Risk Analysis on Foreign Exchange Using Value-at-Risk Parametric Approach

Foreign Exchange or usually known as Forex are one of the most famous investment objects. When investing in Forex, it is necessary to know movements foreign exchange price well risk that might happen. The purpose this study predict level risk, seeing characteristics exchange, and compare which better invest in. Value-At-Risk (VaR) models used VaR standard normal distribution approach, Student-t Modified normal. Based on research, potential loss for AUD Rp 9,445.26, CAD 7,972.62, CHF 7,073.74, EUR 6281.90, GBP 9,234.37, JPY 10,971.68, SGD 3,988.65, USD 2,896.47 with an assumption investor invests much 1,000,000.00 each exchange. best choose because has lowest based its VaR.