Digital platform for managing a bank’s foreign exchange risk: automating var analysis of the open foreign exchange position
Keywords:
digital platform, foreign-exchange risk, open foreign-exchange position, Value at Risk (VaR), event-driven processing, risk appetite, regulatory capital, automated limits, stress testing, backtestingAbstract
This study develops a digital foreign-exchange risk management platform that combines the open foreign-exchange position calculation required by Rules No. 3301 with Value at Risk (VaR), stress scenarios and internal limits under paragraph 91¹ of Regulation No. 3427. Under a manual approach, every transaction or change in an exchange rate, capital or a limit requires a specialist to reconcile the data again and recalculate the unified position, VaR, scenario losses and limit utilisation, so control is delayed. The proposed event-driven architecture automatically recalculates the position, ten-day 99% VaR, stress scenarios and the effective limit after every change accepted by the system, while updating the management dashboard and alerts. Historical simulation of official USD, EUR and RUB exchange rates from 16 February 2021 to 8 September 2026 showed that, for a position of UZS 100 billion, conservative VaR equals UZS 3.64, 5.18 and 20.36 billion, respectively; with a VaR budget of UZS 10 billion, the calculated position limits are UZS 274.42, 192.88 and 49.11 billion. The platform does not replace the mandatory limits under Rules No. 3301; it turns VaR into a management mechanism that operates after every event
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