var for cob 28 th july 2000 hi all ,
i have run the var model for the positions at close fo business 28 th of july .
the model is attached below .
as a summary the results are as follows :
and as a comparison the previous days figures were :
this shows some increase in var for aluminium , copper and lead . the prices
for gold and cocoa beans have not been updated
as we still do not have a live feed to bloomberg / reuters . i will be working
on this with cantekin and andreas should also be able to
provide some more historical data .
also , after having a discussion with andreas here in london we should
probably reduce the vol we are using for tc - we are taking the cu price
vol as a proxy which is a too high . however , assuming the the other
assumptions we have made around the tc ( ie simulating a parallel shift in
the curve and
including no term structure to the price curve ) the vol estimate is a
conservative one .
cheers
kirstee
var for cob 28 th july 2000
hi all ,
i have run the var model for the positions at close fo business 28 th of july .
the model is attached below .
as a summary the results are as follows :
and as a comparison the previous days figures were :
this shows some increase in var for aluminium , copper and lead . the prices
for gold and cocoa beans have not been updated
as we still do not have a live feed to bloomberg / reuters . i will be working
on this with cantekin and andreas should also be able to
provide some more historical data .
also , after having a discussion with andreas here in london we should
probably reduce the vol we are using for tc - we are taking the cu price
vol as a proxy which is a too high . however , assuming the the other
assumptions we have made around the tc ( ie simulating a parallel shift in
the curve and
including no term structure to the price curve ) the vol estimate is a
conservative one .
cheers
kirstee