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Setting Limits – EXCEL

SKU 00038
In stock
Product Details

About the course

The course consists of an EXCEL file that demonstrates shows how a Pre-Settlement Risk (PSR) limit is set for an FX forward contract and a Futures contract on WTI (crude oil) respectively.

Using a Value at Risk based approach, a return series is derived from the historical price series. This is used to calculate a volatility which together with a confidence level and days to settlement of the contract is used to determine a worst case price shock. The PSR limit, derived from this worst case price shock, is then expressed in absolute terms as well as in relation to the original contract value.

Learning Objectives

After taking this course you will be able to:

  • Calculate PSR limit for an FX forward contract
  • Calculate PSR limit for a futures contract


Familiarity with basic mathematics, statistics, probability and EXCEL, some familiarity with markets, including derivative markets, Value at Risk and portfolio management

Target Audience

The course is targeted towards intermediate users and is aimed primarily at individuals responsible for capital allocation, limit setting and risk management within banks, insurance companies, mutual funds, as well as finance and treasury departments of non-financial organizations.

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