Does anyone have VaR

Discussion in 'Options' started by IV_Trader, Aug 11, 2007.

  1. MTE

    MTE

    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.
     
    #21     Aug 20, 2007
  2. 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.
     
    #22     Aug 20, 2007
  3. 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 !
     
    #23     Aug 20, 2007
  4. MTE

    MTE

    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.
     
    #24     Aug 21, 2007
  5. 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....
     
    #25     Aug 21, 2007
  6. #26     May 4, 2008
  7. Beker

    Beker

    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.
     
    #27     Jun 12, 2011