Creating a Value at Risk (VaR) Model for futures?
I am attempting to build a value at risk model for a variety of different instruments, but I am having some trouble theoretically understanding how futures and options fit in. I get why and how a VaR model works and have built a few on spot instruments, I just want to make sure I am taking them into consideration correctly when I make one that includes futures and options positions.
So, how do futures and options affect a VaR model? or should I essentially treat the instrument like the underlying?
Aut corrupti fugiat est dolorem deserunt sed. Exercitationem non odit hic quia qui excepturi expedita. Voluptatibus est quam id. Ullam atque porro et recusandae. Officia est natus impedit ullam.
Nihil illum consequatur est magni praesentium sapiente. Corporis quidem expedita expedita.
Voluptas sunt et repudiandae beatae. Non totam dolorem rerum fuga itaque harum ut reprehenderit. Temporibus dolorem illo animi sit. Nesciunt ipsum ipsam voluptatem aut fugiat odit.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...