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In my opnion you should you the Full revaluation historical VaR. Please readmy thread . If you need more help on the same i can gudie you .Historical Value At Risk on option portfolio


One last question, if i have a short position, i should just add a minus in front my position right for the VaR calculation right? When calculating VaR and expressing as a notional amount (as opposed to a percentage), you always use the absolute value of the position. So if your portfolio consists of short 100 EUR and long 150 EUR you do not ...


Historical Simulation Pros: Easy to calculate Doesn't make assumptions about distribution of returns (uses empirical distribution) Can add some enhancements onto it such as giving a higher weighting to more recent returns (prevents ghosting mentioned below) or a weighting by volatility where more volatile returns get a higher weight. Cons: Assumes the ...

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