horizon like regular VaR. Intra-horizon VaR can be significantly higher than end of horizon VaR. MaxVaR models the worst possible loss over the investment period.

    Intra-horizon VaR considers the maximum loss that can occur at any time over the investment period, while end of horizon VaR only considers the loss at the end of the period. As a result, intra-horizon VaR is always higher than end of horizon VaR since it accounts for all potential losses, not just the final value.

    MaxVaR models the maximum loss over the entire investment period, as opposed to a single point in time like regular VaR. It can be significantly higher than VaR for long investment horizons and is useful for risk management over multiple periods.

    End of Horizon VaR

    Source:

    http://www.slideshare.net/amithetfield/maxvar-slides-v0

    Intra-Horizon VaR

    General Spreadsheet for Calculation of VaR and MaxVaR with Drift


    5%
    Calculation of VaR

    Calculation of MaxVaR

    Mu
    Sigma
    T
    Prob
    m
    m*T
    Sigma*sqrt(T)
    VaR
    VaR
    Via VBA

    12.30%
    19.48%
    1
    5.00%
    0.1040
    0.1040
    0.1948
    -21.63%
    -21.63%
    -21.63%

    Mu
    Sigma
    T
    Prob
    m
    m*T
    Sigma*sqrt(T)
    phi1
    exp(2mz/Sigma^2)
    phi2
    MaxVaR
    Via VBA

    12.30%
    19.48%
    1
    5.00%
    0.1040
    0.1040
    0.1948
    0.0193
    0.1940
    0.1584
    -29.90%
    -29.90%

    Prob< VaR
    ES or CVaR

    5.00%
    -29.77%

    Prob< MaxVaR
    ES-I or CVaR-I

    5.00%
    -36.78%

    Probloss = VaR-I
    5.00%
    Probloss = VaR
    13.61%
    2.72

    10.00%

    General Spreadsheet for Calculation of VaR and MaxVaR without Drift


    5%
    Calculation of VaR

    Calculation of MaxVaR

    Mu
    Sigma
    T
    Prob
    m
    m*T
    Sigma*sqrt(T)
    VaR
    VaR
    Via VBA

    12.30%
    19.48%
    1
    5.00%
    0.1230
    0.1230
    0.1948
    -19.73%
    -19.73%
    -19.73%

    Mu
    Sigma
    T
    Prob
    m
    m*T
    Sigma*sqrt(T)
    phi1
    exp(2mz/Sigma^2)
    phi2
    MaxVaR
    Via VBA

    12.30%
    19.48%
    1
    5.00%
    0.1230
    0.1230
    0.1948
    0.0181
    0.1575
    0.2027
    -28.50%
    -28.50%

    Prob< VaR
    ES or CVaR

    5.00%
    -27.87%

    Prob< MaxVaR
    ES-I or CVaR-I

    5.00%
    -35.28%

    Probloss = VaR-I
    5.00%
    Probloss = VaR
    14.77%
    2.95

    10.00%

    cumulative standard distribution

    Intra-Horizon Value at Risk versus End of Horizon Value at Risk (Normal)

    Time in Years
    End of Horizon VaR
    End of Horizon Expected Shortfall (CVaR) without Drift
    Intra-Horizon VaR-I
    Intra-Horizon Expected Shortfall (CVaR-I) without Drift
    End of Horizon Loss Probability
    Intra-Horizon Loss Probability
    Joint Probability
    Intra-Horizon Prob Loss > VaR
    Intra-Horizon Prob Loss > -10.0%

    12.30%
    19.48%
    95.00%

    Loss Threshold

    1
    -19.73%
    -27.87%
    -28.50%
    -35.28%
    5.00%
    5.00%
    10.00%
    14.77%
    41.21%

    2
    -24.50%
    -32.21%
    -35.33%
    -44.46%
    5.00%
    5.00%
    10.00%
    16.65%
    50.87%

    3
    -24.27%
    -32.68%
    -39.03%
    -49.70%
    5.00%
    5.00%
    10.00%
    20.35%
    53.57%

    4
    -22.46%
    -31.15%
    -41.29%
    -53.07%
    5.00%
    5.00%
    10.00%
    25.09%
    54.99%

    -10%

    5
    -19.61%
    -28.33%
    -42.75%
    -55.36%
    5.00%
    5.00%
    10.00%
    31.31%
    55.83%

    6
    -16.05%
    -24.60%
    -43.74%
    -56.97%
    5.00%
    5.00%
    10.00%
    39.60%
    56.37%

    7
    -11.93%
    -20.19%
    -44.43%
    -58.12%
    5.00%
    5.00%
    10.00%
    50.80%
    56.74%

    8
    -7.38%
    -15.23%
    -44.91%
    -58.96%
    5.00%
    5.00%
    10.00%
    66.09%
    57.00%

    9
    -2.47%
    -9.82%
    -45.24%
    -59.58%
    5.00%
    5.00%
    10.00%
    87.14%
    57.18%

    10
    2.73%
    -4.04%
    -45.49%
    -60.04%
    5.00%
    5.00%
    10.00%
    57.32%

    10%

    End of Horizon VaR


    0%

    Intra-Horizon VaR-I

    -10%

    -20%
    Risk

    Given
    Mu ( Mean )
    Sigma ( Vol Ann. )
    CL

    -30%

    -40%

    -50%
    1

    Time in Years

    10

    Intra-Horizon Value at Risk versus End of Horizon Value at Risk (GBM )

    Time in Years
    End of Horizon VaR
    End of Horizon Expected Shortfall (CVaR) with Drift
    Intra-Horizon VaR-I
    Intra-Horizon Expected Shortfall (CVaR-I) with Drift
    End of Horizon Loss Probability
    Intra-Horizon Loss Probability
    Joint Probability
    Intra-Horizon Prob Loss > VaR
    Intra-Horizon Prob Loss > -10.%

    12.30%
    19.48%
    95.00%
    1
    -21.63%
    -29.77%
    -29.90%
    -36.78%
    5.00%
    5.00%
    10.00%
    13.61%
    44.11%

    Loss Threshold

    2
    -24.50%
    -36.01%
    -37.90%
    -47.28%
    5.00%
    5.00%
    10.00%
    16.65%
    50.87%

    3
    -24.27%
    -38.37%
    -42.57%
    -53.67%
    5.00%
    5.00%
    10.00%
    20.35%
    53.57%

    4
    -22.46%
    -38.73%
    -45.67%
    -58.06%
    5.00%
    5.00%
    10.00%
    25.09%
    54.99%

    -10%

    5
    -19.61%
    -37.81%
    -47.82%
    -61.25%
    5.00%
    5.00%
    10.00%
    31.31%
    55.83%

    10%
    End of Horizon VaR

    0%
    Intra-Horizon VaR-I

    -10%
    -20%
    Risk

    Given
    Mu ( Mean )
    Sigma ( Vol Ann. )
    CL

    -30%
    -40%
    -50%
    -60%

    6
    -16.05%
    -35.98%
    -49.40%
    -63.64%
    5.00%
    5.00%
    10.00%
    39.60%
    56.37%

    7
    -11.93%
    -33.46%
    -50.56%
    -65.47%
    5.00%
    5.00%
    10.00%
    50.80%
    56.74%

    8
    -7.38%
    -30.40%
    -51.44%
    -66.89%
    5.00%
    5.00%
    10.00%
    66.09%
    57.00%

    9
    -2.47%
    -26.89%
    -52.10%
    -68.00%
    5.00%
    5.00%
    10.00%
    87.14%
    57.18%

    10
    2.73%
    -23.00%
    -52.63%
    -68.89%
    5.00%
    5.00%
    10.00%
    57.32%

    Google Search
    "Intra Horizon VaR"
    "intra horizon value at risk"
    "within horizon VaR"
    "within horizon Value at Risk"
    "MaxVaR" "value at risk"
    "Continuous Value at Risk"

    Number of references
    10
    1
    3
    4
    433
    54

    Intra-Horizon Risk
    VaR-I
    Within Horizon VaR
    MaxVaR
    Continuous VaR

    http://www.youtube.com/watch?v=HjylDBgJgl4
    http://www.northinfo.com/documents/393.pdf
    http://www.finance.nsysu.edu.tw/SFM/program/FullPaper/103-268144970.pdf
    http://www.towerswatson.com/assets/pdf/6534/TW-EU-2012-26014_The_wrong_type_of_snow_update.pdf
    http://www.slideshare.net/amithetfield/maxvar-slides-v0

    Boudoukh, Jacob (Kobi), Stanton, Richard H., Richardson, Matthew P. and Whitelaw, Robert F., MaxVaR: Lo
    Bhattacharyya, Malay, Misra, Nityanand and Kodase, Bharat (December 2009). MaxVaR for non-normal and
    Damiano Rossello, MaxVaR with non-Gaussian distributed returns, European Journal of Operational Resear
    Kritzman, Mark and Rich, Don R., The Mismeasurement of Risk. Financial Analysts Journal, Vol. 58, No. 3, M
    Yen, Simon H., Lin, Shao-chieh, Re-examining the Contributions of Intra-Horizon Risk Measures

    Within this area, RiskLab-Madrid has developed a software product to measure the VaR (Value at Risk) and
    The Windham Portfolio Advisor
    State Street
    Northfield

    012-26014_The_wrong_type_of_snow_update.pdf

    n, Matthew P. and Whitelaw, Robert F., MaxVaR: Long Horizon Value at Risk in a Mark-to-Market Environment (March 2004). Available at SSRN: http://ss
    arat (December 2009). MaxVaR for non-normal and heteroskedastic returns, Quantitative Finance, Vol. 9, No. 8, 925 935.
    d returns, European Journal of Operational Research, 2008, vol. 189, issue 1, pages 159-171
    of Risk. Financial Analysts Journal, Vol. 58, No. 3, May/June 2002. Available at SSRN: http://ssrn.com/abstract=316584
    butions of Intra-Horizon Risk Measures
    http://www.finance.nsysu.edu.tw/SFM/program/FullPaper/103-268144970.pdf

    re product to measure the VaR (Value at Risk) and MaxVaR which uses extreme value theory (EVT). This product is already being used in Santander Fin

    onment (March 2004). Available at SSRN: http://ssrn.com/abstract=520805 or http://dx.doi.org/10.2139/ssrn.520805

    his product is already being used in Santander Financial Securities.

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