[R-SIG-Finance] A Value at Risk question

Bogaso bogaso.christofer at gmail.com
Sun Apr 18 18:01:07 CEST 2010

Hi all, I need to calculate Value at Risk in Parametric setup for a typical
client defined exotic portfolio.

Suppose currently I own 10 units of some asset say it is A and in next 10
days (say, "i" which runs from 1 to 10) and I would sell each unit of "A" in
next 10 days, and put the proceeding in some risk free bond for (30-i) days,
I assume there would not be any day-by-day change in the interest offerings
by that risk free Bond i.e. a non-stochastic nature of risk free rate is

My goal is to calculate 1-day VaR under Parametric setup at time "t=0" for
that portfolio. Would it be like simple "-1.96*10*S(0)*sigma"? Your help
will be highly appreciated.

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