Self-learner here.

Please, excuse me if I am asking a Question already answered, but the explanations that I find online, just seem to be a bit hard for me.

I am currently trying to apply the Basel III requirements to Market Risk for a currency/equity (CFDs) portfolio risk analysis.

Hence I am rather new to the subject of Statistics for Market Risk I need some step-by step guidance of how to apply the Quantile Regression Value-At-Risk model with GARCH in Excel.

I am currently going trough Carol Alexander's books on the topic of Financial Mathematics, but it seems quite hard for me to understand the formulas and their implication.

Main questions:

How is Quantile Regression of VaR is applied for a dynamic portfolio of 100+ instruments? How to apply autocorrelation to the model? How to apply GARCH volatility measure to the model? And most of all I am interested of which variables should be regressed? Carol Alexander gives an example of Linear Regression of VaR with:


It still seems a bit hard for me to understand...

If you could please shed some light on the topic for me, I believe I can put it together in Excel.


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