[R-SIG-Finance] [R-sig-finance] A VaR question

[Bogaso]

Hi  Heiko, I donot think there would be 100% correlation between 50% S&P and
+100% S&P 500 and  -50% S&P 500 future. Therefore I wondering how you can
take 1st series as a representative of 2nd series, if you really consider
daily P/L from them. Also I dont agree that "most difference arise from 
different trading times" because, generally we working with settlement price
in same exchange and therefore I have doubt whether this time effect is
anymore significant, however for intra-day trading they could be.

Best,



Heiko Mayer wrote:
> 
> I am afraid your question is quite confusing, a more precise sample would 
> be helpful. If you have an asset that should be hedged by a future and you 
> want to know historical VaR using daily data, you could just substract the 
> weight to get a good proxy for the HVaR.
> i.e. +100% S&P 500 and  -50% S&P 500 future => similar to 50% S&P 500
> Yes, I am aware that future returns can differ from spot (interests, 
> dividend expectations), however, in reality, most difference arise from 
> different trading times. Therefore, the proxy should be in most cases the 
> better choice.
> 
> Regards, 
> Heiko
> 
> 
> 
>>             
>> -------- Original-Nachricht --------
>> Datum: Thu, 12 Nov 2009 01:19:55 -0800 (PST)
>> Von: Bogaso <bogaso.christofer at gmail.com>
>> An: r-sig-finance at stat.math.ethz.ch
>> Betreff: [R-SIG-Finance] [R-sig-finance] A VaR question
>> 
>>             
>> Hi all,
>> 
>> My question is not directly R related but rather a finance related 
>> question.
>> Therefore I was wondering wheher I find a reliable answer here.
>> 
>> Here I wanted to calculate VaR for basis (spot-future). There could be 
>> two
>> approaches : 1: Assuming basis as a portfolio of two assets and then
>> calculate the risk of the spread, 2 : Create a historical price series of
>> basis then calculate VaR like single asset portfolio.
>> 
>> Which one would be correct approach? In my opinion 1st is correct 
>> because,
>> as basis can get any value like +ve & -ve, cashflow is not well defined 
>> in
>> the sense that, if I sell basis (as an asset) and that time basis is
>> negative, then I actually paying money for selling my asset !!! and 
>> secondly
>> I cannot calculate percentage/logarithmic return for basis as basis can 
>> take
>> zero-value as well.
>> 
>> Can anyone validate that? What is the standard approach for calculating 
>> risk
>> of a spread series? Should not we consider the fundamental risk factors
>> (like in basis-case they are spot & future)?
>> 
>> Best
>> -- 
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>> http://old.nabble.com/A-VaR-question-tp26315142p26315142.html
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>> 
>> 
>> 
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