NKD Group

Value-at-Risk (VaR) for FX Analytics

VAR, or value-at-risk, is a method of assessing risk by applying traditional statistical techniques that are routinely incorporated in many technical fields. For example, VaR is often computed to estimate the maximum loss over a defined decision-making horizon such that there is a low -- or, pre-specified -- probability that the actual loss will not be larger.

The first WinORS supported application of VaR evolves around the process of managing risk in international cash flows.

Relying upon real-time FX data imported from supported Internet based sites, WinORS calculates a portfolio variance for long- and short-FX positions.

Future VaR related enhancements will include:

1. Derivative hedging VaR
2. Stock portfolio VaR
3. Real option VaR

Please contact our Webmaster with questions or comments.
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