Recent content by a_cats

Thank you John for your reply, I completely agree on all the points raised. I need to add that I approach this problem not as a trader but as someone who oversees the combined exposure of more than one trader. It is complex to consider more than 2 pairs of currencies at time and that's why I am...

Thank you for your attention, I really appreciate your help. As correctly pointed out VAR is a tool used in portfolio management and this is the area where I saw it applied (mainly equities). Nonetheless I see some validity in applying it for the risk management of currency positions. Let's...

Thank you for the reply John. I am aware of the limits of VaR, still I believe it could be a fair tool for the approximate sizing of a portfolio of (pairs of) currencies, given some externally imposed daily (or weekly or monthly) loss limits and given the correlation of some pairs. Would you...

Hello all, do you know any plug-in for metatrader that calculates the value at risk of the open positions? Thank you a_cats

Hi GC1, thanks for your summary. It's very useful. In particular can you elaborate on"P + L accrue in different currencies unless you offset a position using a slightly different size.". I find this thing - accrue in different currencies - a bit annoying, how can I manage this? Are you able to...