FX Risk Architecture
Advanced exposure management systems for currency portfolios including value-at-risk, stress testing, and scenario analysis
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VaR w Akcji: Praktyczny Przewodnik po Obliczaniu Ryzyka dla Twojego Portfela Walutowego
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Jak przetrwać huragan na rynku? Symulacje ekstremalnych ruchów i obrona kapitału
VaR w Akcji: Praktyczny Przewodnik po Obliczaniu Ryzyka dla Twojego Portfela Walutowego
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Jak przetrwać huragan na rynku? Symulacje ekstremalnych ruchów i obrona kapitału
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Value at Risk (VaR) na Forex: Nie Taki Diabeł Straszny, Jak Go Malują
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Twój Portfel FX vs. Huragan z 2008: Czy Przetrwałby Burzę?
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FX Risk Architecture: Exposure Management FAQ
Answers about advanced risk assessment tools including value-at-risk, stress testing, and scenario analysis for professional currency portfolios.
How do you calculate Value-at-Risk (VaR) specifically for forex portfolios?
Our FX VaR methodology incorporates: 1) Currency-specific volatility clustering, 2) GARCH modeling for conditional variance, 3) Correlation breakdown scenarios, 4) Liquidity-adjusted position sizing, and 5) Politically sensitive tail risk factors. We provide 95%/99% confidence interval VaR with crisis multipliers for EM currencies.
What stress testing scenarios do you run on currency portfolios?
Our stress framework includes: 1) Historical crises (2015 CHF, 2020 COVID), 2) Synthetic black swans (EM sovereign default cascades), 3) Correlation shocks (safe-haven decoupling), 4) Liquidity evaporation events, and 5) Central bank policy failures. Each scenario tests portfolio resilience under 10-15 standard deviation moves.
How do you analyze currency exposure across correlated pairs?
We employ: 1) Net directional exposure matrices by currency bloc, 2) Beta-adjusted position sizing, 3) Volatility-regime correlation mapping, 4) Liquidity corridor analysis for exits, and 5) Carry trade unwind sensitivity scoring. This prevents hidden concentration in currencies like USD/JPY and EUR/CHF.
What tools help manage counterparty risk in forex trading?
Our systems include: 1) Broker exposure dashboards tracking credit limits, 2) Settlement failure probability models, 3) Prime broker concentration alerts, 4) Collateral optimization engines, and 5) Legal entity risk scoring based on balance sheet strength. Real-time monitoring prevents single counterparty exposure >15%.
How do you incorporate geopolitical risk into currency exposure analysis?
We quantify geopolitical risk through: 1) Sanction vulnerability indexes, 2) Capital control probability models, 3) Election volatility scores, 4) Sovereign CDS-FX basis monitors, and 5) Dual-listed arbitrage gaps. Country risk ratings dynamically adjust position limits and hedging requirements.
What real-time monitoring tools prevent liquidity crises?
Our liquidity safeguards include: 1) Bid-ask spread heatmaps, 2) Market depth oscillators, 3) Venue fragmentation scores, 4) Execution failure prediction models, and 5) Contingent liquidity buffers. Alarms trigger at >30% spread widening or >40% depth reduction versus 20-day averages.