Monthly Archives: November 2017

Basic VBA code

Attached a spreadsheet with the VBA code, please note this is aimed at the South African market and should be considered a beta version: SpotLinearInterpolation – VBA code to determine the rate from today to a date in the future. … Continue reading

Posted in Financial modelling | Leave a comment

Value at Risk (VaR)

Value at Risk (VaR) is a commonly used measure of market risk in portfolios. VaR is formally defined as the ‘predicted loss at a specific confidence level over a given holding period’. The Basel II accords require a 99% confidence … Continue reading

Posted in Risk management | Leave a comment