Value at Risk
Shows how much a position can lose over an hour, a day or three days, at the close and at the worst point within the period.
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Inputs
Instrument, side, position size, confidence levels, loss budget.
Outputs
VaR and expected shortfall in money and percent, probability of exceeding the budget, outcome distribution.
How it is reviewed
Out of sample on 30 contracts the one-hour 5% tail was breached 5.8% of the time and the 1% tail 0.8%. Reviewed every 14 days.
Limits
One position at a time, no correlation between positions, fees and funding excluded.
Versions
- v1.0
First version.