Case Study: Merck achieves better value-at-risk analysis for currency risk with Lumivero @RISK

Merck Uses @RISK for Value-at-Risk

Merck, a multinational pharmaceutical giant, faced the challenge of evaluating complex value-at-risk (VAR) for its extensive foreign currency exposures across over 30 countries. The Director of Foreign Exchange needed a sophisticated tool to move beyond simple VAR analysis to meet new accounting standards and to simulate hedged risks on both the balance sheet and in future revenues. The vendor, Lumivero, provided its @RISK software to address this need.

Lumivero's @RISK solution provided the necessary flexibility for distribution fitting and evaluating alternative scenarios on screen, which was crucial for Merck's increasingly sophisticated analyses. The software enabled the company to project both economic and accounting hedge performance through time, incorporating analyses of option time decay and price component volatility. As a result, @RISK became Merck's analytic tool of choice, providing the critical insights needed for presentations to senior management and for ongoing risk surveillance.

Merck

Art Misyan

Director of Foreign Exchange