Wila is a risk-analyst at Deli Bank (DB), a commercial bank with operations in Zambia. DB is currently expanding its operations to include proprietary trading and is reviewing its risk management...


Wila is a risk-analyst at Deli Bank (DB), a commercial bank with operations in Zambia. DB is currently expanding its operations to include proprietary trading and is reviewing its risk management policies. DB uses Value at Risk (VaR) models to monitor its risk exposures.


DB`s current portfolio of currencies contains only long positions. The volatility of the currencies in its portfolio has recently increased, and Wila expects volatility to remain high over the next several quarters. As a result, she has hedged the portfolio using currency options.


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Jun 07, 2022
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