Workspace /F1 Value at Risk
F1

Value at Risk

Estimate the loss a bond portfolio should not exceed at a confidence level over 1 or 10 days, by historical simulation on stored Treasury curves or the parametric key-rate method, with expected shortfall, contributions by position and key rate, and a backtest.

Learning focus: what VaR does not tell you, and why expected shortfall is now the regulatory standard.

Positions

Templates use sample prices set from illustrative yields. Semiannual coupons, ACT/ACT. Edit any cell.

NameMaturityCoupon %FaceClean price
Model

Rate risk only: each bond's yield moves with the Treasury curve at its maturity and its spread is held fixed. Stored US Treasury par curves from 2021.