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@gmail.com>
> An: r-sig-finance@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
> -- 
> View this message in context: 
> http://old.nabble.com/A-VaR-question-tp26315142p26315142.html
> Sent from the Rmetrics mailing list archive at Nabble.com.
> 
> 
> 
        
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