What's up players?
Long time ago since I was here, and took the advice to not trade in the current environment so haven't had shit to do.
In my loneliness I borrowed a book about Value at Risk (VaR) from Philippe Jorion. I found it very interesting and I am planning to study it all, the most interesting part is estimating risk with monte carlo simulation and historial data.
Now the question is, how do you guys incorporate VaR: Monte carlo and/or historical data into your trading? Preferably your intraday trading.
From what I understood, it is what you estimate to lose over a period and within a given confidence, but what has that to do with intraday trading or how to use it? As I understood it, the banks use it for their prop desks and other divisions but how to measure that risk in our own trading portfolios?
It would be very interesting to have some ideas to think about as I work through the book and the concept.
Thank you and take care.
PS. I don't want a discussion about whether or not it works in trading, theory or whatever. I just want to see how and if people use it.
Long time ago since I was here, and took the advice to not trade in the current environment so haven't had shit to do.
In my loneliness I borrowed a book about Value at Risk (VaR) from Philippe Jorion. I found it very interesting and I am planning to study it all, the most interesting part is estimating risk with monte carlo simulation and historial data.
Now the question is, how do you guys incorporate VaR: Monte carlo and/or historical data into your trading? Preferably your intraday trading.
From what I understood, it is what you estimate to lose over a period and within a given confidence, but what has that to do with intraday trading or how to use it? As I understood it, the banks use it for their prop desks and other divisions but how to measure that risk in our own trading portfolios?
It would be very interesting to have some ideas to think about as I work through the book and the concept.
Thank you and take care.
PS. I don't want a discussion about whether or not it works in trading, theory or whatever. I just want to see how and if people use it.