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Metropolis Bank's current exposure to CAD is $658 million. The bank is concerned about potential...

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Finance

Metropolis Bank's current exposure to CAD is $658 million. The bank is concerned about potential loss to the bank in the event of a decline in the value of CAD. The spot rate is $1.68/CAD and the standard deviation based on daily spot price changes in the currency is 0.61%. What is the 15-day VaR of the bank's exposure to CAD based on adverse changes at the 99th percentile?

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