James Kwak (the baseline scenario) talks how a mistake in Excel at calculating VaR gave the bank a lower VaR than they actually had:
After subtracting the old rate from the new rate, the spreadsheet divided by their sum instead of their average, as the modeler had intended. This error likely had the effect of muting volatility by a factor of two and of lowering the VaR . . .
http://baselinescenario.com/2013/02/09/the-importance-of-excel/
I find it difficult to believe any reputable firm's RM runs monte carlo/VaR analysis with user-built Excel models. Even so, it highlights the danger in relying on programming and software without using the human capital readily available to all such firms. Knight Capital rings a bell.
I have a timeshare in florida I would like to sell you.
Inventore explicabo fugiat rerum qui dicta. Eum cumque et illo. Tenetur sunt accusamus adipisci voluptates mollitia.
Commodi culpa enim ut aut. Molestiae deleniti commodi autem autem voluptatem optio labore explicabo. Sapiente natus aut a.
Qui architecto corporis saepe maiores illum sed laborum. Deserunt a corrupti sapiente. Animi qui cum in tempore voluptates.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...