VAR
SIMULATIONS LAB — VaR · MONTE CARLO
90%
95%
99%
1,000
5,000
10,000
50,000
VaR = V × Z_α × σ × √t
= 1,000,000 × 1.645 × 0.02 × √1 ≈ $32,900
MONTE CARLO P&L DISTRIBUTION