Relative Analytica |

FX Risk

Exchange rate **risk** can be attributed to each underlying currency. In the **interactive service** below, select the two currencies associated with the exchange rate of interest. The values are derived from our latest weekly risk model dated:

26-05-2021

**Contents**

Select currencies

Ex-ante correlations

Ex-ante risk decomposition

Value-at-Risk

Expected shortfall

Distribution comparison

Exchange rate - EUR/USD

__Fixed currency__ (Fixed):
__Variable currency__ (Vari):

Ex-ante correlations

A summary of the ex-ante correlations

Type | Name | Vol | EUR | USD | EUR/USD | |
---|---|---|---|---|---|---|

Fixed | Euro Member Countries | 3.286% | EUR | 100.0% | 24.8% | 58.4% |

Vari | United States Dollar | 3.476% | USD | 24.8% | 100.0% | -64.2% |

FX | EUR/USD exchange rate | 4.150% | EUR/USD | 58.4% | -64.2% | 100.0% |

*Notes:*This table reports the ex-ante correlation matrix for movements in the exchange rate and the underlying currencies, together with the annualised volatilities (Vol).

Ex-ante risk decomposition

A summary of the ex-ante risk decomposition

Vol | CTR | PCTR | 99.0% VaR | 99.0% ES | |
---|---|---|---|---|---|

EUR | 3.286% | 1.919% | 46.26% | -4.465% | -5.116% |

USD | 3.476% | 2.230% | 53.74% | -5.188% | -5.944% |

EUR/USD | 4.150% | 4.150% | 100.00% | -9.653% | -11.059% |

*Notes:*This table reports the annualised volatility (Vol), contribution to risk (CTR), percentage contribution to risk (PCTR), 99% percentile value-at-risk (VaR) and 99% percentile expected shortfall (ES) for movements in the exchange rate, and each underlying currency. It should be noted that all numbers relate to the exchange rate as a portfolio of two currencies (fixed - vari). Both VaR and ES are marginals, such that the sum of the two currency values equal the exchange rate value.

Value-at-Risk

A summary of the value-at-risk

99.0% VaR | 97.5% VaR | 95.0% VaR | 90.0% VaR | CTR | PCTR | |
---|---|---|---|---|---|---|

EUR | -4.465% | -3.762% | -3.157% | -2.460% | 1.919% | 46.26% |

USD | -5.188% | -4.371% | -3.668% | -2.858% | 2.230% | 53.74% |

EUR/USD | -9.653% | -8.133% | -6.825% | -5.318% | 4.150% | 100.00% |

*Notes:*This table reports the value-at-risk (VaR) for different percentiles, together with the contribution to risk (CTR) and percentage contribution to risk (PCTR). It should be noted that the VaR values are marginals based on the contribution to risk, such that the sum of the two currency VaR values equal the exchange rate VaR value.

Expected Shortfall

A summary of the expected shortfall

99.0% ES | 97.5% ES | 95.0% ES | 90.0% ES | CTR | PCTR | |
---|---|---|---|---|---|---|

EUR | -5.116% | -4.487% | -3.959% | -3.369% | 1.919% | 46.26% |

USD | -5.944% | -5.214% | -4.600% | -3.914% | 2.230% | 53.74% |

EUR/USD | -11.059% | -9.701% | -8.559% | -7.282% | 4.150% | 100.00% |

*Notes:*This table reports the expected shortfall (ES) for different percentiles, together with the contribution to risk (CTR) and percentage contribution to risk (PCTR). It should be noted that the ES values are marginals based on the contribution to risk, such that the sum of the two currency ES values equal the exchange rate ES value.

Distribution comparison

A summary of the value-at-risk for different distributions

Distribution | 99.0% VaR | 97.5% VaR | 95.0% VaR | 90.0% VaR | CTR | |
---|---|---|---|---|---|---|

EUR/USD | Normal | -9.653% | -8.133% | -6.825% | -5.318% | 4.150% |

EUR/USD | t(10) | -13.151% | -10.929% | -9.246% | -7.521% | 4.150% |

EUR/USD | t(5) | -16.731% | -13.127% | -10.667% | -8.361% | 4.150% |

*Notes:*This table reports the value-at-risk (VaR) for different percentiles and different distributions (normal and t), together with the contribution to risk (CTR).