1. A financial institution owns a portfolio of options dependent on the US dollar-sterling exchange rate....
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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 6.1. If the daily volatility of the exchange rate is 0.5% and a linear model is assumed. The estimated 10-day99% VaR is $ Round your final answer to four decimal places (e.g., 0.2345) 2. A fund manager announces that the fund's three-month 99% VaR is 8.2% of the size of the portfolio being managed. You have an investment of R1,000,000 in the fund. There is a 1% chance that you will R or more during a three-month period. Enter a numerical number without spaces or commas for thousand separators (E.g 24000) 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 6.1. If the daily volatility of the exchange rate is 0.5% and a linear model is assumed. The estimated 10-day99% VaR is $ Round your final answer to four decimal places (e.g., 0.2345) 2. A fund manager announces that the fund's three-month 99% VaR is 8.2% of the size of the portfolio being managed. You have an investment of R1,000,000 in the fund. There is a 1% chance that you will R or more during a three-month period. Enter a numerical number without spaces or commas for thousand separators (E.g 24000)
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