FX Risk Tool Brochure

Following the release of our Sovereign Risk Tool, we have introduced a complementary tool measuring currency risk in 166 countries. Our FX Risk Tool allows clients to measure the risk of a sharp depreciation for both floating and pegged currencies, making it a unique product in its space. In addition, it provides early warning indicators highlighting currency risk in developed, emerging and frontier markets.

The tool helps analysts to assess the value at risk of their exposures and it can offer added value in managing carry strategies. The FX Risk Tool is also complementary to our Exchange Rate Service. The latter lays out our baseline view on the currencies’ valuations, and the FX Risk Tool signals the probability of a major depreciation or a currency crisis and thus a risk to the baseline.

What’s included?

• Quarterly FX risk scores: updated monthly, based on historical data from 2000 and our forecasts, providing a forward-looking indicator
• Forward-looking measure, using both established international data sources and our one-year-ahead forecasts for 166 countries, presented as a score from 1 to 10 (where 10 is high risk)
• Spreadsheet-based analytical indicator: allows easy comparison of FX risk and its drivers (17 sub-components across a range of exchange rate regimes, utilising more than 22 data series) across countries, regions and time
• Expertise of our team of 250 economists, who monitor and analyse the data and the risk measures. Therefore, the results are rigorously back-tested, predicting the likelihood of a currency crisis and ability to manage carry strategies and assess value at risk
• Monthly chartbook. Highlights currency risk developments across the EM space. Our Risk Chartbook will help you to uncover valuable insights
• Support from specialists. Our risk-modelling team is available to answer questions about our analysis and forecasts