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Intercontinental Bank's current exposure to Euro is $623 million. The bank expects a decline in...

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Finance

Intercontinental Bank's current exposure to Euro is $623 million. The bank expects a decline in the value of Euro. The spot rate is $1.59/Euro and the standard deviation based on daily spot price changes in the currency is 0.53%. What is the 30-day VaR of the bank's exposure to Euro based on adverse changes at the 99th percentile?
(Please round your answer to two decimal places in terms of millions of dollars.

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