Calculating portfolio VaR for (custom) leveraged products

External question — Quantitative Finance Stack Exchange Author: Homunculus Reticulli Original post: https://quant.stackexchange.com/questions/4578 License: CC BY-SA 3.0 — https://creativecommons.org/licenses/by-sa/3.0/ Adaptation: HTML converted to plain text; contact email addresses removed. 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?