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Using the VaR
Simulator

Software Environment

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Hoadley VaR Simulator

The Hoadley VaR Simulator provides a simple form filling and point-and-click method of simulating Value at Risk (VaR) and Conditional Value at Risk (CVaR) using any of the three simulation methods supported by the Finance Add-in for Excel:

	Monte Carlo Simulation
	Copula Simulation
	Filtered Historical Simulation (FHS).

Using the simulator consists of assembling parameters and market data onto a number of simple sheets and then calculating VaR and CVaR by clicking the button on the main control panel (shown below) for the type of simulation required.

Three types of input data are required:

	Position data. Positions can be linear (eg shares; cashflow-mapped bonds) or options.
	VaR parameters (confidence interval, VaR risk horizon etc)
	Asset Details depending on the simulation type.  For example, correlations and volatilities for Monte Carlo simulation and for some copulas; Student T degrees of freedom for copula simulation. Historical price data for historical simulation.

The Finance Add-in for Excel includes tools to estimate all inputs required, such as volatilities and correlations, copula calibration parameters, GARCH parameters (for FHS), option "Greeks" etc.

The VaR Simulator application uses the VaR, copula and other components from the Finance Add-in for Excel.  More information.

See Finance Add-in for Excel system requirements.
 

The Hoadley VaR Simulator is free to download to users who have purchased the Hoadley Finance Add-in for Excel and are still within their one year free download period.

Register and download.