Risk is present in everyday life and represents a certain uncertainty or danger that may occur in the future and have unintended consequences. The most common types of risk are: credit risk, liquidity risk, interest rate risk, operational risk and currency risk. Currency risk is one of the most significant risks, and he warns us that changes in foreign exchange rates can affect the value of assets and liabilities of financial institutions denominated in foreign currency. Currency risk is most often measured using the currency gap report, the VaR methodology and the expected loss method. The Gap report is the basic model for measuring currency risk. VaR methodology is the method most commonly used to calculate currency risk. There are three basic models for calculating VaR, namely the RiskMetrics model, the historical simulation, and the Monte Carlo simulation. In order to manage currency risk as easily as possible, it is possible to manage forward transactions, financial derivatives and money market operations by taking or lending. Portfolio diversification also plays a very important role in order to minimize the risk of at least one factor that affects the entire portfolio. There are four important steps to building a portfolio: getting to know yourself, getting to know your investment, managing risk, and balancing your portfolio. In this paper, standard risk measures for three selected exchange rates are calculated and examples of calculation of VaR methods and historical methods on selected portfolios are presented.