GLORIARMS — FX risk management & treasury analytics
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Platform Understand Hedge Monitor Correlation Panel

Correlation Panel:
Risk with real correlation. NEW

With Peak Risk, the platform already shows you the most adverse outcome for your FX position within the market scenarios, with no offset between currencies. The Correlation Panel now sets a figure against it, computed empirically from real historical currency moves: Correlation Adjusted.

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.
  • Reference, plus the real picture — a risk estimate based on actual correlation now sits alongside Peak Risk, so decisions can be made on real correlation while still seeing the no-offset scenario.
  • Mathematically consistent — if all currencies move in perfect lockstep (correlation 1), the figure equals the platform's reference value with full offset exactly — a rigorous extension, not a bolt-on estimate.

Output: Peak Risk (no offset, unchanged) · Correlation Adjusted (with confidence band).

Three roles in the cycle

  • Understand: Measure risk with real correlation: Peak Risk (no offset) and Correlation Adjusted sit side by side.
  • Hedge: Dose the hedge where the risk actually lies: where currencies offset each other, you hedge no more than needed; where the offset is missing, not too little.
  • 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 most adverse outcome within the scenarios without offset, with Correlation Adjusted.

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 no-offset scenario alone?

Learn more: correlation-driven hedging

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 most adverse outcome within the market scenarios with no offset: every currency moves against you in its least favourable scenario at the same time. Correlation Adjusted 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 Peak Risk visible next to Correlation Adjusted 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 no-offset scenario. GLORIAnalytics runs this backtest for Peak Risk and for Correlation Adjusted.

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.

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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