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EUR/USD   GBP/USD
USD/JPY   USD/INR

Probability of Non-Occurance

68.30%

90.00%

95.50%

99.70%

Confidence Level

84.00%

95.00%

97.50%

99.90%

1 DAY

50.5050

50.5150

50.5000

50.5300

 

50.4650

50.4550

50.4700

50.4400

                 

 

 

 

10 DAYS

50.5350

50.6150

50.6400

50.6900

 

50.4350

50.3550

50.3300

50.2800

                

 

 

 

15 DAYS

50.5700

50.6400

50.6550

50.7400

 

50.4000

50.3300

50.3150

50.2300

 Spot Rate basis : 50.4825 Volatility per annum : 1.5% 


Value at Risk (VaR) is a Risk Management and a Management Concept and is defined as an estimate of potential loss in a position or asset or portfolio of assets over a given holding period at a given level of certainty.  Thus VaR measures the probability of loss for a given period of time over which the position is held while the given time period could vary from one day to a week to a month or a year. This VaR will change if the holding period of an instrument/position is changed which of course depends on the liquidity of the instrument/market.

Thus, VaR measures potential loss and not potential gain. This Loss might arise out of an unexpected happening but the maximum amount of loss that might be sustained can be determined mathematically at varying degrees of certainty for a given range of volatility per annum. These varying levels of confidence use different Standard Deviations and are depicted in the chart below :


STANDARD DEVIATION PROBABILITY OF NON-OCCURANCE LEVEL OF CONFIDENCE
1 68.3% 84%
1.65 90% 95%
2 95.5% 97.5%
3 99.7% 99.9%


A Table is compiled below showing the Risk of a Loss in U.S.Dollar Vs. Indian Rupee if it held on for a period of One Day, 10 Days and 15 Days at all the aforementioned levels of confidence. This Table is dynamic and continually calculates both the upside and downside rates that the USD/INR might attain at the specified probability and at the present volatility of the currency. The Base Rate on which it is calculated is mentioned on top of the Table and the Volatility is automatically generated from our Real-Time Prices.


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