VaR or other Risk Measures for heavily skewed trades?

Wha are some risk management tools for heavily skewed trades such as naked short options like straddles? Some variations of VaR or something else altogether?

 

Hello lime,

I keep it simple, by not use any risk management tools or risk management.

Less things to think about. Keep it simple!

The more you think about risk, the further behind you get.

 

All it takes is a thousand (or a hundred) ES contracts to get to that million bux.

Balls to the wall!

 

Hello Overnight,

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

Big balls and no walls.

 

*sighs* yes sir, There is a song for you, too.

 

Anyone with proper comment?

 

shock or bump parameters/curves and see results. it used to take a long time to run. if you have the data you can use historical var.

 

I only look at gap risk.

 

agreed. But I wouldn’t use historical data. I would use theoretical scenarios.

 

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