FX Markets

Predicting the unexpected

REAL-LIFE PROBLEMS, INNOVATIVE SOLUTIONS

Problem: An international portfolio management team is concerned about accurately assessing the risk from the currency exposures in their portfolio, particularly the risk of a large move against their positions. Several of the portfolio managers remember quite painfully the sharp appreciation of JPY in October 1998, and the performance effect that had on their portfolio. They would like to know how concerned they should be about a repeat of that episode in JPY, or any other currency for that

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