Monte-Carlo Simulation VaR

Last updated 9 November 2026

Function reference › Value at Risk (VaR) › Monte-Carlo

2 GIAnalyzer functions for Excel. Optional arguments are shown in [brackets].

GIA_VaR_MonteCarlo_EquityPortfolioVaR

Returns the value at risk of a portfolio in multiple markets over a chosen time horizon (number of days), using the Monte-Carlo method.

GIA_VaR_MonteCarlo_EquityPortfolioVaR(Portfolio, FX_MarketData, EQ_MarketData, CorrelationMatrix, VDate, SDate, Horizon, Comp, Days, ConfidenceLevel, PercentileCalcMethod, n, Seed, Filter1, Filter2, OutputFilter, VaRType)

Returns: Value at risk of a portfolio in multiple markets over a chosen time horizon (number of days)

Argument	Use	Description
`Portfolio`	Required	The portfolio data table, see example or documentation for formating.
`FX_MarketData`	Required	The asset market data table, consisting of the following rows: asset name, spot, volatility, dividend yield.
`EQ_MarketData`	Required	The currency market data table, consisting of the following rows: asset name, spot, volatility, dividend yield.
`CorrelationMatrix`	Required	The correlation matrix of asset spots.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Horizon`	Required	The VaR horizon, in days.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)
`ConfidenceLevel`	Required	The VaR confidence level.
`PercentileCalcMethod`	Required	The percentile calculation method (Continuous, DiscreteNearest, DiscreteLow, DiscreteHigh).
`n`	Required	The number of Monte-Carlo paths generated
`Seed`	Required	The seed for the random number generator.
`Filter1`	Required	Whether to trim the portfolio down to only derivatives or underlyings (Underlyings, Derivatives, NoFilter). Optional, NoFilter by default.
`Filter2`	Required	Whether to trim the portfolio down to only one asset (NoFilter, or the name of the asset). Optional, NoFilter by default.
`OutputFilter`	Required	Which assets' contributions to VaR to output (All, Underlyings, Derivatives, list of asset IDs delimited by commas with no spaces). PercentileCalcMethod must be set to any discrete method.
`VaRType`	Required	The type of VaR disaggregation (None, Component, Marginal, Incremental, Shortfall).

GIA_VaR_MonteCarlo_FXPortfolioVaR

Returns the value at risk of an FX portfolio over a chosen time horizon (number of days), using the Monte-Carlo method.

GIA_VaR_MonteCarlo_FXPortfolioVaR(Portfolio, MarketData, CorrelationMatrix, VDate, SDate, Horizon, Comp, Days, ConfidenceLevel, PercentileCalcMethod, n, Seed, Filter1, Filter2, OutputFilter, VaRType, VaRCurrency)

Returns: Value at risk of an FX portfolio over a chosen time horizon (number of days)

Argument	Use	Description
`Portfolio`	Required	The portfolio data table, see example or documentation for formating.
`MarketData`	Required	The asset market data table, consisting of the following rows: asset name, spot, volatility, dividend yield, interest rate.
`CorrelationMatrix`	Required	The correlation matrix of asset spots.
`VDate`	Required	The value date.
`SDate`	Required	The spot date.
`Horizon`	Required	The VaR horizon, in days.
`Comp`	Required	The compounding basis of the interest rates (Annual, SemiAnnual, Quarterly, Monthly, Simple, Continuous)
`Days`	Required	The time basis of the interest rate (act/360, act/365, act/act, 30E/360, 30I/360)
`ConfidenceLevel`	Required	The VaR confidence level.
`PercentileCalcMethod`	Required	The percentile calculation method (Continuous, DiscreteNearest, DiscreteLow, DiscreteHigh).
`n`	Required	The number of Monte-Carlo paths generated
`Seed`	Required	The seed for the random number generator.
`Filter1`	Required	Whether to trim the portfolio down to only derivatives or underlyings (Underlyings, Derivatives, NoFilter). Optional, NoFilter by default.
`Filter2`	Required	Whether to trim the portfolio down to only one asset (NoFilter, or the name of the asset). Optional, NoFilter by default.
`OutputFilter`	Required	Which assets' contributions to VaR to output (All, Underlyings, Derivatives, list of asset IDs delimited by commas with no spaces). PercentileCalcMethod must be set to any discrete method.
`VaRType`	Required	The type of VaR disaggregation (None, Component, Marginal, Incremental, Shortfall).
`VaRCurrency`	Required	Which currency to calculate the VaR in.