I've finished this lecture series and I just have one word: impressive. You guys solved most of the limitations that usual variance-covariance VaR calculations have (mainly the correlation, different expected levels of loss in different assets, normal distribution of returns assumptions, etc). All while making use of the not-so-common Monte Carlo VaR calculation, but adding some touches of your own. I'll be replicating this on python for my use, superb series. Mr. Saif explained everything to perfection, just the right tone and speed to keep up.
Thank you for your kind comments and feedback @Hooregi - much appreciated! 🙏 Great to hear you found the tutorials useful - we'll be doing more of these soon, so stay tuned 🙌 Kind regards, The Darwinex Team
This whole series was just excellent - I'm new to the industry, yet followed all concepts thanks to Mr Saif's excellent explanations, very impressive! There is a lot of content on your RUclips! Would you be able to kindly suggest which playlists are 'must watch' for new investors? Thank you!
Hi. Nice explanation. However I have an issue here with the definition of leverage as the determinent of risk, which IMO is not - at least not always. Say in the extreme scenario 4 the trader took a position of 1 lot. That 20 pips would be a risk of 2% of his account all the while using the leverage of 200 to open that position using $500 of margin. Ok if he took 20 lots he would be risking 40%. My point is that leverage can be used as capacity and the calculation risk be defined by other factors.
Hi @Demetrios, Thank you for your interest in the tutorial, insightful comments and feedback - really makes our day when we get such Q&A from viewers :) To clarify, the concept employed in this tutorial is "D-Leverage", a metric proprietary to Darwinex that serves to calculate the "risk of a trading decision". In previous tutorials exclusive to D-Leverage, we in fact discuss how just "leverage" (not D-Leverage) and the volatility of historical returns on their own are insufficient determinants of risk, motivating the need for a metric that captures leverage, volatility, correlations between assets that compose positions and their duration, subsequently normalized to the risk of a reference asset over a given time horizon. For detailed information on D-Leverage, kindly watch the following tutorials: 1) Measuring the Risk of a Trading Decision (D-Leverage) ruclips.net/video/eGsr8nZU04Y/видео.html 2) Calculating the Risk (D-Leverage) of a Position ruclips.net/video/QJMBXabXMLw/видео.html Huge thanks once again for your questions - really pleased to see such insightful interest in the content, much appreciated!
Hi Ali, thanks for the great tutorial. From your video, I get the reason why it is better to have a VaR that is constantly in a range between 10 and 30% (better if 10 and 20%). What would you say about a VaR that is below 10%? In my particular case, it seems that my VaR is in a range between 3.5 and 7%. Thanks for the support :)
Hi @Federico, Thank you for your kind comments and feedback - much appreciated :) As your questions cover a few subtopics themselves, we’ll include relevant subject matter around these in future video tutorials dedicated to the Darwinex Risk Manager. This way it will benefit everyone else’s understanding as well - stay tuned and thanks again!
I've finished this lecture series and I just have one word: impressive. You guys solved most of the limitations that usual variance-covariance VaR calculations have (mainly the correlation, different expected levels of loss in different assets, normal distribution of returns assumptions, etc). All while making use of the not-so-common Monte Carlo VaR calculation, but adding some touches of your own. I'll be replicating this on python for my use, superb series. Mr. Saif explained everything to perfection, just the right tone and speed to keep up.
Thank you for your kind comments and feedback @Hooregi - much appreciated! 🙏
Great to hear you found the tutorials useful - we'll be doing more of these soon, so stay tuned 🙌
Kind regards,
The Darwinex Team
I came here to learn about VAR because Ramesh in the movie "Margin Call" mentioned it lol
This whole series was just excellent - I'm new to the industry, yet followed all concepts thanks to Mr Saif's excellent explanations, very impressive!
There is a lot of content on your RUclips! Would you be able to kindly suggest which playlists are 'must watch' for new investors?
Thank you!
Hi. Nice explanation. However I have an issue here with the definition of leverage as the determinent of risk, which IMO is not - at least not always. Say in the extreme scenario 4 the trader took a position of 1 lot. That 20 pips would be a risk of 2% of his account all the while using the leverage of 200 to open that position using $500 of margin. Ok if he took 20 lots he would be risking 40%. My point is that leverage can be used as capacity and the calculation risk be defined by other factors.
Hi @Demetrios,
Thank you for your interest in the tutorial, insightful comments and feedback - really makes our day when we get such Q&A from viewers :)
To clarify, the concept employed in this tutorial is "D-Leverage", a metric proprietary to Darwinex that serves to calculate the "risk of a trading decision".
In previous tutorials exclusive to D-Leverage, we in fact discuss how just "leverage" (not D-Leverage) and the volatility of historical returns on their own are insufficient determinants of risk, motivating the need for a metric that captures leverage, volatility, correlations between assets that compose positions and their duration, subsequently normalized to the risk of a reference asset over a given time horizon.
For detailed information on D-Leverage, kindly watch the following tutorials:
1) Measuring the Risk of a Trading Decision (D-Leverage)
ruclips.net/video/eGsr8nZU04Y/видео.html
2) Calculating the Risk (D-Leverage) of a Position
ruclips.net/video/QJMBXabXMLw/видео.html
Huge thanks once again for your questions - really pleased to see such insightful interest in the content, much appreciated!
Hi Ali, thanks for the great tutorial.
From your video, I get the reason why it is better to have a VaR that is constantly in a range between 10 and 30% (better if 10 and 20%).
What would you say about a VaR that is below 10%?
In my particular case, it seems that my VaR is in a range between 3.5 and 7%.
Thanks for the support :)
Hi @Federico,
Thank you for your kind comments and feedback - much appreciated :)
As your questions cover a few subtopics themselves, we’ll include relevant subject matter around these in future video tutorials dedicated to the Darwinex Risk Manager.
This way it will benefit everyone else’s understanding as well - stay tuned and thanks again!