FX Risk Model

Welcome to the FX Risk Model

With growing capital and labour mobility, combined with an increasing range of Foreign Exchange (FX) and Cross-Border payment services available, more small-medium sized enterprises (SMEs) and individuals are expected to hold assets in foreign currencies. Changes in FX rates will change the value of these assets and this exposure to FX risk needs to be managed.

A useful way of monitoring FX risk involves calculating the Value at Risk (VaR). This website calculates the one day VaR for a UK-based investor's portfolio of assets held in currencies such as Australian Dollars (AUD), Canadian Dollars (CAD), Swiss Francs (CHF), Euros (EUR), Japanese Yen (JPY), New Zealand Dollars (NZD) and US Dollars (USD). This VaR model estimates the most that a portfolio can lose in one day, due to changes in FX rates given either 95% or 99% confidence intervals . This model is measuring the FX risk and not other risk factors such as equity, interest or credit risk. Valuations are in British Pound (GBP).

Click here to access the model Once you submit your inputs the model will calculate the VaR.

Calculating the correlations between economic indicators and FX rates can help SMEs and investors understand the dynamic nature of their risk exposures. Below is the link for correlation analysis using economic data from the IMF, OECD and World Bank.

Click here for the Correlation Analysis

Disclaimer:

FX Risk Model is for information purposes only and is not intended as financial or investment advice. The data and information used is correct to the best of my knowledge and as such it is possible there are errors or an absence of key information. Any action you take based upon the information in this website is strictly at your own risk.

Feedback:

Please contact adhough@hotmail.com or LinkedIn.