This workshop provides:
* familiarization with the currency risk taxonomy and identification of the connection of currency risk with other market risks, in particular, with interest (for example, due to interest rate parity);
* determining the main metrics of currency risk Value at Risk and alternative indicators based on the above concept (in particular, CFaR, EaR);
* identification of the connection between the controversial and forward exchange rates and quantification of the forward curve of the exchange rate;
* features of currency risk analysis for a portfolio with exposure to three or more currencies;
* identification of the role of volatility to determine the price of currency risk;
* application of the Value at Risk and Expected Shortfalls metrics to currency risk;
* Formation of programming skills in R for effective modeling of currency risk.
For more information on the seminar, please call (044) 227 81 73 or e-mail firstname.lastname@example.org.