= An FI has $100,000 of net positions outstanding in British pounds () and $30,000 in Swiss
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= An FI has $100,000 of net positions outstanding in British pounds (£) and $30,000 in Swiss francs (SF). The standard deviation of the net positions as a result of exchange rate changes is 1 percent for the SF and 1.3 percent for the £. The correlation coefficient between the changes in exchange rates of the £ and the SF is 0.80. What is the risk exposure to the FI of fluctuations in the £/$ rate? What is the risk exposure to the FI of fluctuations in the SF/$ rate? What is the risk exposure if both the £ and the SF positions are combined?
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Financial Institutions Management A Risk Management Approach
ISBN: 9780077211332
6th Edition
Authors: Anthony Saunders, Marcia Cornett
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