FX Risk Terminal

Book Value (USD)

FX P&L today —

1-Day VaR 95%

Monte Carlo · 50k paths

Expected Shortfall 95%

Mean loss beyond VaR

Portfolio Vol ann.

diversification —

Value-at-Risk · 3 Methodologies1-day horizon

Method	95% VaR	99% VaR	95% ES	% of book
Computing VaR…

Three independent estimators on the same book. Convergence validates the model; divergence flags non-normal (fat-tailed) risk.

Risk Contributioncomponent VaR · 95%

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Each currency's additive share of total VaR. This is where risk concentrates — often not where the money sits.

Monte Carlo P&L Distribution50,000 correlated paths · Cholesky

Correlation Matrix30d log returns

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Historical Stress Scenariosstylised FX shocks → live book impact

Scenario	Book Impact (USD)	% of Book	Severity
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Min-Variance Hedgebest single forward

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FX Scenario Calculatorshock any currency

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Move a slider or pick a preset.

30-Day FX Performanceindexed to 100 · vs USD · ECB fixings

Rolling Volatility10-day window · annualised

Annualised Volatility30-day · color = risk tier

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PositionsTotal —

Ticker	Exch.	Shares	Avg Cost	Cost (local)	Value (USD)	Weight	FX P&L	FX Δ%
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