The following is an example application in Java for calculating Value at Risk. Please note that it is intended purely as a demonstration and should not be used for the management of any actual portfolios. Financial Object Toolkits Ltd. will not be responsible for any actions taken by individuals based on their use of the calculator. The data will be updated approximately every 3-4 weeks. The data currently reflects the end of trading on May 13th 2002. Marconi remains in the FT30 despite losing well over 90% of its value over the past 18 months, its high level of volatility can distort the results for portfolios containing Marconi
Applying the algorithm to historic prices for the FT-30 from 2nd January 1991 to 30th December 1996, the one day loss on a portfolio of equal value holdings (£1,000) of each share has exceeded the calculated portfolio Value at Risk figure on 80 out of 1517 days. This is just under 5.3% of occasions as compared to an expected level of 5%. During that period the Value at Risk figure has varied between £198.98 and £782.93. A Java graphing applet shows the details of the historic information but be warned, 6 years of data occupies 100K so the download time may be significant.
Further details of the calculations.
Any fault reports, comments or suggestions for enhancements should be sent to Geoff Seel
Click on a field in the quantity column. Enter the quantity of the stock that is held followed by a carriage return. Negative quantities, i.e. short positions, may be entered. The value of the holding and the Value at Risk for that holding are displayed. The totals are updated and a Value at Risk figure for the portfolio calculated using correlations between the stocks.
Any comments or suggestions for enhancements should be sent to Financial Object Toolkits
54 Berrylands Road
Surbiton
Surrey KT5 8PD
United Kingdom
Tel: +44 (0)20 8296 0684
Fax: +44 (0)870 054 7931
These pages are maintained by Geoff Seel.
Last updated 15th June 2001
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