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)