BACK TO COURSES
ADVANCED

VaR Calculator in Excel VBA

SN
Sarah NakamuraEx-JPMorgan Risk Quant
15 MIN VIDEO
DOWNLOADABLE VBA CODE
30-DAY GUARANTEE
Your Instructor
SN
Sarah Nakamura
Ex-JPMorgan Risk Quant

Sarah was a quantitative risk analyst on JPMorgan's fixed income desk for 5 years, responsible for daily VaR calculations across a $2B derivatives book. She built the team's Excel-based historical simulation model still used as a quick sanity check alongside the firm's enterprise risk systems. She now teaches the risk desk methods most analytics courses never cover.

What You'll Learn

Concrete skills you can apply tomorrow morning

  • Build a 99% confidence historical simulation VaR model entirely in Excel VBA — no add-ins required
  • Implement rolling look-back windows (30, 60, 250 days) to compare short- vs long-run risk estimates
  • Add stress-test overlays that apply historical crisis scenarios (2008, 2020) to your current portfolio
  • Generate a desk-ready risk report with P&L distribution histogram and confidence bands
Course Format
15-minute focused video
Dense, no-filler instruction. Every minute teaches a skill you'll use.
Downloadable VBA source code
The exact .xlsm file used in the video. Open it, run it, adapt it.
Lifetime access
One purchase, permanent access. Re-watch whenever you need a refresher.
ADVANCED
⏱ 15 MIN
$39one-time
ENROLL NOWDOWNLOAD VBA CODE
30-day money-back guarantee
This course includes
  • 15-minute focused video
  • Downloadable VBA source code
  • Lifetime access