I have been searching online for a few days regarding how to calculate portfolio VaR for a portfolio consisting of leveraged products - but so far, I have not been able to come up with anything remotely useful and practical (i.e. so that I can implement it in a spreadsheet for example).
I am trading custom leveraged products, and my PnL movements are based on the following two criteria:
The gearing with respective to a point movement in the market (At the point at which the transaction is created, I get to choose the gearing - for example, I can choose to risk 100 cents for every point move in the underlying market).
The margin gearing which relates to how much margin the broker requires in order to establish a position (actually this may be irrelevant in risk calculation, as margining appears to be ignored in futures VaR calculation).
My questions are:
How can I build a VaR model that takes into account the fact that each trade (i.e. transaction) may have a different gearing?
What would be the steps required to build a simple Excel model to help me calculate a VaR for my portfolio?