FX portfolio VAR

If I have a portfolio of foreign currencies and I want to know, if left unhedged, what is the VaR how do I go about calculating it?

I have taken the historical closing prices of these currencies and calculated the annualized standard deviation, but got stuck on how to further proceed using the weightings of each currency in the portfolio. Does anyone know? Thanks.

You need not only the standard deviations (of prices, I presume) for each currency, you need the correlations (of prices) for each pair of currencies. Then,

σ_{port} = \sqrt{\sum_{i = 1}^n\sum_{j = 1}^nw_iw_jσ_iσ_jρ_{i,j}}

Thanks a lot Bill! Its been a while, hope you are doing ok and staying safe.

You’re quite welcome.

We’re doing well in general, but I had a weird scare last week: I ended up in the ER, then in the hospital all day Thursday and most of Friday. After two CT scans, two MRIs, and an EKG, they have no idea why I had the most excruciating pain across the back of my shoulders and neck, then was unable to move both arms and one leg, and almost stopped breathing for a time. I’m doing fine now (though still with some weakness in my arms/shoulders), but I sure would like to know what caused it in the first place.

How’re things with you? Better than my story, I trust.

oh god…glad to hear you are fine now. My friend once experienced unexplainable pain in their arms too, and he thinks he got stung by something. I dunno, might that ring a bell?

I have turned into an amateur mask buyer for the past few months for family, friends and coworkers. Learning about mask standards, trying different brands of masks, knowing where good deals are etc etc…