Inside the Currency Market: Mechanics, Valuation, and Strategies

Volatility and Value-at-Risk Models

Volatility affects market prices as a function primarily from outside forces. Inflation, interest rates, political changes, economic disasters, military escapades, and wars all affect markets in terms of volatility levels and levels can change dramatically.

Dollars at Risk seeks to determine such factors as yield-curve movements in relation to currency prices and employed as a measure of risk. Dollars at Risk ask questions as to how many basis points does a 10-year Treasury bond move in relation to a target price or stop loss order, and what about two-year-bond basis points? The preferred method is to factor fixed-income returns against a constructed yield curve using various risk measures that account for ...