A financial institution owas a portfolio of options on the US dollar-sterling exchange rate. The delta of
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A financial institution owas a portfolio of options on the US dollar-sterling exchange rate. The delta of the portfolio is 56.0.
The current exchange rate is 1.5000. Derive an approximate linear relationship betwem the change in the portfolio value and the percentage change in the exchange cate. If the daily volatility of the exchange rate is 0.7%, estimate the 10-day 99% VaR.
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