VaR or other Risk Measures for heavily skewed trades?

[2rosy]

But those "theoretical" cases come from simulation over historical data

https://www.elitetrader.com/et/thre...trading-strategies.379959/page-2#post-5981012

you can do anything. given your portfolio what-if scenarios can be run. so, you have portfolio...what-if fedfunds goes up 25 basis points

 

[lime]

But those correlations come from historical data

 

[newwurldmn]

But those correlations come from historical data

assume correlation of 1, -1, and zero as three axes to shock your book.

 

[p0box4]

Hello Overnight,

You right, I have to go big to get that million. All or Nothing!

Big balls and no walls.

If you can't make $100 consistently you will never reach a million, basic logic but apparently still not something you can comprehend ...

 

[SimpleMeLike]

If you can't make $100 consistently you will never reach a million, basic logic but apparently still not something you can comprehend ...

Good Evening p0box4,

You are right.

Luckily for me, I am not the only trying to do it for me.

 

[Overnight]

shut up.

What, are you defending SML and his poisoned mind about getting to a million quickly?

 

[newwurldmn]

What, are you defending SML and his poisoned mind about getting to a million quickly?

oh. I have that guy on block.

you should too. He made it sound like you were polluting this thread

 

[lime]

that kind of -1 and 1 corr assumptions are unrealistic and produce useless results

 

[p0box4]

Good Evening p0box4,

You are right.

Luckily for me, I am not the only trying to do it for me.

Then why do you keep going on about that million if you can't even make $100 consistently ...?

 

[SimpleMeLike]

Then why do you keep going on about that million if you can't even make $100 consistently ...?

Good Morning p0box4,

I can make a million dollars a year in trading markets