6) How Value-at-Risk (VaR) is calculated at Darwinex - Part II

6) How Value-at-Risk (VaR) is calculated at Darwinex - Part II

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United Kingdom Darwinex
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Published on ● Video Link: https://www.youtube.com/watch?v=_IsLJbn2B1o


Duration: 8:42
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In part II of this tutorial, we describe how Value-at-Risk is actually calculated at Darwinex.

We describe how we construct monthly snapshots of trading positions from the last 45 market days worth of position-taking by the trader.

We then describe how we conduct Monte Carlo simulations over this dataset using the D-Leverage and Duration for each position in each snapshot to simulate returns over the EUR/USD's last 1 year worth of price data, and why.

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Topics: #darwinex #var #risk #montecarlo #trading #dleverage



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Tags:
algorithmic trading
algorithmic traders
algo trading
algo traders
Forex Trading
FX trading
Investing
DARWINs
Darwinex
Investment
Risk
Hedge fund
value-at-risk
var
risk measurement
risk management
normal distribution
leptokurtic distribution
monte carlo simulation
monte carlo