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| Value-at-Risk (VaR) Calculation | |||||||||||
| Parametric VaR using variance-covariance method with portfolio diversification effects | |||||||||||
| 1. VaR Parameters | |||||||||||
| Confidence Level: | 95.0% | ||||||||||
| Holding Period (days): | 10 | ||||||||||
| Z-Score (Normal): | 1.6449 | ||||||||||
| Observation Period: | 12 months | ||||||||||
| Return Frequency: | Monthly | ||||||||||
| Base Currency: | USD | ||||||||||
| Valuation Date: | 2/12/2026 | ||||||||||
| 2. Individual Currency VaR (Undiversified) | |||||||||||
| Currency | Exposure (USD) | Ann. Volatility | Daily Volatility | 1-Day VaR (95%) | 10-Day VaR (95%) | VaR as % of Exp. | Risk Contribution | ||||
| EUR/USD | $58,440,000 | 8.2% | 0.52% | $496,536 | $1,570,186 | 2.7% | 24.7% | ||||
| GBP/USD | $32,550,000 | 9.1% | 0.57% | $306,916 | $970,553 | 3.0% | 15.3% | ||||
| USD/JPY | $40,700,000 | 11.2% | 0.71% | $472,323 | $1,493,618 | 3.7% | 23.5% | ||||
| USD/CNY | $37,100,000 | 4.8% | 0.30% | $184,519 | $583,502 | 1.6% | 9.2% | ||||
| USD/BRL | $22,240,000 | 17.5% | 1.10% | $403,274 | $1,275,263 | 5.7% | 20.1% | ||||
| USD/CAD | $13,950,000 | 7.2% | 0.45% | $104,072 | $329,104 | 2.4% | 5.2% | ||||
| USD/MXN | $1,600,000 | 12.8% | 0.81% | $21,221 | $67,105 | 4.2% | 1.1% | ||||
| USD/CHF | $2,100,000 | 8.2% | 0.52% | $17,843 | $56,424 | 2.7% | 0.9% | ||||
| UNDIVERSIFIED TOTAL | $208,680,000 | $2,006,704 | $6,345,755 | 3.0% | 100.0% | ||||||
| 3. Variance-Covariance Matrix | |||||||||||
| EUR/USD | GBP/USD | USD/JPY | USD/CNY | USD/BRL | USD/CAD | USD/MXN | USD/CHF | ||||
| EUR/USD | 1.00 | 0.82 | -0.45 | -0.38 | -0.52 | -0.55 | -0.42 | 0.88 | |||
| GBP/USD | 0.82 | 1.00 | -0.35 | -0.32 | -0.48 | -0.50 | -0.38 | 0.72 | |||
| USD/JPY | -0.45 | -0.35 | 1.00 | 0.55 | 0.30 | 0.45 | 0.35 | -0.42 | |||
| USD/CNY | -0.38 | -0.32 | 0.55 | 1.00 | 0.42 | 0.38 | 0.45 | -0.35 | |||
| USD/BRL | -0.52 | -0.48 | 0.30 | 0.42 | 1.00 | 0.55 | 0.65 | -0.48 | |||
| USD/CAD | -0.55 | -0.50 | 0.45 | 0.38 | 0.55 | 1.00 | 0.52 | -0.50 | |||
| USD/MXN | -0.42 | -0.38 | 0.35 | 0.45 | 0.65 | 0.52 | 1.00 | -0.40 | |||
| USD/CHF | 0.88 | 0.72 | -0.42 | -0.35 | -0.48 | -0.50 | -0.40 | 1.00 | |||
| 4. Diversified Portfolio VaR | |||||||||||
| Undiversified VaR (10-day, 95%): | $6,345,755 | ||||||||||
| Diversified VaR (10-day, 95%): | $2,409,586 | ||||||||||
| Diversification Benefit: | $3,936,169 | ||||||||||
| Diversification Ratio: | 38.0% | ||||||||||
| Undiversified VaR (1-day, 95%): | $2,006,704 | ||||||||||
| Diversified VaR (1-day, 95%): | $761,978 | ||||||||||
| VaR as % of Total Exposure: | 1.15% | ||||||||||
| Expected Shortfall (ES) Estimate: | $4,970,283 | ||||||||||
| 5. VaR Sensitivity by Confidence Level & Holding Period | |||||||||||
| Confidence Level | Z-Score | 1-Day VaR | 5-Day VaR | 10-Day VaR | 20-Day VaR | 30-Day VaR | |||||
| 90.0% | 1.2816 | $593,678 | $1,327,505 | $1,877,376 | $2,655,010 | $3,251,710 | |||||
| 95.0% | 1.6449 | $761,978 | $1,703,834 | $2,409,586 | $3,407,669 | $4,173,525 | |||||
| 97.5% | 1.9600 | $907,953 | $2,030,244 | $2,871,198 | $4,060,488 | $4,973,061 | |||||
| 99.0% | 2.3263 | $1,077,680 | $2,409,765 | $3,407,923 | $4,819,531 | $5,902,696 | |||||
| 99.5% | 2.5758 | $1,193,252 | $2,668,193 | $3,773,394 | $5,336,385 | $6,535,710 | |||||
| Notes: | |||||||||||
| - Parametric VaR assumes normal distribution of returns. Consider supplementing with Historical Simulation and Monte Carlo methods. | |||||||||||
| - Expected Shortfall (CVaR) provides average loss beyond VaR threshold. ES = VaR * [phi(z) / (1-alpha)] under normality. | |||||||||||
| - Diversification benefit reflects correlation offsets. Green text = cross-sheet references. Blue = user inputs. | |||||||||||
| - Sample correlation and volatility data. Replace with actual market data for production use. | |||||||||||