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Co-Authored-By: Claude Opus 4.8 <noreply@anthropic.com>
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sauc
2026-06-19 21:41:39 -04:00
co-authored by Claude Opus 4.8
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@@ -140,3 +140,9 @@ fx-dashboard/
- **Diversification ratio** = `Σ|eᵢ|·σᵢ / √(eᵀΣe)`; 1.0 means the book moves as a single bet, higher means correlations are reducing risk.
- Stress shocks are **stylised** representative magnitudes for scenario analysis, not exact historical replays. JPY and CHF appreciate in risk-off scenarios (safe-haven behaviour); EM currencies (BRL, MXN, KRW) carry the largest downside.
- Rates are ECB daily fixings — this models **FX risk on the book**, not intraday stock P&L (no equity price feed).
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## License
MIT — see [LICENSE](LICENSE).