The client can be a CFO or CEO. The information can indicators, charts, graphs, statistics, ratios, etc.
I know the VaR is one of them.
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3 Answers
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For business purposes, a CFO/CEO typically won't be interested at low-level modeling. Metrics such as:
- Maximum portfolio gross/net exposure (hence gross/net leverage)
- Maximum per trade size per product
- Maximum intraday exposure per product
are probably among the more important ones for business decisions.
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A CFO typically is not involved in managing risk, though that's not always the case.
If your hypothetical CFO is involved in the day-to-day managing of FX risk, the following could be useful:
- MtM
- VaR & Stressed VaR
- Expected shortfall
- Correlation between traded currency pairs
- Sensitivities (Greeks)
If your hypothetical CFO isn't involved in the day-to-day management of risk, VaR and Stressed VaR are great metrics because they sum up information into a single number.
answered Oct 2, 2015 at 1:24
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- Offer rates for options and currency futures.
- Upcoming publications for economic indicators for short term FX exposure.
- Future interest rate decisions for long term exposure.
- Regression for predicting trends.
An equation I made for potential risk exposure:
- x = Days of exposure.
- p = Current price.
- delta = Historical daily price changes. Subscript is how many days into the past.
- s = average of delta.
