  The aim of this paper is to determine the Value at Risk (VaR) of the
portfolio consisting of long positions in foreign currencies on an emerging
market. Basing on empirical data we restrict ourselves to the case when the
tail parts of distributions of logarithmic returns of these assets follow the
power laws and the lower tail of associated copula C follows the power law of
degree 1. We will illustrate the practical usefulness of this approach by the
analysis of the exchange rates of EUR and CHF at the Polish forex market.
