The measurement of the foreign exchange risk involves, as a first step, the calculation of the net open position in each individual currency including gold¹ and as a second step, the measurement of the risks inherent in the bank's mix of assets and liabilities positions in different currencies.

¹ Positions in gold should be treated as if they were foreign currency positions, rather than commodity positions, because the volatility of gold is more in line with that of foreign currencies and most banks manage it in a similar manner.