In my talk I am going to present some numerical methods for determining the Value at Risk of portfolio consisting of long positions in foreign currencies. My approach is based on the fact that the copula C describing the joint probability of the daily logarithmic returns can be approximated, near the lower corner, by a homogeneous function L of degree 1. Since L must be concave, it is enough to estimate its values and the values of its first derivatives at one or two points to obtain quite reasonable approximation of the Value at Risk of the portfolio. I will illustrate the practical usefulness of these approximations by the analysis of the exchange rates of EUR and CHF at the Polish forex market.

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