Recent content by chitrader

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    var and risk capital

    i guess a 1 day var with 95% but its really not a math question, rahter a question like "what do you need, how much cap you need, how much var and what kinda return can you make? funds usually want a 20%return on capital ==>10,000,000 cap with 20% return is 2,000,000 then a var of 500,000 is...
  2. C

    VAR//haircut calculations

    ok var definition i get but i dont get is the RELATIONSHIP var and risk cap 10mio capital wants 20% yield=2,000,000 given a single asset which is indeed overly simplified what would you say VAR should be? 500,000?
  3. C

    var and risk capital

    is a 500,000 var realistic with 2,000,000 profit targit? (20% of 10,000,000 capital)?
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    VAR//haircut calculations

    would you know the rel ship between risk capital and var? "if a trader gets 10,000,000 capital bank probably wants 20% return(2,000,000) a var of 500,000 (1day) is realistic i.e p/l over var a 4:1 ratio im trying to figure out what a realistic risk capital is versus a given var thanks!
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    VAR//haircut calculations

    well its not so much the math behind but rather an intuitive approach... if a bank gives a trader 10,000,000 capital they prob. want a 20% return(2,000,000) then a var of 500,000 is realistic? too big,too small this with a commodity asset with rougly 42% vol/yr
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    VAR//haircut calculations

    does any1 have a easy numerical example how to calc 1.var 2.regulatory haircut capital also ive read somewhere that var=2.33*2.5%*net value trade where does the 2.33 come from? is that standard deviation? Thanks
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    Spark Spreads

    cer/eua/spark James who are you trading for in london?
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