Multivariate Monte Carlo simulation: correlated variables (Excel)
How one can perform a Monte Carlo simulation for several correlated variables at once? This is often required for many quantitative finance applications such as basket option valuation, credit default swaps pricing, or value-at-risk estimation. Today we are investigating this technique using a Cholesky decomposition in Excel. Don't forget to subscribe to NEDL and give this video a thumbs up for more videos in Risk management! Please consider supporting NEDL on Patreon: / nedleducation
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