I would like to know how you would compute Value at Risk on a portfolio of futures i.e rates futures, commodity futures and equity. How do you deal with the discontinuous form of commodity futures for example, how do you select the right time series for these futures when liquidity and seasonality aspects kicks in. Do we need to build a constant maturity futures contract to be able to calculate the VaR? Or we can directly calculate the VaR on the continuous price time series( GFUT as example on Bloomberg). I am afraid that as Parametric VaR involves the calculation of CovVar matrix of returns, the selection of good n fair prices of futures in critical in order not to get misleading results of VaR?
Any experience on that?
Thank you very much