Delta and Historical VaR

Delta and Historical VaR

By Phil Walsh



This spreadsheet enables verification of historical and delta VaR results, for a single transaction under the following assumptions: the transaction is two-sided, i.e. one floating side and one fixed side;  – the transaction is for one settlement period; the transaction uses one market price to value the floating side of the transaction; the same discount factor is used to discount both the floating and the fixed sides of the transaction; all available historical returns are used within the VaR calculation; the historic volatility, for the delta VaR calculation, is calculated as a simple average or EWMA.



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