Calculate
Value at Risk
How much the currency market could take from what you hold, on a bad day, week or month. Fed by one or more FX Rates.
| Port | Side | What it carries |
|---|---|---|
exposures | In | One or more FX Rates outputs — each a holding in a foreign currency, with its rate history. |
out | Out | The amount at risk, with how it grows day by day over the horizon. |
What you choose
Two things, both on the card.
- How bad a day — drag the line across the chart, or pick 90%, 95% or 99%. The caption reads it back as a frequency: 1 month in 20.
- Over how long — 1, 5, 10, 20 or 30 days.
How far back to look is behind the pencil: up to 500 trading days, the default.
What Fluidly decides
What can go in. Only an FX Rates output carries a holding together with its rate history, so only that can be wired in. A bank account in your home currency has no market risk, and its everyday spending is not Value at Risk — the port will not light up for it.
The method. History, not a model. Fluidly replays every window of that length in the rates you have, applies it to what you hold today, and reads off where your chosen line falls. The chart on the card is those outcomes, as they were.
The figure. Value at Risk is a positive amount: SEK 25,110 at risk, not minus. Drag the line past the middle and it turns green — the gain you might see as often as you chose — and the figure goes negative, so the same wiring nets it.
Several currencies. Wire in more than one and they are weighed together, day by day, so currencies that tend to move against each other offset. The bar on the card splits the risk by currency, largest first: the one on the left is the one to hedge first. One drawn in the mirror colour gains when the rest lose — hedging it would make the number worse.
The output. The headline figure, and the same figure for every day of the horizon — day one's risk on day one, rising to the full horizon on the last. Day ten is exactly what the card would say at a ten-day horizon.
Example
Bank Account (EUR) → FX Rates → Value at Risk, then Forecast → Subtract → Timeline with Value at Risk → take away: your expected cash, minus what the euro could take from it.