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Reporting Currency

Portfolio Compositions Analyzed

VaR will be calculated for three portfolio compositions to show the impact of hedging:

Forecasted Requirements only

Forecasted + Existing Hedge Trades

Forecasted + Existing + Potential Trades

VaR Method

Parametric Fast · Normal dist.

Uses mean and standard deviation of historical returns. Fast but assumes normal distribution — may underestimate tail risk.

Historical Empirical · No assumptions

Uses actual historical returns. No distribution assumption but requires sufficient history and assumes past patterns repeat.

Monte Carlo Simulation · Most flexible

Simulates thousands of random scenarios. Most flexible but computationally intensive.

Risk Parameters

Confidence Level

User defined

Time Horizon

Historical Lookback Window

Amount of historical data to use for calculations

Portfolio Notional by Layer

Gross Forecast

Total exposure

Net (Unhedged)

Forecasted only

Net w/ Hedges

After existing hedges

Net w/ All Trades

Including potential

VaR by Portfolio Composition

Forecasted Only

VaR

CVaR

Top Contributors

Forecasted + Existing

VaR

CVaR

Top Contributors

Forecasted + Existing + Potential

VaR

CVaR

Top Contributors

VaR Waterfall — From Undiversified to Hedged

Starting from the sum of individual standalone VaRs, shows how diversification and each hedge layer reduce portfolio risk. Green bars reduce risk. Red bars increase risk.

VaR Term Profile - Impact of Hedging

Comparison of VaR over time across three portfolio compositions

VaR Analysis

Log In

Portfolio Compositions Analyzed

VaR Method

Risk Parameters

Portfolio Notional by Layer

VaR by Portfolio Composition

VaR Waterfall — From Undiversified to Hedged

VaR Term Profile - Impact of Hedging

Method Comparison

VaR Analysis

Log In

Portfolio Compositions Analyzed

VaR Method

Risk Parameters

Portfolio Notional by Layer

VaR by Portfolio Composition

VaR Waterfall — From Undiversified to Hedged

VaR Term Profile - Impact of Hedging

Method Comparison

Calculating VaR Analysis