Currency risk

MacroVar monitors global currency risk by monitoring the implied volatility of JPY, CHF and Gold. Currency Risk is one of the components of MacroVar Risk Management model. Learn more about how MacroVar risk management model monitors currency risk.


Currency risk model

Currency risk is the increased volatility of currencies. Currency risk is modeled by monitoring the implied volatility of one month for the Swiss Franc (CHF), Japanese Yen (JPY) and Gold (GVZ). When investors sense rising financial risk, they move funds to safe currencies and commodities like the CHF, JPY and Gold. This causes a rise in implied volatility of these assets.

MacroVar calculates for each of the fixed implied volatility indicators tracked the five year z-score. Extreme values of z-scores greater than two indicate elevated credit risk conditions and vice-versa. MacroVar currency risk index is the average of z-scores of the six indices tracked.