💱 FX Positions

The FX VaR calculator is a tool for calculating the Value-at-Risk (VaR) for one or more foreign currency positions. It was developed specifically for the analysis of foreign currency risks and is suitable for both learning purposes and practical applications in risk management.

The Documents & Materials area contains a mathematical description of a risk calculator .

The following elements are discussed in detail:

-Calculation of VaR using three methods: variance-covariance, historical simulation, Monte Carlo

-Expected Shortfall (CVaR) as a supplementary risk measure

-Multi-currency portfolio with diversification analysis

-Statistical indicators of exchange rate returns

-Graphical representation of return distribution and time series

-CSV export and import for data analysis

-Input parameters (currency selection, position size, confidence level, holding period, volatility)

-Expected Shortfall (CVaR)