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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.