Platform Understand Hedge Monitor Correlation Panel

Correlation Panel:
Risk with real correlation. NEW

With Peak Risk, the platform already shows you the absolute worst case for your FX position. The Correlation Panel now sets a figure against that worst case, computed empirically from real historical currency moves.

What the tool does

Data source, your choice — ECB reference rates or spot data — whichever currencies you actually need, since the ECB doesn't cover them all.
Same five market scenarios — as the rest of the platform.
Worst case, plus the real picture — a risk estimate based on actual correlation now sits alongside the worst case, so decisions can be made on real correlation while still knowing the worst case.
Mathematically consistent — at a correlation of 1 the new figure equals the platform's existing "fully correlated" value exactly — a rigorous extension, not a bolt-on estimate.

Output: Peak Risk (worst case, unchanged) · real correlation-based figure (with confidence band).

Three roles in the cycle

Understand: Measure risk with real correlation: the worst case (Peak Risk) and the empirically computed figure sit side by side.
Hedge: Dose the hedge where the risk actually lies: natural diversification does not lead to over-hedging, missing diversification does not lead to under-hedging.
Monitor: Watch whether the correlation between your currencies has shifted and whether the hedge book still fits today's risk picture.

Backtested

Tested against history, not just calculated

The risk figure of the Correlation Panel is checked in a dedicated backtest on historical currency data, using ECB reference rates with a history back to 1999. We compare Peak Risk, the absolute worst case, with the real-correlated risk figure.

The backtest answers three practical questions: Does the figure hold when markets actually move? Where does it break? And what does real correlation add compared with looking at the worst case alone?

Frequently asked questions

Questions about this tool

Short answers in plain terms.

What is the difference between Peak Risk and correlated FX risk?

Peak Risk is the absolute worst case: every currency hits its own worst day at the same time. The real-correlated figure is computed from how your currencies actually moved together in history. Reading both side by side shows how much natural diversification already reduces your risk.

Can relying on correlation lead to under-hedging?

Correlation is estimated from history and can change. That is why the platform always keeps the worst case visible next to the real-correlated figure and reports the figure with a confidence band, so you decide with both in view.

How do you backtest an FX risk figure?

By comparing the figure with what actually happened: on historical currency data we check how often moves stayed within the risk figure, where they did not, and what correlation adds compared with the pure worst case. GLORIAnalytics runs this backtest for Peak Risk and for the real-correlated figure.

Which data does the Correlation Panel use?

You can choose between ECB reference rates and spot data. The ECB does not cover every currency, so spot data closes the gap. The same five market scenarios apply as everywhere on the platform.

Want to see this on your data?

15 minutes. No deck. We'll plug in an anonymised slice of your exposure and show you what GLORIAnalytics would do with it.

Book a demo

Correlation Panel: Risk with real correlation. NEW