Practice Drills: Structuring a Value at Risk Calculation for a Multi Asset Book

A hands-on drill course for quant researcher aspirants, prop trading applicants and systematic traders scaling beyond one strategy. Knowing the VaR formula is easy; structuring a VaR calculation for a real book that holds Nifty stocks, Government securities, USD/INR futures, gold and Nifty options is where most candidates fall apart in interviews and most desks get the number quietly wrong. You work on one realistic INR book throughout and structure its VaR drill by drill. You fix the question (horizon, confidence, base currency), inventory the positions, and map each one to risk factors: equity beta, G-Sec key rate vertices through cash-flow mapping, currency and commodity exposures, and option delta and gamma. Then you compute parametric, historical simulation and Monte Carlo VaR on the same book, explain why the three numbers differ, decompose risk into component, marginal and incremental VaR, extend to expected shortfall and multi-day horizons, overlay stress scenarios from real Indian market episodes, backtest with the Kupiec test and a traffic light, and write the methodology note a risk committee will actually sign. Every drill uses NSE, RBI and MCX instruments and INR figures.