can u assist in this finance question. its is an upper level question

E >3 '0' \"'35..\" 59% i 11:14AM J L FIR 4720/6720 Management of Financial Institutions 15 Novenber 2018 VAR/Risk Metrics Quiz#12 (10 points) Name:____________________ 1. Gerrnantown Tennessee National Bank has determined that its inventory of 40 million euros () is subject to market risk. The spot exchange rate on 10/23/2013 is $1.1470/. The 0 of the spot exchange rate of the . based on the daily changes of spot rates over the past six months, is 85 bp (0.85% or .0085). Determine the bank's10day Value at Risk (VA R) for Euros. Use adverse rate changes in the 95'h percentile, 90% Confidence Interval, (2.5,2=1.65). FX position of = 40,000,000*$1.1470/ = 845.880 million FX volatility #6 = 1.65 x 85 hp = 140.25 bp, or 1.4025 96 (input into formula as: 0.014025) DEAR = ($ Value of position) x (Price volatility) DEAR of = S . VARof =3 __________ XJ10=$ ___________________ 2. Germantown Tennessee National Bank also has a stock portfolio with a market value of $40 million. The beta of the Portfolio is 1.45; whereas, as we know, the market portfolio (8= 1). The market portfolio's daily standard deviation (0..) is estimated at 1.6 percent (input into formula as: 0.016). What isthe 5day VAR of this portfolio, using adverse rate changes in the 99'h percentile, 98% Condence interval, (25,129.33)? DEAR = ($Value of portfolio) x (Zarz x Bx om) DEAR = ($Value of portfolio) x (2.33 x Bx em) = s ________________________ VAR =s Xt/5=s