homunculus
New Member
I'm not sure if this is the correct forum on which to ask this question, as I am a newbie.
I have been searching online for a few days regarding how to calculate portfolio VaR for a portfolio consisting of leveraged products - but so far, I have not been able to come up with anything remotely useful and practical (i.e. so that I can implement it in a spreadsheet for example).
I am trading custom leveraged products, and my PnL movements are based on the following two criteria:
1. The gearing with respective to a point movement in the market (At the point at which the transaction is created, I get to choose the gearing - for example, I can choose to risk 100 cents for every point move in the underlying market).
2. The margin gearing which relates to how much margin the broker requires in order to establish a position (actually this may be irrelevant in risk calculation, as margining appears to be ignored in futures VaR calculation).
My question is this:
How can I build a VaR model that takes into account the fact that each trade (i.e. transaction) may have a different gearing?
What would be the steps required to build a simple Excel model to help me calculate a VaR for my portfolio?
I have been searching online for a few days regarding how to calculate portfolio VaR for a portfolio consisting of leveraged products - but so far, I have not been able to come up with anything remotely useful and practical (i.e. so that I can implement it in a spreadsheet for example).
I am trading custom leveraged products, and my PnL movements are based on the following two criteria:
1. The gearing with respective to a point movement in the market (At the point at which the transaction is created, I get to choose the gearing - for example, I can choose to risk 100 cents for every point move in the underlying market).
2. The margin gearing which relates to how much margin the broker requires in order to establish a position (actually this may be irrelevant in risk calculation, as margining appears to be ignored in futures VaR calculation).
My question is this:
How can I build a VaR model that takes into account the fact that each trade (i.e. transaction) may have a different gearing?
What would be the steps required to build a simple Excel model to help me calculate a VaR for my portfolio?
