Does anyone have VaR

Quote from IV_Trader:

so if portfolio of 100k trades with annual volatility of 30 than "One day VaR with 99% of confidence " is :

(30/16 (square root of 256) * 2.33 )*100,000=4380 $ ?
More...

Yes, that's right. This is a parametric method, which makes an assumption about the returns distribution, which is OK for linear instruments (i.e. stocks and futures), it doesn't work for non-linear instruments (i.e. options), however.
 
IV_Trader

Correct.

But, in order to calculate the volatility of a portfolio of stocks, you must use the correlation values between the component stocks.
 
MTE , thanks - yes , this is for long stocks only.
PT , thanks - so I am back to correl between stocks again ?....damn.

Anyway , I attached excel file just in case if someone have free time and want to help me out.
All , thanks again for your help !
 

Attachments

Quote from IV_Trader:

MTE , thanks - yes , this is for long stocks only.
PT , thanks - so I am back to correl between stocks again ?....damn.

Anyway , I attached excel file just in case if someone have free time and want to help me out.
All , thanks again for your help !
More...

Why is correlation such a problem for you?

You can find the theory on portfolio correlation on wiki

You can also create a time series of portfolio returns rather than individual stocks, then you avoid the whole correlation thing, cause you already have portfolio data.
 
Here's a "quick and dirty" way we do spot checking of HV for a particular stock at our firm:

We have an internal function to pull the last (x) days of closing prices, then

start with the second day - in the spreadsheet, this would be D3

LN(D3/D2)

drag and paste over the remainder so the formula calcs as shown in spreadsheet..

Look at cell E54 here, do CTRL-SHIFT-ENTER to perform the calc

Then, it's the SQRT(E54*252) - 252 trading days in a yr roughly

That will give you a 'rough' estimate of HV (in this case, 50D HV)

HTH....
 

Attachments

hello,

I would like to ask for help about variance-co. VaR calculations.

I found a interesting video about how to calculate VaR in excel for two assets but I don't really know in details how to calculate it for more assets( 3 and more+ ).
youtube.com/watch?v=YR2MijzLRPo

Can anyone help me with a explanation about how to calculate VaR for more assets?

Thank you in advance.
 
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