|
|
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.
|
TOP
|
|
|
