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Former Member
Nov 12, 2012 at 06:31 PM

VAR (value at risk) for a portfolio

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Hi,

I´m trying to calculate the VAR (RMV0) for a portfolio, but the system show me the Var calculation only per contract.

Does anyone knows if there´s a way to calculate for a group of transactions (portfolio)? I know that since the system give me the information per contract I can sum the results, but I don´t think this will be correct.

I added the information of the portfolio in the selection screen but the system only showed per contract

Hope someone can help me.

Regards

George Passini