Masterclass Case Study: How a Global Macro Fund Managed Forex Risk During a Currency Crisis

A masterclass case study for family office investors, fund managers and institutional allocators who need to understand how professional macro money actually handles currency risk when a crisis arrives. You join the risk committee of a composite global macro fund running an emerging market currency book with a large Indian rupee position, just before Ben Bernanke's May 2013 testimony triggers the taper tantrum. You start with the fund's mandate, limits and pre-crisis carry positions, and the warning signs it partly ignored: India's record current account deficit, the Fragile Five and crowded carry trades. You then live through May to August 2013 as the rupee falls to its record low, the RBI squeezes liquidity and tightens capital controls, and the offshore NDF market breaks away from onshore prices. You work through the real-time decisions: reading VaR and stress losses when correlations break, cutting carry without paying the widest spreads, choosing between forwards, NDFs, options and proxy hedges, and managing margin and counterparty risk. The case closes with the September turn, the recovery trade, a full P&L attribution and a currency crisis playbook. The fund and its numbers are an illustrative composite; the market events, policy actions and instrument mechanics are real.