SimulationVaR
RiskAMP Simulation Analysis Functions
Using this function in Excel:
=SimulationVaR(Starting value, Ending value, Percentile)
Function arguments:
| Starting value | Reference cell |
| Ending value | Reference cell |
| Percentile | Confidence level (as a percentile) |
Returns the Value at Risk (VaR) calculated for a given confidence level.
Confidence level is expressed as the percentile of losses. For example, a confidence level of 95% represents the 95th percentile of losses, or the result that is worse than 95% of cases. Typical confidence levels for the VaR calculation are 95% and 99%.