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I am new to risk management.

I am calculating the VaR for a portfolio of futures contracts, long and shorts. I calculated it using the historical, parametric, and MC method. But there is something which is not very clear for me when it comes to the parameters i take to calculate the MC VaR. I do a lookback on 270 days then generate my returns etc etc.

But I have a doubt when it comes to the positions of my portfolio. How do you include that, you directly pick your position and fill your position matrix?

I did that, but i think with this, you are missing the whole leverage aspect of the portfolio.

How would include this leverage in this, by multiplying the number of contracts by each point value of each futures composing the portfolio, say 250 for SP 500 futures?

Because right now, I feel my VaR figures a very low compared to the size of fictitious portfolio of around 10 million USD. I have some positions, and number of contracts( > 5 ) on each 7 lines of my 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?

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Yes, for futures I would use the Notional Value of the contracts for example Number of Contracts times 250 times S&P level for the big S&P futures, and similarly for other futures (50 for mini S&P, 1000 for Crude, 100 for Gold, etc.). And number of contracts is negative for a short position.

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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 calculate VaR against 50 EUR, but 150.

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