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I am not a quant geek.I always have doubt what should be the VaR output for portfolio contains long and short of the same maturity @ same traded price. e.g. CME corn future of sept expiry

Groundwork

I was using the full revaluation with PnL approach at 95 percentile. The output was coming as zero.

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  • $\begingroup$ Are both positions (long&short) for exactly the same instrument? $\endgroup$ – Nicholas Mar 19 '16 at 20:40
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If your portfolio has both long and short position, it means it is completely hedge. Under such scenario, VaR would become zero, as there is no risk involve in portfolio.

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VaR is a method for simulating value of your future portfolio. If your portfolio is always zero, this is like not investing anything. Thus, there's no risk and VaR must always be zero.

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