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9.11. Bank of Southern Tasmania has determined that its inventory of 20 million euros (EUR) and 25 million British pounds (BP) is subject to market

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9.11. Bank of Southern Tasmania has determined that its inventory of 20 million euros (EUR) and 25 million British pounds (BP) is subject to market risk. The spot exchange rates are \$0.40/EUR and \$1.28/BP, respectively. The S's of the spot exchange rates of the EUR and BP, based on the daily changes of spot rates over the past six months, are 65bp and 45bp, respectively. Determine the bank's 10day VAR for both currencies. Use adverse rate changes in the 95th percentile

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