Value at Risk

How much could a bad month cost?

Enter a currency exposure and see the adverse move it could face at 95% confidence, based on the last year of daily rate changes.

  • Value your exposure at today's rate
  • See the 95% adverse move over your horizon
  • Compare full exposure with the position after hedges

Reporting & horizon

Value at Risk uses historical daily exchange-rate changes and scales a one-day estimate to the selected period. A 95% estimate is not a maximum loss: larger losses can occur, and market conditions can change. The calculation assumes the stated hedges reduce the exposed amount and does not include their cost, spreads or fees. This is an illustration, not a trading recommendation.

Frequently asked questions

What is value at risk?

Value at risk is an estimate of how much a currency exposure could lose over a set period in a bad but plausible market, based on how rates have moved in the past. It is a guide, not a worst case.

How does the calculator work?

It uses historical daily rate moves to estimate the potential loss on your exposure over the horizon you choose, before and after your existing hedges.

Is the result a guarantee?

No. Past rate moves don't guarantee future ones, and real losses can be bigger. Use it as a starting point for a conversation about your hedging.

More tools: FX Range Forecasts and The Currency Year.