Commodity, FX and Interest Rate Volatility –
A CFaR Approach

What’s Inside

The analytics for measuring Cash Flow at Risk at the corporate level have existed for over a decade. The adoption rate has not kept up.

This white paper, published in June 2026 in collaboration with Your Treasury and SkySparc, gives CFOs and corporate treasurers a practical path from exposure to a board-targetable CFaR number, with basis risk measured throughout.

UnRisk provides the quantitative engine behind the framework. The calculations run on the same pricing infrastructure used by banks and financial institutions across Europe.

The paper is organised around five areas: quantification, hedging strategy, hedge accounting, governance, and board communication. Each section can be read and shared independently, which makes it useful for internal knowledge-sharing and board-level discussion.

• CFaR primer and worked example: from exposures to a multi-asset CFaR number via Monte Carlo simulation
• Volatility landscape, cross-asset correlations and forward basis risk
• Stress testing, scenario analysis and tail risk (Expected Shortfall), with dynamic hedging triggers
• Level of cover, CFaR-driven hedge optimisation and the CFaR/EaR trade-off
• Hedge accounting under ASC 815 and IFRS 9, plus a section on the IASB Risk Mitigation Accounting proposal for commodities
• Technology, model governance and a transition from percentage hedging to board-approved risk targets