Base Currency
| Hierarchy | Description | Members |
|---|---|---|
| Base Currency | Risk-free currency; other currencies generate risk when converted to this one. | Display Ccy: base currency is the display currency (mr.fx.risk-display-member, default). Local Risk: FX effect neutralized; no risky currency ( mr.fx.risk-disable-member). Additional members are the available currencies from the displayCurrency hierarchy. |
| FX Effect | Analysis hierarchy used to split VaR between specific risk and the risk generated by the FX conversion. | FX Effect: holds the forex risk generated by conversion from local currency to base currency (mr.fx.fx-risk-member). Local Risk: holds the specific local risk of the underlying positions ( mr.fx.local-risk-member). |