Model — @RISK Developer's Kit

Value At Risk (VAR) of an investment portfolio is usually considered to be the fifth percentile of the loss in the portfolio's value at a future point in time. This model uses Monte Carlo simulation to measure the VAR of a share of Dell Computer stock. It also demonstrates how buying puts (options to buy) can greatly reduce the risk, or hedge, a long position in a stock.

User Inputs	Value
Current Price ($):
Put Exercise Price ($):
Put Duration (days):
Risk Free Rate (%):
Actual Growth Rate (%):
Volatility (%):
Put Price: