VaR and its usefulness in Trading

#1
as per wikipedia VaR is defined as
"The time horizon (period) to be analyzed may relate to the time period over which a financial institution is committed to holding its portfolio, or to the time required to liquidate assets"

This greatly helps in analysing of risk level and such a tool is quite helpful. I came across this tool in the Portfolio Management section of
www.marketsimplified.com which along with the Net Gain and Net Percent Gain also gives one's Portfolio VaR.

Wanted to know if any other site or trader uses this tool
 
C

CreditViolet

Guest
#2
as per wikipedia VaR is defined as
"The time horizon (period) to be analyzed may relate to the time period over which a financial institution is committed to holding its portfolio, or to the time required to liquidate assets"

This greatly helps in analysing of risk level and such a tool is quite helpful. I came across this tool in the Portfolio Management section of
www.marketsimplified.com which along with the Net Gain and Net Percent Gain also gives one's Portfolio VaR.

Wanted to know if any other site or trader uses this tool
It is used more in a risk management setup when looking over many accounts/systems/traders. Its jst another tool that needs proper 'context' to be used properly.If you run simulations for both parametric and non-parametric VaR, you will find that they both fail in OOS testing.Prices tend to exceed VaR limits pretty consistently.
 

oxusmorouz

Well-Known Member
#3
It is used more in a risk management setup when looking over many accounts/systems/traders. Its jst another tool that needs proper 'context' to be used properly.If you run simulations for both parametric and non-parametric VaR, you will find that they both fail in OOS testing.Prices tend to exceed VaR limits pretty consistently.
Exactly. That's because of the flaw in the defining the underlying distribution. If we were to use a more "flatter" distribution than normal, VaR should be a decent tool.
 
U

uasish

Guest
#4
Now again somebody will say this is of 5th standard when we are in 1st,Trading is Learning ,which these guys help us to Guide & develop,it cant be & never will be like kuri's new girl friends nanny stuff.
 

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