Using @RISK and Principal Component Analysis (PCA) for Valuing a Portfolio of Natural Gas Futures

The use of custom Excel VBA programming and @RISK APIs allows the automated analysis of historical data and construction of sophisticated risk models. Here, we present an application in the energy sector as an example. Palisade Corporation developed an add-in that automates the construction of a risk analysis model to assess the Value-At-Risk  (VaR) of […]