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/
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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.
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