Consider the following discrete probability distribution of payoffs for two securities, A and B, held in the
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Consider the following discrete probability distribution of payoffs for two securities, A and B, held in the trading portfolio of an FI:
Exchange Rates per U.S. Dollar at the Close of Business 10/20 10/19 10/18 10/17 10/16 10/15 Euros 0.8000 0.7970 o.7775 0.7875 0.7950 0.8115 Australian $s 0.9700 0.9550 0.9800 0.9655 0.9505 0.9460 Probability A Probability B 50.00% $80m 50.00% $80m 49.00 60m 49.00 68m 1.00 740m 0.40 740m 0.60 1,393m Which of the two securities will add more market risk to the FI’s trading portfolio according to the VAR and ES measures?
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Related Book For 
Financial Institutions Management
ISBN: 9780078034800
8th Edition
Authors: Anthony Saunders, Marcia Cornett
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