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  • VaR / CVaR

    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
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