プロップトレーディングにおける流動性の低い資産のポジションサイジングに関する質問

This is a great question. I'm wondering, for those really illiquid OTC derivatives, how do you even get a reliable mark-to-market for your VaR calculation? Or do you use a different metric entirely for those?

That's a great question, and it highlights a common challenge in prop trading. For illiquid assets, have you explored using something like a "liquidation cost" or "slippage cost" factor to adjust your position sizing? It might give a more realistic picture of the true risk beyond just VaR.