bond-futures
-
J
VaR of a Portfolio of Bond Futures (spread trade)
Dear Community, I'd appreciate any guidance regarding the most efficient way to compute the VaR (say 1-day VaR at 95% confidence level) for a spread trade in two Bond Futures, with weights adjusted by duration, currency, and volatility. As an example, consider you're given this positio: LONG...- jortiz12
- Thread
- bond-futures var
- Replies: 3
- Forum: P2.T5. Market Risk (25%)