EFuturesCFO · Banking Suite
International Hedging & FX Risk
Model multi-currency exposures, compare hedging instruments (forwards, options, natural), analyze P&L sensitivity to FX movements, and optimize your hedge ratio for cost vs. protection.
Executive Summary
Currency Exposure Detail
FX Shock Sensitivity
Optimization Levers
Hedging Strategy Mix
Methodology
FX Risk = Unhedged Exposure × Volatility × √(Horizon/12). Forward cost = notional × cost bps × (tenor/12). Option premium = notional × premium bps. Hedge effectiveness assumed 85% for forwards, 70% for options. Natural hedging = revenue/expense matching in same currency. Shock scenarios model P&L impact on unhedged portion with hedge offset. Optimal hedge ratio balances cost vs. risk tolerance — typical range 50-80% for banking operations.