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README.md

Validus-Risk-Management-Junior-Quant-Case-Study

FX simulation and hedging analysis This repository contains a Monte Carlo FX simulation and hedging analysis completed as part of a Junior Quantitative Analyst case study.

Contents

  • GBPHUF FX simulation using GBM
  • FX risk impact on portfolio IRR
  • Hedging using FX options
  • Forward hedge and margin call risk analysis

Tools

  • Python
  • NumPy
  • Pandas
  • Matplotlib

Notes

All results are presented in GBP unless stated otherwise.

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