Portfolio Value at Risk Modelling Tool

Description
This tool shows you how to:
* build a multi-currency index (= your portfolio), 
* how to calculate different return series 
* How to study their distributions to understand tail Risk and Normality (for Parametric VaR)
* How to calculate historical VaRs with/without Decay and Parametric VaR
* How to validate the VaR model by studying confidence of VaR Overshoots


The best practice of this tool is to use the model for a set of your stocks that satisfy:
* Fairly normal return distribution
* Find the best model configuration for that set of stocks (e.g. 3Y lookback, historical VaR with Decay)
* How to scale the VaR linearly to reach your desired confidence 
* And how to manage the different sets as different sleeves with different Value at Risk models.


The idea is that you can set a loss limit for your sleeve and use the VaR to understand if you are moving into
risky territory. From there, you should probably rebalance the portfolio or add other stocks or Cash to reduce
the Value at Risk,


Normally, if you expect volatility to go up, you would increase the VaR using linear scaling based on the volatility
of the sleeve or the beta to a benchmark.


We will cover these more complex topics in other models, but here you have the basic tool at hand to get started.


Best practice: 
* Have your own way to pull in stock prices and currency into the model
* Run this monthly or quarterly to see if the model still works
* Study the outliers / overshoots to get a feeling for what type of events your P&L is vulnerable
* Decide how you bring down the VaR (cash ratio, put options, adding Index to the sleeve weight, CFDs)


The idea is to that you find your best VaR model for your sleeve and then run that over and over with different 
linear scaling to keep your VaR under control and avoid losses. 


Good luck.