I'm working in a very small commodity trading company. They are not used to excel at all, so i built their trading sheet to follow open positions & past positions.
Now they asked me to calculate the VaR of the total portfolio.
I have never done that, so I read a lot of ressources on the internet, especially topics on here, but none of them really explain on how to do it precisely. I'm calculating historical VaR
The portfolio is made of futures & options
They dont roll the futures. They keep the positions for a relatively short time (2-3 weeks)
We have deposited 20k$ at the bank
So I tried doing it:
I choose the number of windows (1 year) so 250 cases
I collected historical return of futures on t-1 I applied that return on t-1 to today futures position and record dollar P&L
This is my first question. What does it mean to today's futures position ? I saw someone on youtube multiply it by the value of my portfolio (20k$) ?
I repeat but change t-1 to t-2 and so on until I have 250 cases I then choose my significance level (5%) I rank those 250 P&L and get 5%th lowest percentile (top 5% most negative P&L)
But the result is only for one futures position, how do i add different VaR to have the total VaR of the porfolio ?
Because i have futures & options, and I don't know how to calculate the weight of each positions. Some people say to use the initial margin that i keep at the broker, but i wanted to be sure.
Thank you in advance for your help