Maxim Rastorguev
Member
Dear all. I have this practical case that requires me to set up a stoploss for trading book. I am okay with computing VAR, let it be absolute var 1000$, and in relative terms 2% of my current trading book value. But what about stoploss? One option is simply setup it equal to VAR, but this is somehow strange. I feel there should be a way to connect it to VAR. May be someone can help?
