$1.$ A financial institution owns a portfolio of options dependent on the US dollar$$sterling exchange rate. The delta of the portfolio with respect to percentage changes in the exchange rate is $6\mathrm{.}1.$ If the daily volatility of the exchange rate is $0\mathrm{.}5\%$ and a linear model is assumed.

The estimated $10-$day$99\%$ VaR is $Answer

$.$

Round your final answer to four decimal places $($e$.$g$.,0\mathrm{.}2345)$

$2.$ A fund manager announces that the fund$$s three$-$month $99\%$ VaR is $8\mathrm{.}2\%$ of the size of the portfolio being managed. You have an investment of R$1,000,000$ in the fund. How do you interpret the portfolio manager$$s announcement?

There is a $1\%$ chance that you will Answer

$,$ RAnswer

or more during a three$-$month period.