(18 points) (Ch. 10) Extending VaR. Palmeiras, a Brazilian soccer club, sold a player to England for GBP 9M. Payment is in the GBP after 30 days. Palmeiras wants to calculate the VaR(90%, two-tailed) for the payment in 30 days. Palmeiras believes monthly GBPBRL changes (ef,t) follow a normal distribution, where BRL means the Brazilian real and GBP means the Great British pound. Palmeiras estimates the mean and the variance of the monthly change of the spot GBPBRL exchange rate from the empirical distribution from the past twenty years: = Monthly mean =0.068 2= Monthly variance =0.0144 St=5.9GBPBRL i) Calculate the total Transaction Exposure (TE) in the amounts of the home currency BRL (6 points) ii) Calculate the 30-day VaR(90\%, two-tailed) (HINT: use z=1.645). (12 points)