Estimation methodology and best practices
By the Global Research & Analytics1
Supported by Louiza CHABANE, Benoit GENEST & Arnault GOMBERT
The following White Paper is complementary with a dedicated VaR Excel Tool (free VBA code). See the link on
page 4 (Adobe necessary or download from www.chappuishalder.com).
The views and opinions expressed in this article are those of the authors and do not necessarily reflect the views or positions of their employers. Examples described
in this article are illustrative only and do not reflect the situation of any precise financial institution.
This work was supported by the Global Research & Analytics Dept. of Chappuis Halder & Co.
E-mail: firstname.lastname@example.org, email@example.com (London)