er Bank has determined that its inventory of 10 million and 30 million is subject...
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Accounting
er Bank has determined that its inventory of 10 million and 30 million is subject to market risk. The spot exchange rates are $1.2011 and $1.50/1, respectively. The o values of the spot exchange rates of the euro and the pound, based on the daily changes of spot rates over the past six months, are 65 bp and 45 bp, respectively. Determine the bank's 5-day VaR for the curo. Use adverse rate changes in the 99.1 percentile. (answer closest to ) A. $812,766 B. $419.929 C. $1.149,425 D. S1,326.259
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