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by JG
Wed Mar 30, 2005 8:59 am
Forum: Money Management
Topic: VaR
Replies: 21
Views: 30707

(in attempting to answer the original question .... )

One way to estimate a daily VaR at the 95% confidence level, for the system/portfolio (using historic simulation) would be to calculate the daily changes for the system for maybe the past 125 trading days (~6 trading months), sort these lowest ...
by JG
Thu Mar 24, 2005 9:45 am
Forum: Money Management
Topic: VaR
Replies: 21
Views: 30707

If VaR is assumed to be the max possible loss over the VaR time window and leverage is routinely applied as such, I agree with the Taleb argument.
by JG
Wed Mar 16, 2005 11:13 pm
Forum: Testing and Simulation
Topic: Encoding geometric patterns
Replies: 5
Views: 9299

William Eckhardt stated something along these lines nicely in his MW interview (not verbatim).
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The probability of having a reversal day, given the market is at a price extreme, is a very different probability than the probability that the market is at a price extreme, given the fact that a ...
by JG
Sun Mar 13, 2005 8:59 am
Forum: Money Management
Topic: VaR
Replies: 21
Views: 30707

CME's SPAN margins and VaR are very similar in concept. The 95% daily VaR for a TF portfolio, as a percent of trading level, in my experience, is usually significantly less than a SPAN'ed margin to equity ratio on the TF portfolio.

Dan G. wrote:
I've been thinking the only way to get a ...

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