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2345 Elia ? x Question 25 Not yet answered Marked out of 3.00 P Flag question A financial institution owns a portfolio of options on

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2345 Elia ? x Question 25 Not yet answered Marked out of 3.00 P Flag question A financial institution owns a portfolio of options on the NZ dollar/U.S. dollar exchange rate. The delta of the portfolio is 56.0 and the gamma of the portfolio is 16.2. The current exchange rate is 1.60. What the 10-day 99% VaR when the daily volatility of the exchange rate is 1%. [3 marks] Select one: O a. 84 b. 6.62 O c. 0.898 O d. 18.22 e. 2.33 Previous page Next page Time left 1:55:05

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