Principles of the Quantitative Model for Currency Risk Assessment
01
Collection of Open Currency Positions (OCP):
- Currency and quasi-currency cash flows;
- Balance sheet items
Modeling of future exchange rates using @RISK software
02
-----
---
---
03
Simulation of the OCP under risk conditions
-----
Preparation of management reporting
08
-----
Consolidation of simulation results by business activities:
operational, financial, and investment
operational, financial, and investment
04
07
Additional calculations as needed (e.g., for hedge accounting purposes)
-----
---
05
Modeling the impact of various hedging instruments and strategies
Incorporation of data on executed transactions (volumes and maturities) and comparison of results before and after hedging
06
---
Why PwC?
Experienced Team Leader
The project lead has over 20 years of unique Russian and international experience in risk management project implementation
Achieved through extensive experience managing large-scale projects effectively
High Quality Standards and Timely Delivery
Successful delivery of dozens of projects for major Russian and international companies
Experience
Ability to involve international specialists to incorporate best global risk management practices
Access to PwC’s Global Experts
Specialized knowledge in preparing hedge accounting and tax documentation related to market risk management
Expertise in Tax and Accounting Documentation
Providing advisory assistance at the stage of trial deal execution
Consulting Support During Pilot Transactions
Benefits for […] from Collaborating with PwC
Implementing commodity risk management projects now enables leveraging acquired company knowledge and existing data for successful currency risk management projects
Regular status calls and extensive remote project experience ensure delivery without compromising quality or deadlines
Our currency risk management approach has been tested in numerous projects with leading companies across various sectors, including mining
Project team members have proven experience in implementing currency risk management projects, including tax and accounting aspects, for Kazakhstan and Russian companies and their foreign subsidiaries
This approach will help develop an optimal operational model for effective currency risk management
The project leader brings over 19 years of unique international experience managing currency risk projects of various scales, ensuring alignment with best global practices
Latest oil products news
India, Pakistan reach US-mediated, fragile ceasefire
Browse the latest market moving news on the global oil products industry
Latest oil products news
11/05/25
Find out more
Dubai, 11 May (Argus) - A US-mediated ceasefire reached on Saturday between nuclear-armed neighbours India and Pakistan is still holding, following four days of intense fighting. "After a long night of talks mediated by the United States, I am pleased to announce that India and...
11/05/25
Latest oil products news
White House ends use of carbon cost
Latest oil products news
11/05/25
White House ends use of carbon cost
11/05/25
Latest oil products news
White House ends use of carbon cost
Latest oil products news
11/05/25
White House ends use of carbon cost
Treasury and Commodity Risk Practice Services
Credit risk management
- Currency risk
- Interest rate risk
- Commodity risk
Market risk management:
Treasury transformation
Strategy and operational efficiency in commodity trading
Discount rate methodology under IFRS 16
Working capital management
Hedge accounting under IFRS 9
Cash flow forecasting and liquidity management
Treasury automation and digitalisation
75
Years delivering research
clients, across 70 countries
of top Global Asset Managers, with
average tenure with BCA
AUM
2,000+
80%
12+ years
$34tn
about
Lorem ipsum dolor sit amet, consectetur adipiscing elit, sed do eiusmod tempor incididunt ut labore et dolore magna aliqua. Ut enim ad minim veniam, quis nostrud exercitation ullamco laboris nisi ut aliquip ex ea commodo consequat.
Independent investment research
Learn more
Lorem ipsum dolor sit amet, consectetur adipiscing elit, sed do eiusmod tempor incididunt ut labore et dolore magna aliqua. Ut enim ad minim veniam, quis nostrud exercitation ullamco laboris nisi ut aliquip ex ea commodo consequat.
Lorem ipsum dolor sit amet, consectetur adipiscing elit, sed do eiusmod tempor incididunt ut labore et dolore magna aliqua. Ut enim ad minim veniam, quis nostrud exercitation ullamco laboris nisi ut aliquip ex ea commodo consequat.
Learn more
Independent investment research
Lorem ipsum dolor sit amet, consectetur adipiscing elit, sed do eiusmod tempor incididunt ut labore et dolore magna aliqua. Ut enim ad minim veniam, quis nostrud exercitation ullamco laboris nisi ut aliquip ex ea commodo consequat.
Learn more
Independent investment research