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An Fl has 750 million in its trading portfolio on the close of business on a particular day. The current exchange rate of yen for

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An Fl has 750 million in its trading portfolio on the close of business on a particular day. The current exchange rate of yen for dollars is 125.00/$, or dollars for yen is $0.008, at the daily close. The volatility, or standard deviation (o), of daily percentage changes in the spot V/$ exchange rate over the past year was 121.6 bp. The FL is interested in adverse moves bad moves that will not occur more than 1 percent of the time, or 1 day in every 100. Calculate the one-day VAR and ES from this position

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