Risk management in foreign exchange markets

Abstract

This project report looks at the different types risks involved in financial markets, especially the foreign exchange market. The project has a keen focus on an in-depth study of Value at Risk technique for risk measurement. Different methods for calculation of Value at Risk, such as the Historical method, Monte-Carlo Simulation method and Delta Normal Method were studied. These techniques were in turn applied to calculate the value at risk for different portfolios comprising of foreign currency assets, stocks, futures and options.